Strong and Weak Price Momentum Components: Evidence from 10 Arabic Market Indices
Journal Title: International Journal of Academic Research in Accounting, Finance and Management Sciences - Year 2017, Vol 7, Issue 1
Abstract
This paper examines the presence of momentum profits in the Arabic market indices for the period of January 1989 through August 2013. Also, momentum portfolios are divided into two components depending on past long-term performance produces early and late-stage momentum strategies. This paper confirms that the momentum profits are present and they are statistically or economically significant in 10 Arabic market indices over all formation periods. Thus, to reap the benefit of such profit opportunities, an investor has to sell and buy a past short-term loser portfolio and short-term winner portfolio, respectively. In regard to the relative merits of the pure and both early and late-stage momentum strategies, the late-stage momentum method consistently generates stronger evidence of momentum. It appears that the late-stage momentum strategy utilizes past long-term performance to better identify those indices that are continuing the short-term performances, while the early-stage momentum strategy doesn’t provide any profits.
Authors and Affiliations
Omar Gharaibeh
Keywords
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- EP ID EP183132
- DOI 10.6007/IJARAFMS/v7-i1/2591
- Views 75
- Downloads 0
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