Short Term Momentum Effect: A Case of Middle East Stock Markets

Ejaz, A.; Polak, P. Short-term Momentum Effect: A Case of Middle East Stock Markets. Business: Theory and Practice, Vol .16, No 1, 2015, pp. 104–112.

9 Pages Posted: 21 Apr 2015

See all articles by Abdullah Ejaz

Abdullah Ejaz

Universiti Brunei Darussalam; University of Brunei Darussalam

Petr Polak

University of Brunei Darussalam

Date Written: March 1, 2014

Abstract

The objective of this paper is to find short-term momentum effect in stock markets of the Middle East and to examine whether short-term momentum profits can be explained by risk-based CAPM model. Seven major stock markets from the Middle East were selected. Short-term momentum effect was found in all seven stock markets and CAPM does not adequately explain the short-term momentum profits but momentum portfolio returns are statistically significant. This paper is first attempt to bring major stock markets of the Middle East together and examine them for the short term momentum effect phenomenon. Future research should include more stock markets in order to have a better understanding of Middle Eastern stock markets.

Keywords: short-term momentum effect, momentum portfolios, price momentum investment strategy, winner portfolios, loser portfolios, Middle East, momentum profits

JEL Classification: G15

Suggested Citation

Ejaz, Abdullah and Ejaz, Abdullah and Polak, Petr, Short Term Momentum Effect: A Case of Middle East Stock Markets (March 1, 2014). Ejaz, A.; Polak, P. Short-term Momentum Effect: A Case of Middle East Stock Markets. Business: Theory and Practice, Vol .16, No 1, 2015, pp. 104–112., Available at SSRN: https://ssrn.com/abstract=2596452

Abdullah Ejaz (Contact Author)

Universiti Brunei Darussalam ( email )

Jalan Tungku Link
Gadong
Bandar Seri Begawan, BE1410
Brunei
+673 2463001 (Phone)

HOME PAGE: http://www.ubd.edu.bn

University of Brunei Darussalam ( email )

Jalan Tungku Link
Gadong
Bandar Seri Begawan, BE1410
Brunei
+673 2463001 (Phone)

HOME PAGE: http://www.ubd.edu.bn

Petr Polak

University of Brunei Darussalam ( email )

Jalan Tungku Link
Gadong
Bandar Seri Begawan, BE1410
Brunei

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