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Studying the Profitability of Momentum Strategy in GCC Stock Markets

Takalloo, Mahdi | 2015

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 47279 (44)
  4. University: Sharif University of Technology
  5. Department: Management & Economics
  6. Advisor(s): Barakchian, Mahdi
  7. Abstract:
  8. In this research, we examine the profitability of momentum investing strategy in Middle East stock markets in 2005- 2014. We find that momentum strategy is not profitable in this period, since market was negative in many months of studying period. However, we find that the momentum strategy generate positive return following up market, and negative return following down market, which is similar to its performance in other stock markets. Our results show that pastmarket return determines winner and looser portfolio. Following up markets, high beta stocks constitute looser portfolio and low beta stocks constitute winner portfolio. Conversely, following down markets, high beta stocks constitute winner portfolio and low beta stocks constitute looser portfolio. The difference in momentum portfolio beta with respect to past and current market state, explain the return of momentum strategy, and after controlling this effect, the profitability of momentum strategy disappears
  9. Keywords:
  10. Momentum Strategy ; Beta Function ; Winner Portfolio ; Loser Portfolio ; Past Market Return ; Market Return

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