The (lack of) momentum effect in the UAE stock market

Mateusz Mikutowski , Marina Arnaut , Adam Zaremba

Abstract

We investigate the momentum effect in the United Arab Emirates equity returns. Using a dataset of 124 firms listed in the UAE stock markets in the period January 2004 – March 2019, we form portfolios from one-way sorts on past returns ranging from 3 to 12 months. Contrary to the evidence from global markets, we have found that the momentum effect in the UAE is weak, unreliable, and insignificant. Under realistic trading assumptions, the momentum strategies cannot outperform a diversified market portfolio.
Author Mateusz Mikutowski (WZ / KIiRK)
Mateusz Mikutowski,,
- Department of Investment and Capital Markets
, Marina Arnaut - University of Dubai
Marina Arnaut,,
-
, Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesJournal of Research in Emerging Markets, ISSN 2663-905X, (0 pkt)
Issue year2019
Vol1
No3
Pages1-7
Publication size in sheets0.5
Keywords in Polishrynek akcji, wycena aktywów, anomalia rynku akcji, efekt momentum, predykcja stóp zwrotu, Zjednoczone Emiraty Arabskie, rynki wschodzące, ZEA
Keywords in Englishstock market, asset pricing, equity anomalies, momentum effect, return predictability, United Arab Emirates, UAE, emerging markets
DOIDOI:10.30585/jrems.v1i3.346
URL http://publications.ud.ac.ae/index.php/jrems/article/view/346
Languageen angielski
Score (nominal)5
Score sourcejournalList
ScoreMinisterial score = 5.0, 09-04-2020, ArticleFromJournal
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