Momentum Effect in the Oman Stock Market Over the Period of 2005-2018

• 발행기관: 한국유통과학회
• 저자명: Omar Khlaif GHARAIBEH Ahmad AL-KHAZALI Ali Zkariya AL-QURAN
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.2, 711~724쪽, 전체 14쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.02.28

영문 초록

The purpose of this paper is to investigate the profitability of the momentum effects on the Oman Stock Market (OSM). This study uses the monthly returns of all stocks listed on the OSM, with a total of 107 companies used in the study for the period from 2005 to 2018. According to the methodology developed by Jegadeesh and Titman (1993), this study builds momentum portfolios based on various sizes. Moreover, the January effect is also examined to recognize if this effect is related to the momentum effect. The results find that there is evidence of momentum returns and these returns are statistically and economically significant. The sub-periods confirmed the profitability of the momentum strategy. This paper shows that momentum returns are evident at different sizes; big, medium, and small-sized portfolios. Besides, the result shows that the classic January effect does not play an important role in the momentum returns. Thus, the implication is that the momentum should not take into account the annual, seasonal, and size returns. The capital asset pricing model (CAPM) or the three-factor model cannot explain momentum returns generated by individual stocks in the Oman Stock Market. These results are useful to academia and investors alike.

목차

1. Introduction

2. Literature Review

3. Methodological Approach

4. Conducting Research and Results

5. Research Limitations

6. Conclusions

키워드

Momentum Effect Size January Oman Stock Market Capital Asset Pricing Model