Momentum Strategies and Stock Returns: A Case of Saudi Stock Market

• 발행기관: 한국유통과학회
• 저자명: Muhammad Asif KHAN Ramiz Ur REHMAN Muhammad Ishfaq AHMAD Majed Al HARTHI
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 8 No.7, 365~373쪽, 전체 9쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.07.30

영문 초록

This paper investigates the presence of momentum profits in the Saudi stock market. The study applied a quantitative method by utilizing monthly closing prices of 194 listed firms on Tadawal (Saudi Stock Market). The data from January 2010 to February 2019 is taken from the Tadawal market database for analysis. The sample is further divided into two equal sub-samples based on the structural changes that occurred in the Saudi stock market. Moreover, the high- and low-value traded portfolios are also constructed to examine the presence of momentum profits. Sixteen investment strategies are formed for each sample. The results show a very strong presence of momentum profits in the Saudi stock market for the full sample as well as for the sub-samples. The momentum profits are observed for a longer investment horizon. The results confirm that the short or medium-term formation of portfolios produces negative momentum returns for high-value traded stocks. The low-value traded stocks portfolios give similar results to the full sample results in terms of momentum profits. The results suggest that an investor should keep an eye on the past performance of desired stocks for at least three-nine months in which they are willing to invest.

목차

1. Introduction

2. Review of Literature

3. Method and Design

4. Empirical Findings

5. Conclusion

키워드

Momentum Profits Value Traded Stocks Emerging Market Frontier Market