Do momentum strategies perform better for Islamic stocks than for conventional stocks across market states?
This study compares the momentum profitability of Islamic and conventional stocks in Malaysia and examines whether the presence of momentum profits is market-state dependent. Winner portfolios are shown to outperform loser portfolios, suggesting that a momentum effect exists in the equity m...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Faculty of Economics, Belgrade
2019-01-01
|
| Series: | Ekonomski Anali |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/0013-3264/2019/0013-32641921107T.pdf |
| _version_ | 1818178401706442752 |
|---|---|
| author | Tee Lain-Tze Kew Si-Roei Low Soo-Wah |
| author_facet | Tee Lain-Tze Kew Si-Roei Low Soo-Wah |
| author_sort | Tee Lain-Tze |
| collection | DOAJ |
| description | This study compares the momentum profitability of Islamic and conventional
stocks in Malaysia and examines whether the presence of momentum profits is
market-state dependent. Winner portfolios are shown to outperform loser
portfolios, suggesting that a momentum effect exists in the equity market.
Islamic stocks exhibit stronger momentum than conventional stocks.
Interestingly, although pursuing profit is not the primary goal of Islamic
stock investors, the findings indicate that momentum profits for all Islamic
stock trading strategies are higher than those for conventional stocks. The
profits from momentum strategies for both stocks are market-state dependent.
In all trading strategies, while there are significant positive momentum
profits following market upturns, there is no evidence of profits subsequent
to market downturns. Overall, Islamic stocks yield higher momentum profits
than conventional stocks across market states. These findings are robust to
using various measures of the state of the market. While the presence of
momentum profits is also robust to the inclusion of Fama-French’s (1993)
risk factors, the risk factors are unable to explain momentum profits,
suggesting that the risk-adjusted momentum profits are not due to risk
compensation. Rather, the profitability is evidence of stock mispricing. |
| first_indexed | 2024-12-11T20:47:24Z |
| format | Article |
| id | doaj.art-fa86663cfdbf46739f6665f82c54c2b1 |
| institution | Directory Open Access Journal |
| issn | 0013-3264 1820-7375 |
| language | English |
| last_indexed | 2024-12-11T20:47:24Z |
| publishDate | 2019-01-01 |
| publisher | Faculty of Economics, Belgrade |
| record_format | Article |
| series | Ekonomski Anali |
| spelling | doaj.art-fa86663cfdbf46739f6665f82c54c2b12022-12-22T00:51:20ZengFaculty of Economics, BelgradeEkonomski Anali0013-32641820-73752019-01-016422110712910.2298/EKA1921107T0013-32641921107TDo momentum strategies perform better for Islamic stocks than for conventional stocks across market states?Tee Lain-Tze0Kew Si-Roei1Low Soo-Wah2Faculty of Economics and Management, Universiti Kebangsaan Malaysia, The National University of MalaysiaFaculty of Economics and Management, Universiti Kebangsaan Malaysia, The National University of MalaysiaGraduate School of Business, Universiti Kebangsaan Malaysia, The National University of MalaysiaThis study compares the momentum profitability of Islamic and conventional stocks in Malaysia and examines whether the presence of momentum profits is market-state dependent. Winner portfolios are shown to outperform loser portfolios, suggesting that a momentum effect exists in the equity market. Islamic stocks exhibit stronger momentum than conventional stocks. Interestingly, although pursuing profit is not the primary goal of Islamic stock investors, the findings indicate that momentum profits for all Islamic stock trading strategies are higher than those for conventional stocks. The profits from momentum strategies for both stocks are market-state dependent. In all trading strategies, while there are significant positive momentum profits following market upturns, there is no evidence of profits subsequent to market downturns. Overall, Islamic stocks yield higher momentum profits than conventional stocks across market states. These findings are robust to using various measures of the state of the market. While the presence of momentum profits is also robust to the inclusion of Fama-French’s (1993) risk factors, the risk factors are unable to explain momentum profits, suggesting that the risk-adjusted momentum profits are not due to risk compensation. Rather, the profitability is evidence of stock mispricing.http://www.doiserbia.nb.rs/img/doi/0013-3264/2019/0013-32641921107T.pdfmomentum profitsislamic stocksmarket statesrisk factors |
| spellingShingle | Tee Lain-Tze Kew Si-Roei Low Soo-Wah Do momentum strategies perform better for Islamic stocks than for conventional stocks across market states? Ekonomski Anali momentum profits islamic stocks market states risk factors |
| title | Do momentum strategies perform better for Islamic stocks than for conventional stocks across market states? |
| title_full | Do momentum strategies perform better for Islamic stocks than for conventional stocks across market states? |
| title_fullStr | Do momentum strategies perform better for Islamic stocks than for conventional stocks across market states? |
| title_full_unstemmed | Do momentum strategies perform better for Islamic stocks than for conventional stocks across market states? |
| title_short | Do momentum strategies perform better for Islamic stocks than for conventional stocks across market states? |
| title_sort | do momentum strategies perform better for islamic stocks than for conventional stocks across market states |
| topic | momentum profits islamic stocks market states risk factors |
| url | http://www.doiserbia.nb.rs/img/doi/0013-3264/2019/0013-32641921107T.pdf |
| work_keys_str_mv | AT teelaintze domomentumstrategiesperformbetterforislamicstocksthanforconventionalstocksacrossmarketstates AT kewsiroei domomentumstrategiesperformbetterforislamicstocksthanforconventionalstocksacrossmarketstates AT lowsoowah domomentumstrategiesperformbetterforislamicstocksthanforconventionalstocksacrossmarketstates |