Is momentum trading profitable from Shari'ah compliant stocks?

Li, Bo, Ee, Mong Shan and Rashid, Mamunur 2016, Is momentum trading profitable from Shari'ah compliant stocks?, Review of financial economics, vol. 31, pp. 56-63, doi: 10.1016/j.rfe.2016.08.002.

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Title Is momentum trading profitable from Shari'ah compliant stocks?
Author(s) Li, BoORCID iD for Li, Bo orcid.org/0000-0002-7127-0249
Ee, Mong ShanORCID iD for Ee, Mong Shan orcid.org/0000-0001-8366-1098
Rashid, Mamunur
Journal name Review of financial economics
Volume number 31
Start page 56
End page 63
Total pages 8
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016-11
ISSN 1058-3300
Keyword(s) Momentum
Shari'ah compliant stocks
Size effect
Underreaction
Summary This research offers fresh evidence supporting the pervasiveness of the momentum effect. Two decades after the momentum profitability firstly documented by Jegadeesh and Titman (1993), yet little research has been specifically devised for the momentum profitability on Shari'ah compliant stocks. We assess the momentum profitability over the Shari'ah compliant stocks in a Malaysian setting. We find evidence of strong return persistence as far as toward four-year holding period. Interestingly, no significant momentum returns are found among the conventional stocks. Upon further exploration we find neither an industry-driven momentum effect nor the small size firms can account for the momentum returns. Using return persistency formation criteria, we further find that underreaction seems to well fit in explaining this unique long lasting momentum profitability.
Language eng
DOI 10.1016/j.rfe.2016.08.002
Field of Research 150201 Finance
1402 Applied Economics
1502 Banking, Finance And Investment
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30090403

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
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