Browsing by Author "Cheema, Muhammad A."
Now showing items 6-10 of 13
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Maxing Out in China: Optimism or Attention?
(2018)Bali et al. (2011) document a maximum daily returns (MAX) premium in the US where stocks with the highest MAX underperform stocks with the lowest MAX in the subsequent month. However, the source of this MAX premium is ... -
Momentum returns, market states and financial crises. Evidence from China and Hong Kong
(Routledge, 2017)This chapter investigates the profitability of the momentum trading strategy in the stock exchanges of Shanghai, Shenzhen and Hong Kong over the period 1994 to 2010. Our results show that there are significantly large ... -
Momentum returns, market states and market dynamics: Is China different?
(Elsevier BV, 2017)Recent studies suggest that momentum returns are conditioned by market states, but we find that China is different. First, we find that momentum returns in China exclusively follow DOWN markets contrary to the U.S. evidence. ... -
Momentum returns, market states, and market dynamics: Are Islamic stocks different?
(2016)Recent studies suggest that momentum returns are conditioned by market states and market dynamics. We ask if Islamic stocks behave differently from Non-Islamic stocks. Using data from the Malaysian stock market from 1991 ... -
Momentum, idiosyncratic volatility and market dynamics: Evidence from China
(Elsevier, 2017)Recent evidence on the relation between momentum and idiosyncratic volatility (IV) in the U.S. is mixed. We verify the relation between momentum and IV in China and find at best, no relation supporting the view that ...
