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      Cross-sectional and time-series momentum returns: are Islamic stocks different?

      Cheema, Muhammad A.; Nartea, Gilbert V.
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      SSRN-id2949468.pdf
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      DOI
       10.1080/00036846.2018.1488068
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      Cheema, M. A., & Nartea, G. V. (2018). Cross-sectional and time-series momentum returns: are Islamic stocks different? Applied Economics, 50(54), 5830–5845. https://doi.org/10.1080/00036846.2018.1488068
      Permanent Research Commons link: https://hdl.handle.net/10289/12402
      Abstract
      We search for differences in both unconditional and conditional momentum returns of Islamic and Non-Islamic stocks and test implications of competing behavioural theories that aim to explain momentum returns. Our results show that there is no significant difference in momentum returns between Islamic versus Non-Islamic stocks with respect to both cross-sectional (CS) and time-series (TS) momentum strategies even when we condition momentum returns on market dynamics, information uncertainty and idiosyncratic volatility. We also find that the TS strategy outperforms (underperforms) the CS strategy in market continuations (transitions) consistent with the recent evidence in the U.S. market.

      Furthermore, we find that CS and TS strategies of both Islamic and Non-Islamic stocks are profitable only when the market continues in the same state consistent with overconfidence driving momentum returns of both Islamic and Non-Islamic stocks.
      Date
      2018
      Type
      Journal Article
      Publisher
      Routledge
      Rights
      This is an author’s accepted version of an article published in the journal: Applied Economics. © 2018 Informa UK Limited, trading as Taylor & Francis Group.
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      • Management Papers [1125]
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