Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan

Cheema, Muhammad A.; Nartea, Gilbert V.; Szulczyk, Kenneth R.

doi:10.1080/00036846.2017.1403560

Cited by 6 publications

(2 citation statements)

References 43 publications

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“…Interestingly, the authors also reference the hesitation model which caters for differing levels of overconfidence among investors in explaining their results. Similar results are found by Cheema et al. (2018) in Japan.…”

Section: Literature Reviewsupporting

confidence: 89%

Can market state and market volatility explain time-varying momentum profits in South Africa?

Kaluba

Seetharam

2022

IJOEM

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PurposeWhile the momentum anomaly is prevalent in South Africa, few have examined the reasons influencing it. This study examines whether momentum profits vary through time and are affected by the state of the market and market volatility between 1998 and 2019.Design/methodology/approachThe authors consider combinations of portfolio construction, such as the lookback period, weighting scheme, measure of volatility and the volatility window period. They further examine the interaction of momentum with sentiment, default risk and semi-deviation as a measure of risk, as a means of testing whether behavioural factors have significant influence.FindingsThe results generally show that neither volatility nor market state has explanatory power on momentum profits.Originality/valueThese results make the momentum anomaly in South Africa an even greater mystery than before as they do not conform to the existing literature from developed economies. The authors do, however, find that default risk is a significant predictor of momentum profits, which is a useful additional factor for those fund managers who utilise momentum strategies. This implies that a fundamental factor, default risk, is a potential explanation for the market-related momentum anomaly.

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Section: Literature Reviewsupporting

confidence: 89%

Can market state and market volatility explain time-varying momentum profits in South Africa?

Kaluba

Seetharam

2022

IJOEM

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“…This momentum return behavior is consistent with the patterns in other markets, i.e., U.S., Japan, etc. (e.g Asem and Tian 2010;Cheema, Nartea, and Szulczyk 2018),. and supports the overconfidence model of DHS.…”

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confidence: 99%

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

Cheema

Nartea

2018

Applied Economics

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We search for differences in both unconditional and conditional momentum returns of Islamic and Non-Islamic stocks and test implications of competing behavioral 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 crosssectional (CS) and time-series (TS) momentum strategies even when we condition momentum returns on market dynamics, information uncertainty (IU), and idiosyncratic volatility (IV). 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.

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The interrelationship of air quality, investor sentiment, and stock market liquidity: a review of China

Wang

Yi²,

Song³

2022

Environ Dev Sustain

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Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan

Cited by 6 publications

References 43 publications

Can market state and market volatility explain time-varying momentum profits in South Africa?

Can market state and market volatility explain time-varying momentum profits in South Africa?

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

The interrelationship of air quality, investor sentiment, and stock market liquidity: a review of China

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