The (lack of) momentum effect in the UAE stock market

Keywords: stock market, asset pricing, equity anomalies, momentum effect, return predictability, United Arab Emirates, UAE, emerging markets

Abstract

We investigate the momentum effect in the United Arab Emirates equity returns. Using a dataset of 124 firms listed in the UAE stock markets in the period January 2004 – March 2019, we form portfolios from one-way sorts on past returns ranging from 3 to 12 months. Contrary to the evidence from global markets, we have found that the momentum effect in the UAE is weak, unreliable, and insignificant. Under realistic trading assumptions, the momentum strategies cannot outperform a diversified market portfolio.

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Author Biographies

Mateusz Mikutowski, Poznan University of Economics and Business, Poland

Mateusz Mikutowski is a PhD student at the Poznan University of Economics and Business, Poland.

Marina Arnaut, University of Dubai, UAE

Marina Arnaut is Assistant Professor in the Dubai Business School at University of Dubai.

Adam Zaremba, University of Dubai, UAE; Poznan University of Economics and Business, Poland

Adam Zaremba is Associate Professor in the Dubai Business School at University of Dubai.

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Published
2019-07-09
How to Cite
Mikutowski, M., Arnaut, M., & Zaremba, A. (2019). The (lack of) momentum effect in the UAE stock market. Journal of Research in Emerging Markets, 1(3), 1-7. https://doi.org/10.30585/jrems.v1i3.346