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

Main Article Content

Article Sidebar

Published Jul 9, 2019
Mateusz Mikutowski
Marina Arnaut Adam Zaremba


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.

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.
Abstract 489 | PDF Downloads 267

Article Details


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



Al-Hajieh, H., Redhead, K. & Rodgers, T. (2011), Investor sentiment and calendar anomaly effects: a case study of the impact of Ramadan on Islamic Middle Eastern markets. Research in International Business and Finance, 25(3), 345-356.

Al?Khazali, O. M. (2008) The impact of thin trading on day?of?the?week effect: Evidence from the United Arab Emirates. Review of Accounting and Finance, 7(3), 270-284.

Alshebli, A. R. A. S. (2019). Fair disclosure of inside information by listed companies: A comparative study between the UK and Kuwait. Journal of Research in Emerging Markets, 1(1), 13-23.

Al-Tamimi, H. A. H., Alwan, A. A., & Abdel Rahman, A. A. (2011). Factors affecting stock prices in the UAE financial markets. Journal of Transnational Management, 16(1), 3-19.

Chan, K., Hameed, A., & Tong, W. (2000). Profitability of momentum strategies in the international equity markets. Journal of Financial and Quantitative Analysis, 35(2), 153–172.

Chiang, C.T. & Zheng, D. (2010), An empirical analysis of herd behavior in global stock markets. Journal of Banking and Finance, Vol. 34 No. 8, pp. 1911-1921.

Da, Z., Liu, Q., & Schaumburg, E. (2014). A closer look at the short-term return reversal. Management Science, 60, 658–674.

de Groot, W., Pang, J., & Swinkels, L. A. P. (2012b). The cross-section of stock returns in frontier emerging markets. Journal of Empirical Finance, 19(5), 796–818.

Durham, J. B. (2013). Momentum and the term structure of interest rates (FRB of NewYork Staff report No. 657). Available at SSRN: abstract=2377379 or Accessed 20 Oct 2015.

Fama, E. F., & French, K. R. (2008). Dissecting anomalies. Journal of Finance, 63(4), 1653–1678.

Feng, Z., Price, S. M., & Sirmans, C. F. (2014). The relation between momentum and drift: Industry-level evidence from equity Real Estate Investment Trusts (REITs). Journal of Real Estate Research, 36(3), 407.

Gebhardt, W. R., Hvidkjaer, S., & Swaminathan, B. (2005). Stock and bond market interaction: Does momentum spill over? Journal of Financial Economics, 75(3), 651–690.

Griffin, J., Ji, X., & Martin, S. J. (2005). Global momentum strategies: A portfolio perspective. Journal of Portfolio Management, 31(2), 23–39.

Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. Journal of Finance, 45, 881–898.

Jegadeesh, N., & Titman, S. (1995). Short-horizon return reversals and the bid-ask spread. Journal of Financial Intermediation, 4, 116–132.

Jostova, G., Nikolova, S., Philipov, A., & Stahel, C. W. (2013). Momentum in corporate bond returns. Review of Financial Studies, 26(7), 1649–1693.

Lehmann, B. N. (1990). Fads, martingales, and market efficiency. Quarterly Journal of Economics, 105(1), 1–28.

Luu, B. V., & Yu, P. (2012). Momentum in government-bond markets. Journal of Fixed Income., 22(2), 72–79.

Maghyereh, A & Awartani, B. (2012). Return and volatility spillovers between the Dubai financial market and Abu Dhabi Stock Exchange in the UAE. Applied Financial Economics. 22. 837-848.

Medhioub, I. & Chaffai, M. (2018). Islamic finance and herding behavior: an application to Gulf Islamic stock markets. Review of Behavioral Finance, 10 (2), 192-206.

Menkoff, L., Sarno, L., Schmeling, M., & Schrimpf, A.(2011). Currency momentum strategies. Available at SSRN: or Accessed 21 Oct 2015.

Mikutowski, M., Kambouris, G. D., & Zaremba, A. (2019). A note on value investing in the UAE stock market. Journal of Research in Emerging Markets, 1 (2), 33-38.

Moss, A., Clare, A., Thomas, S. H., & Seaton, J. (2015). Trend following and momentum strategies for global REITs. Journal of Real Estate Portfolio Management, 21(1), 21–31.

Moustafa, M. (2004). Testing the weak?form efficiency of the United Arab Emirates stock market. International Journal of Business, 9, 309?325.

Newey, W.K. & West K.D. (1987). A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Covariance Matrix, Econometrica 55 (3), 703-708

Rouwenhorst, G. K. (1998). International momentum strategies. Journal of Finance, 53(1), 267–284.

Rouwenhorst, G. K. (1999). Local return factors and turnover in emerging stock markets. Journal of Finance, 54, 1439–1464.

Seamans, G. (1939). The seven pillars of stock market success. Brightwaters: Windsor Books.

Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425–442.

Szczygielski, J. J., Mikutowski, M., Zaremba, A. (2019). Is there a low-risk anomaly in the UAE stock market? Journal of Research in Emerging Markets, 1 (2), 39-44.

Szymanowska, M., de Roon, F., Nijman, T., & van den Goorbergh, R. (2014). An anatomy of commodity futures risk premia. Journal of Finance, 69(1), 453–482.

Wyckoff, R. F. (1924). How I trade in stocks and bonds: Being some methods evolved and adapted during my thirty-three years’ experience in Wall Street. New York: Magazine of Wall Street.

Zaremba, A., & Maydybura, A. (2019). The cross-section of returns n frontier equity markets: Integrated or segmented pricing? Emerging Markets Review, 38, 219-238.

Zaremba, A., & Schabek, T. (2017). Seasonality in government bond returns and factor premia. Research in International Business and Finance, 41, 292–302.

Zaremba, A., Mikutowski, M., Karathanasopoulos, A., & Osman, M. (2019). Picking winners to pick your winners: The momentum effect in commodity risk factors. The North American Journal of Economics and Finance, 50, 101017.

Zaremba, A., Umutlu, M., & Maydybura, A. (2018). Less pain, more gain: Volatility-adjusted residua momentum in international equity markets. Investment Analysts Journal, 47 (2): 165-191.