1,784
Views
2
CrossRef citations to date
0
Altmetric
BANKING & FINANCE

Momentum strategies and market state in Moroccan industries

, &
Article: 2135217 | Received 06 Jul 2022, Accepted 09 Oct 2022, Published online: 28 Oct 2022

References

  • Asem, E., & Tian, G. Y. (2010). Market dynamics and momentum profits. Journal of Financial and Quantitative Analysis, 45(6), 1549–15. https://doi.org/10.1017/S0022109010000542
  • Balvers, R. J., & Wu, Y. (2006). Momentum and mean reversion across national equity markets. Journal of Empirical Finance, 13(1), 24–48. https://doi.org/10.1016/j.jempfin.2005.05.001
  • Cakici, N., Fabozzi, F. J., & Tan, S. (2013). Size, value, and momentum in emerging market stock returns. Emerging Markets Review, 16, 46–65. https://doi.org/10.1016/j.ememar.2013.03.001
  • Chan, K., Hameed, A., & Tong, W. (2000). Profitability of momentum stragegies in the international equity markets. Journal of Financial and Quantitative Analysis, 35(2), 153–172. https://doi.org/10.2307/2676188
  • Cheema, M. A., & Nartea, G. V. (2017). Momentum returns, market states, and market dynamics: Is China different? International Review of Economics & Finance, 50, 85–97. https://doi.org/10.1016/j.iref.2017.04.003
  • Chordia, T., & Shivakumar, L. (2002). Momentum, business cycle, and time‐varying expected returns. The Journal of Finance, 57(2), 985–1019. https://doi.org/10.1111/1540-6261.00449
  • Cooper, M. J., Gutierrez, R. C., & Hameed, A. (2004). Market states and momentum. The Journal of Finance, 59(3), 1345–1365. https://doi.org/10.1111/j.1540-6261.2004.00665.x
  • Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security.
  • Dempsey, M. (2010). The book-to-market equity ratio as a proxy for risk: Evidence from Australian markets. Australian Journal of Management, 35(1), 7–21. https://doi.org/10.1177/0312896209351451
  • Ejaz, A., & Polak, P. (2015). Short-term momentum effect: A Case of Middle East stoCK marKets. Verslas: teorija ir praktika, (1), 104–112. https://doi.org/10.3846/btp.2015.438
  • Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5
  • Farooq, O., & Benali, M. (2012). “Earnings management behavior of the initial public offering (IPO) firms during pre-IPO and post-IPO years: Evidence from the Casablanca Stock Exchange “. African Journal of Business Management, 6(31), 9005–9014. https://doi.org/10.5897/AJBM11.2413
  • Gharaibeh, O. (2016). Evidence of the momentum effect in the Morocco stock market: 1995–2014. International Review of Management and Business Research, 5(1), 204. https://www.irmbrjournal.com/papers/1455103505
  • Gharaibeh, O. (2017). Strong and weak price momentum components: Evidence from 10 Arabic market indices. International Journal of Academic Research in Accounting, Finance and Management Sciences, 7(1), 151–161. https://doi.org/10.6007/IJARAFMS/v7-i1/2591
  • Griffin, J. M., Ji, X., & Martin, J. S. (2003). Momentum investing and business cycle risk: Evidence from pole to pole. The Journal of Finance, 58(6), 2515–2547. https://doi.org/10.1046/j.1540-6261.2003.00614.x
  • Grobys, K., & Kolari, J. (2020). On industry momentum strategies. Journal of Financial Research, 43(1), 95–119. https://doi.org/10.1111/jfir.12205
  • Huang, D. (2006). Market states and international momentum strategies. The Quarterly Review of Economics and Finance, 46(3), 437–446. https://doi.org/10.1016/j.qref.2004.07.009
  • Jegadeesh, N. and Titman,S. 1993: Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance 48, 65. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x
  • Jegadeesh, N. and Titman, S. (2001). Profitability of Momentum Strategies: An Evaluation of Alternative Explianations, Journal of Finance, 56, 699. https://doi.org/10.1111/0022-1082.00342
  • Kassimatis, K. (2008). Size, book to market and momentum effects in the Australian stock market. Australian Journal of Management, 33(1), 145. https://doi.org/10.1177/031289620803300108
  • Lekhal, M., & El Oubani, A. (2020). Does the adaptive market hypothesis explain the evolution of emerging markets efficiency? Evidence from the Moroccan financial market. Heliyon, 6(7), 7. https://doi.org/10.1016/j.heliyon.2020.e04429
  • Li, L., & Galvani, V. (2018). Market states, sentiment, and momentum in the corporate bond market. Journal of Banking & Finance, 89, 249–265. https://doi.org/10.1016/j.jbankfin.2018.02.007
  • Peterkort, R. F., & Nielsen, J. F. (2005). Is the book-to-market ratio a measure of risk?. Journal of Financial Research, 28(4), 487–502. https://doi.org/10.1111/j.1475-6803.2005.00135.x
  • Rouwenhorst, K. G. (1998). International momentum strategies. The Journal of Finance, 53(1), 267–284. https://doi.org/10.1111/0022-1082.95722
  • Simlai, P. (2009). Stock returns, size, and book-to-market equity. Studies in Economics and Finance, 26(3), 198–212. https://doi.org/10.1108/10867370910974026
  • Su, C. (2021). A comprehensive investigation into style momentum strategies in China. Financial Markets and Portfolio Management, 35(1), 101–144. https://doi.org/10.1007/s11408-020-00375-z
  • Wang, S. (2020). The momentum effects and market timing of momentum strategies in Chinese stock market. University of Groningen. Faculty of Economics and Business.
  • White, H. (1980). A Heteroskedasticity Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. Econometrica, 48(4), 817–838. https://doi.org/10.2307/1912934