文章基本信息

标题：Time-series and Cross-sectional Momentum in the Saudi Arabia Stock Market Returns
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作者：Shah Saeed Hassan Chowdhury
期刊名称：International Research Journal of Finance and Economics
印刷版ISSN：1450-2887
电子版ISSN：1450-2887
出版年度：2017
期号：164
页码：85-100
出版社：European Journals Inc.
摘要：This paper investigates the presence of time-series and cross-sectional momentum profits and the relationship between these two types of profits in the Saudi Arabia stock market. Results confirm that both time-series momentum and cross-sectional contrarian profits are present in this market. The presence of cross-sectional contrarian profits is stronger than that of time-series momentum profits. Cross-sectional profits are so strong that it remains even after time-series momentum and other market risk factors are considered. An observation period of three months gives the best opportunity to provide cross-sectional contrarian profits. Finally, there is a relationship between these two types of momentum profits in the short holding period, but as the holding period increases the relationship fades away.
关键词：Time-series momentum; Cross-sectional momentum; Behavioral finance; Saudi stock market; Emerging markets; Frontier markets.