Momentum investment strategies in the MENA financial markets

Dissertant

Karmouche, Amini

Thesis advisor

Sharafi, Abd al-Latif
Abrashi, Jawad

University

Al Akhawayn University

Faculty

The School of Business Administration

University Country

Morocco

Degree

Master

Degree Date

2015

English Abstract

In the framework of this master thesis, we examine the poten- tial of momentum investment strategies in the Middle East and North African equity markets.

Regarded as frontier markets with high growth potential, the MENA equity markets attract investors seeking port- folio diversi cation.

The recent geopolitical changes in the MENA region have eliminated some barriers to entry for investors worldwide.

MENA markets are more open to competition and are welcoming for- eign investment in the regional nancial markets.

These markets have been under-investigated in the past, and this thesis contributes to further the understanding of the market dynamics and nancial inte- gration in the region.

Following a behavioral nance theoretical background, this thesis investigates the momentum anomaly in the MENA markets.

We con- struct a momentum trading strategy by de ning an asset allocation framework based on return and price momentum.

After selecting as- sets, the strategy consists of buying the top performing assets, and sell- ing the bottom performing ones (assuming short selling is not allowed among institutional investors in the MENA markets).

After ranking the assets based their formation period performance, the portfolio will be held during the holding period and rebalanced periodically.

The performance of this momentum strategy will be contrasted with that of an S&P 500 buy and hold strategy

Main Subjects

Business Administration

No. of Pages

58

Table of Contents

• APA
• MLA
• AMA

Language

English

Data Type

Arab Theses

Record ID

BIM-628453