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The Profitability of Momentum Strategies: Empirical Evidence from Damascus Securities Exchange (DSE)

Oubay Mahmoud


Almougheer I. Wardeh

Oubay Mahmoud 1

Almougheer I. Wardeh 2

  1. Lecturer at Faculty of Economics, Department of Finance & Banking, Tishreen University, Syria 1

  2. Master student at Faculty of Economics, Department of Finance & Banking, Tishreen University, Syria 2

Pages: 16-29

DOI: 10.18488/journal.62.2018.51.16.29

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Article History:

Received: 26 September, 2017
Revised: 30 November, 2017
Accepted: 23 January, 2018
Published: 23 February, 2018


The purpose of this study is to examine the profitability of Momentum based- trading strategies and investigate the causes of such profitability in Damascus Securities Exchange (DSE) market. The study analyzed 16 Momentum strategies based on full rebalancing and equally weighted techniques using monthly data from January 2010 to December 2016. The findings of the study showed low but significant Momentum effect, where the returns of Momentum portfolios were statistically positive only in 1 out of 16 strategies. Our findings suggest that Momentum strategy is applicable for winner portfolios whereas contrarian strategy is more appropriate for loser portfolios. We also adopted Market Model in order to investigate the possible risk-based explanations of Momentum profits, but we found that market risk is unable to explain the Momentum profitability in DSE market.
Contribution/ Originality
This study contributes in the literature related to financial market efficiency by finding the link between Momentum strategies and abnormal returns. Consequently, providing an evidence about the link between Momentum effect and market efficiency in emerging markets.


Momentum strategy, Contrarian strategy, Efficient market hypothesis, Market model, Damascus securities exchange.



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This study received no specific financial support.

Competing Interests:

The authors declare that they have no competing interests.


All authors contributed equally to the conception and design of the study.

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