Contact Us

For Marketing, Sales and Subscriptions Inquiries
Rockefeller Center, 45 Rockefeller Plaza
20th Flr Unit #5, New York, NY 10111
United States

Conference List

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

Share :

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.



Abbas, G., 2014. Testing random walk behavior in the damascus securities exchange. International Journal of Academic Research in Accounting, Finance and Management Sciences, 4(4): 317-325. View at Google Scholar | View at Publisher

Al-Ahmad, Z., 2012. Testing the weak form efficiency of the damascus securities exchange. International Research Journal of Finance and Economics, 85: 154-165. View at Google Scholar 

Al-Muhairi, M., 2011. Assessing momentum investment strategies in the U.A.E. Stock Market. PH.D Thesis, Department of Finance and Accounting, Business School, University of Portsmouth.

Annerstedt, P. and A. Schonstrom, 2006. Profitability of momentum strategies on the nordic stock market. Master dissertation. Department of Business Administration, School of Economics and Management, Lund University.

Cheng, J.W. and H. Wu, 2010. The profitability of momentum trading strategies: Empirical Evidence from Hong Kong. International Review of Economics and Finance, 19(4): 527-538. View at Google Scholar | View at Publisher

Chordia, T. and L. Shivakumar, 2006. Earnings and price momentum. Journal of Financial Economics, 80(3): 627-656.View at Google Scholar | View at Publisher

Chui, A.C.W., S. Titman and K.C.J. Wei, 2001. Momentum, legal systems and ownership structure: An analysis of Asian stock markets. Working Paper. Hong Kong Polytechnic University.

De Bondt, W.F.M. and R.H. Thaler, 1985. Does the stock market overreact? Journal of Finance, 40: 793-805. View at Google Scholar 

De Bondt, W.F.M. and R.H. Thaler, 1987. Further evidence of investor overreaction and stock market seasonality. Journal of Finance, 42(3): 557-581. View at Google Scholar | View at Publisher

Griffin, J.M., X. Ji and J.S. Martin, 2003. Momentum investing and business cycle risk: Evidence from pole to pole. Journal of Finance, 58(6): 2515-2547. View at Google Scholar | View at Publisher

Habib-Ur-Rahman and H.M. Mohsin, 2012. Momentum effect: Empirical evidence from karachi stock exchange. Pakistan Development Review, 4: 449-461. View at Google Scholar 

Hon, M. and I. Tonks, 2001. Momentum in the UK Stock Market. Discussion Paper, Department of Economics, University of Bristol 01/516: 1-23.

Jagadeesh, N. and S. Titman, 1993. Returns to buying winners and selling losers: Implications for stock market efficiency. Journal of Finance, 48(1): 65-91. View at Google Scholar | View at Publisher

Jagadeesh, N. and S. Titman, 2001. Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance, 56(2): 699-720. View at Google Scholar | View at Publisher

Khan, S., F. Saddiqui, H. Ali and S.U. Khan, 2016. Momentum strategies and karachi stock exchange. Journal of Poverty, Investment and Development, 26: 51-61.

Kolobaric, A. and P. Khatabakhsh, 2011. Profitability of momentum strategies around the World. Master Dissertation, Department of Economics, Lund University.

Luxianto, R., 2010. Comparison in measuring effectiveness of momentum and contrarian trading strategy in Indonesian stock exchange. Master Thesis, Faculty of Economics. Jakarta, Indonesia.

Polak, P. and A. Ejaz, 2012. Momentum strategy and Bombay stock exchange. Modern Economy: Challenges, Trends and Prospects, 7. Retrieved from

Rouwenhorst, K.G., 1998. International momentum strategies. Journal of Finance, 53(1): 267 −284. View at Google Scholar 

Rouwenhorst, K.G., 1999. Local return factors and turnover in emerging stock markets. Journal of Finance, 54(4): 1439-1464. View at Google Scholar | View at Publisher

Siganos, A., 2004. The momentum effect on the London stock exchange. PH.D Thesis, Department of Accounting Finance & Law, University of Stirling, London.

Sondergaard, M.E., 2010. The momentum effect on stock markets: A Literature Review and An Empirical Study. Master Dissertation in Finance and Accounting, Copenhagen Business School- Institute of Accounting and Auditing. .

Vas, A. and K. Absalonsen, 2014. The momentum effect: An empirical study of the Oslo stock exchange. Master Dissertation in Applied Economics and Finance, Copenhagen Business School.


Google Scholor ideas Microsoft Academic Search bing Google Scholor


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.

Related Article

( 1 ) The Effect of Selected Financial Ratios on Profitability: An Empirical Analysis of Listed Firms of Cement Sector in Saudi Arabia
( 2 ) Market Share and Profitability Relationship: A Study of the Banking Sector in Nigeria
( 3 ) The Profitability of Momentum Strategies: Empirical Evidence from Damascus Securities Exchange (DSE)
( 4 ) The Effect of Internal and External Factors of Companies on Profitability and its Implications on Stock Price Index of State-Owned Banks
( 5 ) Profitability of Commercial Bank on Interest Rate Deregulation
( 6 ) Factors that Influence Profitability of General Insurance Issuers in Indonesia
( 7 ) Determinants of Banks Profitability & Liquidity and the Role of BASEL III in Islamic & Conventional Banking Sector of Pakistan: A Case Study of NBP
( 8 ) Profitability Behavior of Plastic Industries in Indonesia
( 9 ) Analysis of Effect of Profitability, Capital, Risk Financing, the Sharia Supervisory Board and Capabilities Zakat in Islamic Perspective with Circular Approach Causastion on Islamic Banks in Indonesia
( 10 ) Does Capital Structure Affect the Profitability of Listed Family and Non-Family Firms? Evidence from Bangladesh
( 11 ) Determinants of Profitability and its Implications on Corporate Values (Studies at Ceramic, Porcelain and Glass Sub Sector Listed in Indonesia Stock Exchange, 2009 - 2018)
( 12 ) Testing the Validity of Gibrats Law in the Context of Profitability and Leverage
( 13 ) The Effect of Capital Structure Decisions on Profitability of Quoted Consumer Goods in Nigeria
( 14 ) Determinants of Firm Profitability: Evidences from Bangladeshi Manufacturing Industry
( 15 ) Factors Affecting Profitability of General Insurance Companies in Indonesia
( 16 ) Factors Influencing Profitability of Commercial Banks in Tanzania: A Case Study of CRDB Bank Plc
( 17 ) The Relationship Between Market Share and Profitability of Ghanaian Banks
( 20 ) Driving Role of Institutional Investors in the Indian Stock Market in Short and Long-Run – An Empirical Study
( 21 ) Just-In-Time: Review of Empirical Studies
( 23 ) An Empirical Test on Effect of Intra-Product Trade on Regional Income Distribution: The Case of Liaoning, China
( 24 ) Causal Relationship between Imports and Economic Growth in Zimbabwe: An Empirical Analysis 1975 – 2013
( 25 ) The Internal Branding Process: Customer Reprofiling and Brand Positioning (Empirical Study on Traditional Snack Food in Bandung-Indonesia)
( 26 ) Managerial Judgement Versus Financial Techniques in Strategic Investment Decisions: An Empirical Study on the Syrian Coastal Region Firms
( 27 ) Empirical Evidence on Municipal Tax Policy and Firm Growth
( 28 ) The Effect of Public Debt on Domestic Product and Unemployment (An Empirical Study on the Palestinian Economy)
( 29 ) Does the Holiday Effect Differ from Religious to Non-Religious Holidays? Empirical Evidence from Egypt
( 30 ) What Drives Banking Stability? Empirical Evidence from ECOWAS Countries
( 32 ) An Empirical Investigation into the Key Drivers of Economic Performance in the CEMAC Zone: A Panel Corrected Standard Errors Approach
( 33 ) Forecasting Equity Index Volatility: Empirical Evidence from Japan, UK and USA Data
( 34 ) Intention to Use E-Recruitment System: Empirical Evidence from Jobseekers in the Advertising Industry in Malaysia
( 35 ) Disaggregated Foreign Capital Inflows and Economic Growth in a Developing Economy: Empirical Evidence from Nigeria
( 36 ) Exchange Rate and Foreign Reserves Interface: Empirical Evidence from Nigeria
( 37 ) An Empirical Assessment of the Impact of Access to Credit on Farm Output: A Case Study of Sefwi-Wiawso Municipality Ghana
( 38 ) An Empirical Evaluation of Cashless Systems Implementation in Ghana
( 39 ) The Transitional Relationship between Economic Growth and Exchange Rate in Ghana: An Empirical Approach
( 40 ) Incidence of Short Term Private Capital Outflow: Empirical Analysis in Nigeria
( 41 ) Perceived Poverty and Alleviation Efforts of Kogi State Community and Social Development Agencies in Kogi State: An Empirical Investigation
( 42 ) An Empirical Investigation of Real Exchange Rate Responses to Foreign Currency Inflows: Revisiting the Dutch Disease Phenomenon in South Asia
( 43 ) Inflation, Oil Revenue, and Monetary Policy Mix in an Oil-Dependent Economy: Empirical Insights from the Case of Nigeria
( 44 ) Effect of Savings Deposit Rate on Stock Market Capitalization in Nigeria: An Empirical Investigation
( 45 ) The Impact of Social Media on Economic Growth: Empirical Evidence of Facebook, YouTube, Twitter and Pinterest
( 46 ) Drivers Behind the Financial Insolvency: An Empirical Study on the Textile Industry in Bangladesh
( 47 ) An Empirical Analysis of the Impact of Decentralization on Poverty in Cameroon
( 48 ) An Empirical Investigation of the Impact of FDI, Export and Gross Domestic Savings on the Economic Growth in Bangladesh
( 49 ) Exploring the Linkages between Remittances, Economic Growth and Poverty: Empirical Evidence from Pakistan
( 50 ) Contribution of Ready-Made Garments Industry on the Economic Development of Bangladesh: An Empirical Analysis
( 51 ) Impacts of Domestic Savings and Domestic Investment on Economic Growth: An Empirical Study for Pakistan
( 52 ) Nexus among Foreign Exchange Reserve, Remittance and Trade Openness: An Empirical Investigation in the Case of Bangladeshi Economy
( 53 ) New Evidence on the Link Between Income Inequality and Misery Index: A Nonlinear Time Series Analysis
( 54 ) How Telecommunication Development Aids Economic Growth: Evidence from Itu Ict Development Index (IDI) Top Five Countries for African Region
( 55 ) The Impact of Human Capital on Economic Growth: Evidence from Tunisia Using Star and Stecm Models
( 56 ) The Nexus between Financial Crisis and Household Consumption: Evidence from Emerging Countries
( 57 ) Effective Tax Administration and Institutionalization of Accounting Systems in Small and Medium Scale Enterprises: Evidence from Nigeria
( 58 ) Moderating Effect of Demographics on Monetary Motivation and Employees Job Performance Relationship: Evidence from Malaysia
( 59 ) The Impact of Dividend Policy on Shareholders’ Wealth before and After Financial Melt down: Evidence from FMCG Sector in India
( 60 ) Stock Market Performance and Economic Growth: Evidence from Nigeria Employing Vector Error Correction Model Framework
( 61 ) Share Options, Share Award and Firm’s Performance: Evidence from Malaysian Public Listed Companies
( 62 ) Impact of Inflation on Per Capita Income in Emerging Economies: Evidence from BRICS Nations
( 63 ) Does Managerial Emotional Biases Affect Debt Maturity Preference? Bayesian Network Method: Evidence from Tunisia
( 65 ) The Effect of Exchange Rate Changes on Consumer Prices in Nigeria: Evidence from VECM Model
( 66 ) Testing the PPP Using Unit Root Tests with Structural Breaks: Evidence from Politically Unstable Arab Countries
( 67 ) Dynamics of Inflation, Economic Growth, Money Supply and Exchange Rate in India: Evidence from Multivariate Analysis
( 69 ) Financial Deepening, Interest Rate Spread and Economic Growth: New Evidence from Sub-Sahara Africa
( 72 ) An Investigation of the Relationship between Manufacturing Output and Economic Growth : Evidence from Nigerias Data Set
( 73 ) Macroeconomic Indicators and Capital Formation Growth in Nigeria: A New Evidence
( 74 ) Foreign Capital Inflows and Unemployment in Nigeria: A New Evidence from ARDL-Bounds Testing Approach
( 79 ) External Debt and Economic Growth: Two-Step System GMM Evidence for Sub-Saharan Africa Countries
( 80 ) Impact of Network Finance Development on Inflation: Evidence from Chinese Market
( 81 ) The Relationship between Financial Development, Economic Growth, and Inflation: Evidence from Southeast Asia
( 82 ) Exchange Rate Pass-through to Prices: VAR Evidence for Albania
( 83 ) Externality Effects of Sachet and Plastic Bottled Water Consumption on the Environment: Evidence from Benin City and Okada in Nigeria
( 85 ) Analysis of Credit Ratings Determinants: Evidences in Brazilian and American States
( 87 ) The Impact of Economic Growth, Oil Price, and Financial Globalization Uncertainty on Financial Development: Evidence from Selected Leading African Countries
( 88 ) Interest Rate Ceilings and Financial Exclusion in Kenya: Evidence from Commercial Banks’ Sectoral Credit Distribution
( 89 ) Non-Linear Effects of Intellectual Property Rights on Technological Innovation: Evidence from Emerging and Developing Countries
( 90 ) Effect of Tax Administration on Tax Revenue of States in African Countries: Evidence from Nigeria
( 92 ) Influence of Corporate Characteristics on Firm Leverage: Evidence from Bangladesh
( 94 ) The Reasons Behind the Shift of Patients from Public to Private Hospitals: Evidence from Public Hospitals in Cumilla City Corporation
( 95 ) Analyzing the Impact of Eco-Innovation on Carbon Emissions Abatement: Evidence from OECD Countries
( 96 ) Research on the Construction and Application of Chinese Enterprises Overseas Port Investment Confidence Index Based on D-S Evidence Theory
( 97 ) Decision Making of Charity Fund Allocation: Evidence from Hong Kong
( 98 ) Financial Development and Economic Growth in Nigeria: New Evidence from a Threshold Autoregressive and Asymmetric Analysis
( 99 ) Income Shocks and Child Mortality Rates: Evidence from Fluctuations in Oil Prices
( 100 ) Money Supply & Growth Nexus: Evidence from Nigeria
( 101 ) World Governance Indicators and Fraud: Evidence from One Belt One Road Countries
( 102 ) CSR Themes Quality, Good Corporate Governance, and Earnings Management: Evidence from Indonesia
( 103 ) Twin Deficit Hypothesis and Macroeconomic Fundamentals: New Evidence from Nigeria
( 104 ) Women in Parliament and Public Health Expenditure: Evidence from Sub-Saharan African Countries
( 105 ) Natural Resource Rents-Capital Flight Nexus in Selected ECOWAS Countries: Evidence from Non-Linear ARDL Approach
( 113 ) Climate Change Adaptation in Semi-Arid Dodoma: An Experience from Eco-Village
( 119 ) Academic Mobility for Engineering and Technology Graduates in Africa: Lessons and Experiences from the Implementation