Cross-sectional and time-series momentum returns: are Islamic stocks different?

We search for differences in both unconditional and conditional momentum returns of Islamic and Non-Islamic stocks and test implications of competing behavioural theories that aim to explain momentum returns. Our results show that there is no significant difference in momentum returns between Islamic versus Non-Islamic stocks with respect to both cross-sectional (CS) and time-series (TS) momentum strategies even when we condition momentum returns on market dynamics, information uncertainty and idiosyncratic volatility. We also find that the TS strategy outperforms (underperforms) the CS strategy in market continuations (transitions) consistent with the recent evidence in the U.S. market.

Furthermore, we find that CS and TS strategies of both Islamic and Non-Islamic stocks are profitable only when the market continues in the same state consistent with overconfidence driving momentum returns of both Islamic and Non-Islamic stocks.     

Are momentum crashes pervasive regardless of strategy? Evidence from the foreign exchange market

This article studies the option-like behaviour of popular momentum strategies implemented in foreign exchange markets. The results confirm recent research findings of strong option-like behaviour for momenutm measures, based on the cumulative return from 12 and 6 months prior to the formation date Surprisingly, there is no such evidence for the popular momentum strategy accounting for a 1-month formation period.     

Building ‘mass’ and ‘momentum’ – a latecomer country’s passage to large technological systems – the case of China

This paper focuses on how a latecomer country can bring a large (infrastructural) technological system (LTS) to a market already dominated by the entrenched systems of global technology leaders. We construct a conceptual framework, building on Hughes LTS theory (1983) and insights from social studies of technology into the specificities of infrastructural sociotechnical systems to analyse the development of China’s 3rd Generation mobile telephony system. We explore the complex dynamics surrounding the distributed governance of innovation, highlighting changes in key system builders. We note the role of the state in addressing critical problems (‘reverse salients’), both in terms of aligning players through legitimating and sense-making and also, building the necessary mass and momentum. This includes a more radical reconfiguring of the field to secure the substantial commitments needed to materialise and embed a new LTS infrastructure.