Muhammad A. Cheema

University of Waikato New Zealand

Senior Lecturer in Finance

Hamilton, 3216

New Zealand

  • University of Waikato New Zealand

SCHOLARLY PAPERS

19

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Scholarly Papers (19)

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1.

Cross-Sectional and Time-Series Momentum Returns and Market States

Downloads 1,007 ( 23,572)

Cross-Sectional and Time-Series Momentum Returns and Market States

Number of pages: 13 Posted: 16 Mar 2017 Last Revised: 15 May 2017
Muhammad A. Cheema, Gilbert Nartea and Yimei Man
University of Waikato New Zealand, University of Canterbury - College of Business and Law and University of Waikato, Management School
Downloads 1,005 (23,257)

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momentum returns, cross-sectional, time-series, market states

Cross‐Sectional and Time Series Momentum Returns and Market States

International Review of Finance, Vol. 18, Issue 4, pp. 705-715, 2018
Number of pages: 11 Posted: 07 Dec 2018
Muhammad A. Cheema, Gilbert V. Nartea and Yimei Man
University of Waikato New Zealand, University of Waikato - Department of Economics and Finance and University of Waikato, Management School
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2.

Investor Sentiment Dynamics, the Cross-Section of Stock Returns and the MAX Effect

Number of pages: 43 Posted: 18 Sep 2017 Last Revised: 30 Apr 2018
Muhammad A. Cheema and Gilbert Nartea
University of Waikato New Zealand and University of Canterbury - College of Business and Law
Downloads 578 (50,566)

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sentiment dynamics, cross-section, arbitrage, asset pricing, maximum returns

3.

Investor Sentiment: Predicting the Overvalued Stock Market

Number of pages: 10 Posted: 02 Apr 2018 Last Revised: 18 May 2020
Muhammad A. Cheema, Yimei Man and Kenneth Szulczyk
University of Waikato New Zealand, University of Waikato, Management School and Curtin University, Malaysia
Downloads 226 (146,952)

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Investor Sentiment, Overpricing, Underpricing, Stock Market Returns

4.

Does Investor Sentiment Predict the Near-term Returns of the Chinese Stock Market?

Downloads 192 (171,155)
Citation 1

Does Investor Sentiment Predict the Near-term Returns of the Chinese Stock Market?

Number of pages: 11 Posted: 29 Nov 2017 Last Revised: 24 Mar 2018
Muhammad A. Cheema, Yimei Man and Kenneth Szulczyk
University of Waikato New Zealand, University of Waikato, Management School and Curtin University, Malaysia
Downloads 192 (171,045)
Citation 1

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Investor Sentiment, Return Predictability, Boom and Bust, China

Does Investor Sentiment Predict the Near‐Term Returns of the Chinese Stock Market?

International Review of Finance, Vol. 20, Issue 1, pp. 225-233, 2020
Number of pages: 9 Posted: 13 Mar 2020 Last Revised: 17 May 2020
Muhammad A. Cheema, Yimei Man and Kenneth Szulczyk
University of Waikato New Zealand, University of Waikato, Management School and Curtin University, Malaysia
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5.

Cross-Sectional and Time-Series Momentum Returns: Are Islamic Stocks Different?

Downloads 180 (181,413)

Cross-Sectional and Time-Series Momentum Returns: Are Islamic Stocks Different?

Number of pages: 34 Posted: 11 Apr 2017 Last Revised: 30 Apr 2018
Muhammad A. Cheema and Gilbert Nartea
University of Waikato New Zealand and University of Canterbury - College of Business and Law
Downloads 180 (181,368)

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Islamic stocks; Cross-sectional; Time-series; Momentum returns; Market dynamics

Cross-Sectional and Time-Series Momentum Returns: Are Islamic Stocks Different?

Applied Economics, Forthcoming
Posted: 16 May 2018
Muhammad A. Cheema and Gilbert Nartea
University of Waikato New Zealand and University of Canterbury - College of Business and Law

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Islamic Stocks; Cross-Sectional; Time-Series; Momentum Returns; Market Dynamics

6.

Oil Prices and Stock Market Anomalies

Downloads 156 (205,045)

Oil Prices and Stock Market Anomalies

Number of pages: 39 Posted: 29 Jun 2018 Last Revised: 03 Apr 2019
Muhammad A. Cheema and Frank Scrimgeour
University of Waikato New Zealand and University of Waikato - Management School
Downloads 156 (205,361)

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Oil Prices, Stock Market Anomalies, Mispricing Score, Chinese Stock Market

Oil Prices and Stock Market Anomalies

Energy Economics, Volume 83, September 2019, Pages 578-587
Posted: 17 Aug 2019 Last Revised: 04 May 2020
Muhammad A. Cheema and Frank Scrimgeour
University of Waikato New Zealand and University of Waikato - Management School

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oil prices, stock market anomalies, mispricing score, Chinese stock market

7.

The 2008 Global Financial Crisis and COVID-19 Pandemic: How Safe are the Safe Haven Assets?

Downloads 142 (226,669)
Citation 2

The 2008 Global Financial Crisis and COVID-19 Pandemic: How Safe are the Safe Haven Assets?

Number of pages: 36 Posted: 03 May 2020 Last Revised: 07 Jul 2020
Muhammad A. Cheema, Robert W. Faff and Kenneth Szulczuk
University of Waikato New Zealand, University of Queensland and Xiamen University Malaysia Campus
Downloads 126 (250,187)
Citation 1

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COVID-19, 2008 GFC, gold, safe haven, stablecoin, bitcoin

The 2008 Global Financial Crisis and COVID-19 Pandemic: How Safe are the Safe Haven Assets?

Covid Economics, Vetted and Real-Time Papers, Issue 34, pp. 88-115, 2020
Number of pages: 33 Posted: 05 Jul 2020
Muhammad A. Cheema, Robert W. Faff and Kenneth Szulczuk
University of Waikato New Zealand, University of Queensland and Xiamen University Malaysia Campus
Downloads 16 (610,254)

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COVID-19, 2008 GFC, gold, safe haven, stablecoin, bitcoin

8.

Momentum, Idiosyncratic Volatility and Market Dynamics: Evidence from China

Downloads 127 (241,803)

Momentum, Idiosyncratic Volatility and Market Dynamics: Evidence from China

Number of pages: 39 Posted: 07 Sep 2017
Muhammad A. Cheema and Gilbert Nartea
University of Waikato New Zealand and University of Canterbury - College of Business and Law
Downloads 127 (242,689)

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momentum; idiosyncratic volatility; market dynamics; arbitrage cost; overconfidence

Momentum, Idiosyncratic Volatility and Market Dynamics: Evidence from China

Pacific-Basin Finance Journal, Vol. 46, No. A, 2017
Posted: 25 Sep 2017
Muhammad A. Cheema and Gilbert Nartea
University of Waikato New Zealand and University of Canterbury - College of Business and Law

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momentum; idiosyncratic volatility; market dynamics; arbitrage cost; overconfidence

9.

Rational Speculative Bubbles: Evidence from Asian Stock Markets

Number of pages: 29 Posted: 09 Jan 2018 Last Revised: 24 Sep 2019
Kenneth Szulczyk, Muhammad A. Cheema and Mark J. Holmes
Curtin University, Malaysia, University of Waikato New Zealand and University of Waikato - Management School, Department of Economics
Downloads 111 (266,845)

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rational bubble, cointegration test, explosiveness trend regression test, explosive unit root test, duration dependence test

10.

Three Essays on Momentum Returns

Number of pages: 145 Posted: 30 Oct 2013
Muhammad A. Cheema
University of Waikato New Zealand
Downloads 105 (277,465)

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Momentum returns, market states, Global financial crisis, information uncertainty, retail investors, long-term reversal, idiosyncratic volatility

11.

Momentum Returns: Are Chinese B and H Shares Different?

Number of pages: 10 Posted: 13 Sep 2017 Last Revised: 30 Apr 2018
Muhammad A. Cheema and Yimei Man
University of Waikato New Zealand and University of Waikato, Management School
Downloads 93 (300,569)

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momentum, market dynamics, A shares, B shares, H shares

12.

Maxing Out in China: Optimism or Attention?

Downloads 82 (324,960)

Maxing Out in China: Optimism or Attention?

Number of pages: 14 Posted: 22 Mar 2018 Last Revised: 30 Apr 2018
Muhammad A. Cheema, Gilbert Nartea and Yimei Man
University of Waikato New Zealand, University of Canterbury - College of Business and Law and University of Waikato, Management School
Downloads 82 (327,942)

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MAX premium, China, attention-grabbing, investor optimism

Maxing Out in China: Optimism or Attention?

International Review of Finance, Forthcoming
Posted: 17 May 2018
Muhammad A. Cheema, Gilbert Nartea and Yimei Man
University of Waikato New Zealand, University of Canterbury - College of Business and Law and University of Waikato, Management School

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MAX Premium, China, Attention-Grabbing, Investor Optimism

13.

Cross-Sectional and Time-Series Momentum Returns and Market Dynamics: Evidence from Japan

Downloads 61 (382,007)

Cross-Sectional and Time-Series Momentum Returns and Market Dynamics: Evidence from Japan

Number of pages: 33 Posted: 10 Nov 2017
Muhammad A. Cheema, Gilbert Nartea and Kenneth Szulczyk
University of Waikato New Zealand, University of Canterbury - College of Business and Law and Curtin University, Malaysia
Downloads 61 (387,226)

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Momentum Returns, Time-Series, Cross-Sectional, Market States, Idiosyncratic Volatility

Cross-Sectional and Time-Series Momentum Returns and Market Dynamics: Evidence from Japan

Applied Economics, Forthcoming
Posted: 09 Jan 2018
Muhammad A. Cheema, Gilbert Nartea and Kenneth Szulczyk
University of Waikato New Zealand, University of Canterbury - College of Business and Law and Curtin University, Malaysia

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Momentum Returns, Time-Series, Cross-Sectional, Market States, Idiosyncratic Volatility

14.

Bioelectricity in Malaysia: Economic Feasibility, Environmental and Deforestation Implications

Downloads 30 (504,321)

Bioelectricity in Malaysia: Economic Feasibility, Environmental and Deforestation Implications

Number of pages: 36 Posted: 02 Apr 2019
Kenneth Szulczyk, Muhammad A. Cheema, Ross Cullen and Md. Atiqur Rahman Khan
Curtin University, Malaysia, University of Waikato New Zealand, Lincoln University (NZ) - Commerce Division and Rajshahi University - Dept. of Finance
Downloads 30 (517,672)

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bioelectricity; waste biomass; partial equilibrium model; cost competitiveness

Bioelectricity in Malaysia: Economic Feasibility, Environmental and Deforestation Implications

The Australian Journal of Agricultural and Resource Economics, Volume 64, Issue 2, Pages 294-321, October 2019
Posted: 16 Jun 2020
Kenneth Szulczuk, Muhammad A. Cheema, ross cullen and Md. Atiqur Rahman Khan
Xiamen University Malaysia Campus, University of Waikato New Zealand, affiliation not provided to SSRN and Rajshahi University - Dept. of Finance

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Bio-electricity; Waste Biomass; Partial Equilibrium Model; Cost Competitiveness

15.

Cryptocurrency returns and economic policy uncertainty: A multicountry analysis using linear and quantile-based models

Number of pages: 34 Posted: 28 Apr 2020 Last Revised: 28 May 2020
Muhammad A. Cheema, Kenneth Szulczuk and Elie Bouri
University of Waikato New Zealand, Xiamen University Malaysia Campus and Université Saint Esprit de Kaslik (USEK)
Downloads 24 (538,212)

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Cryptocurrency; Return Predictability; Economic Policy Uncertainty Index; Safe Haven; Speculative Assets

16.

Bubble Footprints in the Malaysian Stock Market: Are They Rational?

International Journal of Accounting and Information Management , Vol. 22, No. 3, 2014
Posted: 01 Aug 2017
Gilbert Nartea and Muhammad A. Cheema
University of Canterbury - College of Business and Law and University of Waikato New Zealand

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Rational Speculative Bubbles, Duration Dependence, Emerging Markets, Malaysia

17.

Searching for Rational Bubble Footprints in the Singaporean and Indonesian Stock Markets

Journal of Economics and Finance, Vol. 41, No. 3, 2017
Posted: 10 Apr 2017 Last Revised: 10 Jun 2017
Gilbert Nartea, Muhammad A. Cheema and Kenneth Szulczyk
University of Canterbury - College of Business and Law, University of Waikato New Zealand and Curtin University, Malaysia

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Duration, Dependence, Rational, Speculative Bubbles, Singapore, Indonesia

18.

Momentum Returns, Market States, and Market Dynamics: Is China Different?

International Review of Economics & Finance, Vol. 50, 2017
Posted: 27 Mar 2017 Last Revised: 14 Apr 2017
Muhammad A. Cheema and Gilbert Nartea
University of Waikato New Zealand and University of Canterbury - College of Business and Law

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Momentum returns; market states; market dynamics; China

19.

Momentum Returns and Information Uncertainty: Evidence from China

Pacific-Basin Finance Journal, Vol. 30, 2014
Posted: 07 Mar 2013 Last Revised: 02 May 2017
Muhammad A. Cheema and Gilbert Nartea
University of Waikato New Zealand and University of Canterbury - College of Business and Law

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Momentum returns; Information uncertainty; Cultural differences; Behavioral biases; China