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Muhammad A. Cheema

University of Waikato New Zealand

Senior Research Fellow

Hamilton, 3216

New Zealand

  • University of Waikato New Zealand

SCHOLARLY PAPERS

16

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Scholarly Papers (16)

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1.

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

Downloads 889 ( 22,705)

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 889 (22,312)

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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, Forthcoming
Posted: 24 Jul 2017 Last Revised: 30 Jul 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

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

2.

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

Downloads 173 (156,224)

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 173 (156,255)

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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

3.

Momentum, Idiosyncratic Volatility and Market Dynamics: Evidence from China

Downloads 111 (223,345)

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 111 (224,491)

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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

4.

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

5.

Maxing Out in China: Optimism or Attention?

Downloads 52 (346,780)

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 52 (352,334)

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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

6.

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

Downloads 52 (346,780)

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 52 (352,334)

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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

7.

Three Essays on Momentum Returns

Number of pages: 145 Posted: 30 Oct 2013
Muhammad A. Cheema
University of Waikato New Zealand
Downloads 36 (266,778)

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

8.

Does Investor Sentiment Predict the Near-Term Returns of the Chinese Stock

International Review of Finance, Forthcoming
Posted: 23 May 2018
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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Investor Sentiment, Return Predictability, Boom and Bust, China

9.

State of Investor Sentiment and Aggregate Stock Market Returns

Number of pages: 8 Posted: 02 Apr 2018 Last Revised: 06 May 2018
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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Investor Sentiment, Overpricing, Underpricing, Stock Market Returns

10.

Rational Speculative Bubbles: Evidence from Asian Stock Markets

Number of pages: 32 Posted: 09 Jan 2018
Kenneth Szulczyk and Muhammad A. Cheema
Curtin University, Malaysia and University of Waikato New Zealand
Downloads 0 (321,299)

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Asian markets; bubbles; cointegration analysis; duration dependence test

11.

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 0 (165,421)

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Investor Sentiment, Return Predictability, Boom and Bust, China

12.

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 0 (44,580)

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

13.

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 0 (276,806)

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

14.

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

15.

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

16.

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