Momentum profits collapse and reversal occurs when preceding market volatility is relatively high. Based on these intertemporal patterns, we implement an investment strategy that switches from momentum to reversal when volatility is high. The proposed switching strategy has two advantages over...

The investment universe of Shariah Compliant (SC) equities is relatively smaller compared to the investment universe of Non-Shari'ah Complaint (NSC) equities due to the imposition of Shari'ah specific filters. Therefore, under the diversification theory, it is argued that portfolios constructed...