Frontier Equity Markets Data Used in Formulation of Momentum Strategies

This is the dataset from Momentum Strategies in Frontier Equity Markets: A Comparative Analysis of Traditional and Alternative Strategies (2025). The research investigates the presence of the momentum effect and the performance of momentum strategies in frontier equity markets.The dataset consists of 11 xlsx files, each containing data of a different frontier market, and another xlsx file containing total return data of the S&P Frontier Benchmark Index (BMI), which is used as the market proxy in this study. Each frontier market file has several sheets covering monthly data of several companies, including closing prices, total returns, market capitalization, trading volume, shares outstanding, turnover ratio, etc. The period of data collection is from March 2003 to December 2023.