Momentum Anomaly: Research In BIST100 Index

Autor:	Yusuf Kaldirim
Rok vydání:	2017
Předmět:	Index (economics) Momentum (finance) Abnormal return Investment strategy Anomaly (natural sciences) Econometrics Economics Portfolio Stock market Investment (macroeconomics)
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.3600226
Popis:	Stock market anomalies are mispricings based on irrational investor behaviors. Investors can obtain abnormal return based on certain investment strategies in anomaly observed markets. The purpose of this study is to investigate the existence of momentum anomaly in BIST 100 index during the period July 2008 to June 2015. Jegadeesh and Titman (1993) J month / K month method were used. Findings reveal the existence of momentum anomaly in 9-month portfolio and 9-12-month investment strategies, in 12- month portfolio and 6- 9-12-month investment strategies when there is no time between formation period and investment period in BIST 100 Index. Results are significant in 9- 12-month momentum investment and 3-6-9-12-month investment strategies when 1- week lag between the formation period and investment period and these strategies produce more abnormal return.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::3bec7aea2a7f6172fd1a05d46bfe8b3c https://doi.org/10.2139/ssrn.3600226 Zobrazit plný text záznamu