Momentum Anomaly: Research In BIST100 Index

Journal Of Accounting And Finance July 2018

11 Pages Posted: 9 Jun 2020

Date Written: july 31, 2017

Abstract

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.

JEL Classification: G11, G12, G14

Suggested Citation

Kaldirim, Yusuf, Momentum Anomaly: Research In BIST100 Index (july 31, 2017). Journal Of Accounting And Finance July 2018 , Available at SSRN: https://ssrn.com/abstract=3600226 or http://dx.doi.org/10.2139/ssrn.3600226

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