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Journals / BDDK Bankacılık ve Finansal Piyasalar Dergisi / 2011 / Cilt: 5 - Sayı: 2

Testing Profitability of Momentum Investment Strategy in ISE

Momentum yatırım stratejisinin karlılığının İMKB’de test edilmesi

SERKAN YILMAZ KANDIR
Halime İNAN
Pages
51–70
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Analysis results suggest that momentum strategy appears to have a poor performance for 3, 6 and 9 month periods.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Aim of this study is to investigate profitability of momentum investment strategy in ISE.
📊
Key Findings & Data:Sample of the study consists of the stocks traded in National Market of ISE from July 2000 to June 2010.
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Conclusion & Impact:Analysis results suggest that momentum strategy appears to have a poor performance for 3, 6 and 9 month periods.
🔬Design:Modeling & Simulation
📍Scope:2000 Verileri
⚙️Variables:Domain Parameters

Abstract

Aim of this study is to investigate profitability of momentum investment strategy in ISE. Sample of the study consists of the stocks traded in National Market of ISE from July 2000 to June 2010. We use 3, 6, 9, 12 month holding and testing periods. Performance of momentum strategy is tested by t-test, Jensen method and Fama-French three factor model. Analysis results suggest that momentum strategy appears to have a poor performance for 3, 6 and 9 month periods. However, on the contrary, momentum strategy seems to be profitable for 12 month formation period.

Özet

Bu çalışmanın amacı, momentum yatırım stratejisinin İMKB’de karlı olup olmadığının araştırılmasıdır. Çalışmanın örneklemi, Temmuz 2000 ve Haziran 2010 arasındaki dönemde İMKB Ulusal Pazar’da işlem gören hisse senetlerinden oluşmaktadır. Çalışmada, 3, 6, 9, 12 aylık elde tutma ve test dönemleri kullanılmıştır. Ayrıca momentum yatırım stratejisinin performansı, t testi, Jensen Yöntemi ve Fama-French Üç Faktör Modeli ile ölçülmüştür. Analiz sonuçları, momentum yatırım stratejisinin, 3, 6 ve 9 aylık portföy oluşturma dönemlerinde karlı olmadığını; ancak 12 aylık portföy oluşturma döneminde karlı olduğunu göstermiştir.

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Cite This Article

KANDIR, S. Y., İNAN, H. (2011). Testing Profitability of Momentum Investment Strategy in ISE. BDDK Bankacılık ve Finansal Piyasalar Dergisi, Cilt: 5 - Sayı: 2, 51–70. https://ajindex.com/articles/146218

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