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Testing Profitability of Momentum Investment Strategy in ISE

Author

Listed:
  • Serkan Yilmaz KANDIR
  • Halime INAN

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.

Suggested Citation

  • Serkan Yilmaz KANDIR & Halime INAN, 2011. "Testing Profitability of Momentum Investment Strategy in ISE," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 5(2), pages 51-70.
    • Handle: RePEc:bdd:journl:v:5:y:2011:i:2:p:51-70
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    Cited by:

    1. Atilgan, Yigit & Demirtas, K. Ozgur & Erdogan, Alper, 2016. "Share issuance and equity returns in Borsa Istanbul," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 320-333.

    More about this item

    Keywords

    Momentum Strategy; Efficent Market Hypothsis; Behavioral Finance.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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