文章基本信息

标题：Existence of short term momentum effect and stock market of Turkey
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作者：Abdullah Ejaz ; Petr Polak
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2015
卷号：12
期号：4
页码：9-15
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：The aim of this paper is to examine the existence of short term momentum effect in the stock market of Turkey. Momentum effect's existence is a questionable and debatable issue because it has been claimed by many that short term momentum effect has been found in the stock markets across the globe but the opposite group gives entirely different opinion and argues that short term momentum effect does not exist in many stock markets.There are conflicting results that have been documented in the financial literature about its existence.To address the existence of momentum issue,stock market of Turkey has been chosen in this regard because one group of authors claims that short term momentum effect exists in the stock market of Turkey but other group argues that momentum effect was not found in the Turkey's financial market.It is found out that strong short term momentum effect is presented in the stock market of Turkey and all momentum strategies are statistically significant and profitable.Future research should focus on sub-variants of price momentum strategy but it should also focus on finding the source of short term momentum effect because risk based model and behavioral models could not successfully explain short term momentum effect.
关键词：short term momentum effect;momentum investment strategies;zero-cost momentum portfolio;winners and losers;sub-variants of price momentum strategy.