Momentum Yatırım Stratejisinin Karlılığının İMKB'de Test Edilmesi

Year 2011, Volume: 5 Issue: 2, 51 - 70, 01.12.2011

Serkan Yılmaz Kandır Halime İnan

Abstract

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

Keywords

Momentum Yatırım Stratejisi, Etkin Piyasalar Hipotezi, Davranışsal Finans

Testing Profitability of Momentum Investment Strategy in ISE

Abstract

Testing Profitability of Momentum Investment Strategy in ISEAim 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

Keywords

Momentum Yatırım Stratejisi, Etkin Piyasalar Hipotezi, Davranışsal Finans.

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