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Contrarian Strategy or Relative Strength Strategy: An Evidence from The Turkish Stock Market in 2010s

Year 2020, Volume: 13 Issue: 3, 593 - 605, 15.07.2020
https://doi.org/10.25287/ohuiibf.728294

Abstract

The question of whether future prices may be estimated using historical data of stock prices has been one of the most controversial topics in finance literature. The finance literature have reached a consensus about the presence of various anomalies in stock markets. However the empirical findings on overreaction anomaly are still inconsistent. Contrarian strategy advocates argue that “selling winners and buying losers” will yield abnormal returns while relative strength strategy advocates assert vice versa. This study examines the profitability of contrarian or relative strength strategies using the data from Borsa Istanbul in 2010s. The winners portfolios in formation periods generate negative abnormal returns in all holding periods except 2019 while the losers portfolios in formation periods generate positive abnormal returns in all holding periods. The findings support the overreaction hypothesis and indicate that losers outperform winners in medium-term. Borsa Istanbul exhibits medium-term reversals and investors may acquire abnormal returns using contrarian strategy. Hence the violation of weak form market efficiency has been revealed in Turkish stock market. We conclude that overreaction is asymmetric and it may be observed in winners rather than losers.

References

  • Armitage, S. (1995). Event study methods and evidence on their performance. Journal of Economic Surveys, 9(1), 25—52. https://doi.org/10.1111/j.1467-6419.1995.tb00109.x
  • Baytas, A., & Cakici, N. (1999). Do markets overreact: international evidence. Journal of Banking & Finance, 23(7), 1121—1144. https://doi.org/10.1016/S0378-4266(98)00133-2
  • Boubaker, S., Farag, H., & Nguyen, D. K. (2015). Short-term overreaction to specific events: Evidence from an emerging market. Research in International Business and Finance, 35, 153—165. https://doi.org/10.1016/j.ribaf.2014.10.002
  • Caporale, G. M., Gil-Alana, L., & Plastun, A. (2018). Short-term price overreactions: Identification, testing, exploitation. Computational Economics, 51(4), 913—940. https://doi.org/10.1007/s10614-017-9651-2
  • Caporale, G. M., Gil-Alana, L., & Plastun, A. (2019). Long-term price overreactions: Are markets inefficient? Journal of Economics and Finance, 43(4), 657—680. https://doi.org/10.1007/s12197-018-9464-8
  • De Bondt, W. F. M., & Thaler, R. H. (1985). Does the stock market overreact? The Journal of Finance, 40(3), 793—805. https://doi.org/10.1111/j.1540-6261.1985.tb05004.x
  • De Bondt, W. F. M., & Thaler, R. H. (1987). Further evidence on investor overreaction and stock market seasonality. The Journal of Finance, 42(3), 557—581. https://doi.org/10.1111/j.1540-6261.1987.tb04569.x
  • Demirer, R., Yuksel, A., & Yuksel, A. (2017). Flight to quality and the predictability of reversals: The role of market states and global factors. Research in International Business and Finance, 42, 1445—1454. https://doi.org/10.1016/j.ribaf.2017.07.082
  • Dizdarlar, H. I., & Can, R. (2017). Aşırı tepki hipotezinin geçerliliğinin test edilmesi: Borsa İstanbul Üzerine Bir Araştırma. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 16. UİK Özel Sayısı, 815—832. Erişim adresi: https://dergipark.org.tr/tr/download/article-file/368044
  • Doğukanlı, H., & Ergün, B. (2011). Davranışsal finans etkin piyasalara karşı: Aşırı tepki hipotezinin İMKB’de araştırılması. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20(1), 321—336. Erişim adresi: https://dergipark.org.tr/tr/pub/cusosbil/issue/4386/60266
  • Ejaz, A., & Polak, P. (2015). Existence of short term momentum effect and stock market of Turkey. Investment Management and Financial Innovations, 12(4), 9—15.
  • Erdoğan, M., & Elmas, B. (2010). Hisse senedi piyasalarında görülen anomaliler ve bireysel yatırımcı üzerine bir araştırma. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 14(2), 279—300. Erişim adresi: https://dergipark.org.tr/tr/download/article-file/487073
  • Fama, E. F. (1965). The behavior of stock-market prices. The Journal of Business, 38(1), 34—105. Retrieved from www.jstor.org/stable/2350752
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383—417. https://doi.org/10.2307/2325486
  • Fernandes, J. L. B., & Ornelas, J. R. H. (2008). Momentum and reversal puzzle in emerging markets. The Icfai University Journal of Behavioral Finance, 5(3), 54—71. https://doi.org/10.2139/ssrn.676392
  • Gemici, E., & Cihangir, M. (2018). Borsa İstanbul pay senedi piyasasında aşırı tepki. Ordu Üniversitesi Sosyal Bilimler Araştırmaları Dergisi, 8(2), 289—298. Erişim adresi: https://dergipark.org.tr/en/pub/odusobiad/issue/38639/397619
  • Griffin, J. M., Ji, X., & Martin, J. S. (2003). Momentum investing and business cycle risk: Evidence from pole to pole. The Journal of Finance, 58(6), 2515—2547. https://doi.org/10.1046/j.1540-6261.2003.00614.x
  • Gunasekarage, A., & Power, D. M. (2005). Stock market overreaction: Some evidence from the Colombo Stock Exchange. Journal of Emerging Markets, 10(1), 5—17. Retrieved from https://pdfs.semanticscholar.org/95db/f0984392636d39b3577b60ab953578ed9098.pdf
  • Hameed, A., & Kusnadi, Y. (2002). Momentum strategies: Evidence from Pacific Basin stock markets. Journal of Financial Research, 25(3), 383—397. https://doi.org/10.1111/1475-6803.00025
  • Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. The Journal of Finance, 45(3), 881—898. https://doi.org/10.1111/j.1540-6261.1990.tb05110.x
  • Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65—91. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x
  • Jones, S. L. (1993). Another look at time-varying risk and return in a long-horizon contrarian strategy. Journal of Financial Economics, 33(1), 119—144. https://doi.org/10.1016/0304-405X(93)90027-9
  • Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263—291. https://doi.org/10.2307/1914185
  • Kaldırım, Y. (2017). Momentum anomalisi ve düşük fiyat anomalisi: BIST 100 endeksine yönelik araştırma. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 54, 77—90. Erişim adresi: https://dergipark.org.tr/tr/pub/dpusbe/issue/32935/305391
  • Musnadi, S., & Majid, M. S. A. (2018). Overreaction and underreaction anomalies in the Indonesian stock market: A sectoral analysis. International Journal of Ethics and Systems, 34(4), 442—457. https://doi.org/10.1108/IJOES-12-2017-0235
  • Rouwenhorst, K. G. (1998). International momentum strategies. The Journal of Finance, 53(1), 267—284. https://doi.org/10.1111/0022-1082.95722
  • Szyszka, A. (2013). Behavioral finance and capital markets: How investor psychology influences asset pricing. NY, US: Palgrave Macmillan.
  • Vardar, G., & Okan, B. (2008). Short term overreaction effect: Evidence on the Turkish stock market. Paper presented at the International Conference on Emerging Economic Issues in a Globalizing World, İzmir.
  • Wang, C. (2004). Relative strength strategies in China's stock market: 1994–2000. Pacific-Basin Finance Journal, 12(2), 159—177. https://doi.org/10.1016/S0927-538X(03)00043-x

Zıtlık Stratejisi veya Göreceli Güç Stratejisi: 2010’lu Yıllarda Türkiye Hisse Senedi Piyasasından Bir Kanıt

Year 2020, Volume: 13 Issue: 3, 593 - 605, 15.07.2020
https://doi.org/10.25287/ohuiibf.728294

Abstract

Hisse senedi fiyatlarının geçmiş verileri kullanılarak gelecekteki fiyatların tahmin edilip edilemeyeceği, finans literatürünün en çok tartışılan konularından biri olmuştur. Finans literatürü, hisse senedi piyasalarında çeşitli anomalilerin varlığına ilişkin fikir birliğine varmıştır. Ancak aşırı tepki anomalisine dair bulgular halen çelişkilidir. Zıtlık stratejisi savunucuları “kazandıranları satma ve kaybettirenleri alma”nın normalüstü getiri sağlayacağını ileri sürerken göreceli güç stratejisi savunucuları tam tersini iddia etmektedir. Bu makale 2010’lu yıllarda Borsa İstanbul verisini kullanarak zıtlık veya göreceli güç stratejilerinin geçerliliğini incelemektedir. Portföy oluşturma dönemlerinde kazandıran portföyler, 2019 haricindeki tüm elde tutma dönemlerinde negatif normalüstü getiri sağlarken portföy oluşturma dönemlerinde kaybettiren portföyler tüm elde tutma dönemlerinde pozitif normalüstü getiri sağlamaktadır. Bulgular aşırı tepki hipotezini desteklemekte ve orta vadede kaybettirenlerin kazandıranlardan daha iyi performans gösterdiğini işaret etmektedir. Borsa İstanbul orta vadeli fiyat geri dönüşleri göstermekte ve yatırımcılar zıtlık stratejisi kullanarak normalüstü getiriler sağlayabilmektedir. Böylece Türkiye hisse senedi piyasasında zayıf formda piyasa etkinliğinin ihlali ortaya çıkarılmıştır. Aşırı tepkinin asimetrik olduğu ve kaybettirenlerdense kazandıranlarda gözlemlenebileceği sonucuna varılmıştır.

References

  • Armitage, S. (1995). Event study methods and evidence on their performance. Journal of Economic Surveys, 9(1), 25—52. https://doi.org/10.1111/j.1467-6419.1995.tb00109.x
  • Baytas, A., & Cakici, N. (1999). Do markets overreact: international evidence. Journal of Banking & Finance, 23(7), 1121—1144. https://doi.org/10.1016/S0378-4266(98)00133-2
  • Boubaker, S., Farag, H., & Nguyen, D. K. (2015). Short-term overreaction to specific events: Evidence from an emerging market. Research in International Business and Finance, 35, 153—165. https://doi.org/10.1016/j.ribaf.2014.10.002
  • Caporale, G. M., Gil-Alana, L., & Plastun, A. (2018). Short-term price overreactions: Identification, testing, exploitation. Computational Economics, 51(4), 913—940. https://doi.org/10.1007/s10614-017-9651-2
  • Caporale, G. M., Gil-Alana, L., & Plastun, A. (2019). Long-term price overreactions: Are markets inefficient? Journal of Economics and Finance, 43(4), 657—680. https://doi.org/10.1007/s12197-018-9464-8
  • De Bondt, W. F. M., & Thaler, R. H. (1985). Does the stock market overreact? The Journal of Finance, 40(3), 793—805. https://doi.org/10.1111/j.1540-6261.1985.tb05004.x
  • De Bondt, W. F. M., & Thaler, R. H. (1987). Further evidence on investor overreaction and stock market seasonality. The Journal of Finance, 42(3), 557—581. https://doi.org/10.1111/j.1540-6261.1987.tb04569.x
  • Demirer, R., Yuksel, A., & Yuksel, A. (2017). Flight to quality and the predictability of reversals: The role of market states and global factors. Research in International Business and Finance, 42, 1445—1454. https://doi.org/10.1016/j.ribaf.2017.07.082
  • Dizdarlar, H. I., & Can, R. (2017). Aşırı tepki hipotezinin geçerliliğinin test edilmesi: Borsa İstanbul Üzerine Bir Araştırma. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 16. UİK Özel Sayısı, 815—832. Erişim adresi: https://dergipark.org.tr/tr/download/article-file/368044
  • Doğukanlı, H., & Ergün, B. (2011). Davranışsal finans etkin piyasalara karşı: Aşırı tepki hipotezinin İMKB’de araştırılması. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20(1), 321—336. Erişim adresi: https://dergipark.org.tr/tr/pub/cusosbil/issue/4386/60266
  • Ejaz, A., & Polak, P. (2015). Existence of short term momentum effect and stock market of Turkey. Investment Management and Financial Innovations, 12(4), 9—15.
  • Erdoğan, M., & Elmas, B. (2010). Hisse senedi piyasalarında görülen anomaliler ve bireysel yatırımcı üzerine bir araştırma. Atatürk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 14(2), 279—300. Erişim adresi: https://dergipark.org.tr/tr/download/article-file/487073
  • Fama, E. F. (1965). The behavior of stock-market prices. The Journal of Business, 38(1), 34—105. Retrieved from www.jstor.org/stable/2350752
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383—417. https://doi.org/10.2307/2325486
  • Fernandes, J. L. B., & Ornelas, J. R. H. (2008). Momentum and reversal puzzle in emerging markets. The Icfai University Journal of Behavioral Finance, 5(3), 54—71. https://doi.org/10.2139/ssrn.676392
  • Gemici, E., & Cihangir, M. (2018). Borsa İstanbul pay senedi piyasasında aşırı tepki. Ordu Üniversitesi Sosyal Bilimler Araştırmaları Dergisi, 8(2), 289—298. Erişim adresi: https://dergipark.org.tr/en/pub/odusobiad/issue/38639/397619
  • Griffin, J. M., Ji, X., & Martin, J. S. (2003). Momentum investing and business cycle risk: Evidence from pole to pole. The Journal of Finance, 58(6), 2515—2547. https://doi.org/10.1046/j.1540-6261.2003.00614.x
  • Gunasekarage, A., & Power, D. M. (2005). Stock market overreaction: Some evidence from the Colombo Stock Exchange. Journal of Emerging Markets, 10(1), 5—17. Retrieved from https://pdfs.semanticscholar.org/95db/f0984392636d39b3577b60ab953578ed9098.pdf
  • Hameed, A., & Kusnadi, Y. (2002). Momentum strategies: Evidence from Pacific Basin stock markets. Journal of Financial Research, 25(3), 383—397. https://doi.org/10.1111/1475-6803.00025
  • Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. The Journal of Finance, 45(3), 881—898. https://doi.org/10.1111/j.1540-6261.1990.tb05110.x
  • Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65—91. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x
  • Jones, S. L. (1993). Another look at time-varying risk and return in a long-horizon contrarian strategy. Journal of Financial Economics, 33(1), 119—144. https://doi.org/10.1016/0304-405X(93)90027-9
  • Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263—291. https://doi.org/10.2307/1914185
  • Kaldırım, Y. (2017). Momentum anomalisi ve düşük fiyat anomalisi: BIST 100 endeksine yönelik araştırma. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 54, 77—90. Erişim adresi: https://dergipark.org.tr/tr/pub/dpusbe/issue/32935/305391
  • Musnadi, S., & Majid, M. S. A. (2018). Overreaction and underreaction anomalies in the Indonesian stock market: A sectoral analysis. International Journal of Ethics and Systems, 34(4), 442—457. https://doi.org/10.1108/IJOES-12-2017-0235
  • Rouwenhorst, K. G. (1998). International momentum strategies. The Journal of Finance, 53(1), 267—284. https://doi.org/10.1111/0022-1082.95722
  • Szyszka, A. (2013). Behavioral finance and capital markets: How investor psychology influences asset pricing. NY, US: Palgrave Macmillan.
  • Vardar, G., & Okan, B. (2008). Short term overreaction effect: Evidence on the Turkish stock market. Paper presented at the International Conference on Emerging Economic Issues in a Globalizing World, İzmir.
  • Wang, C. (2004). Relative strength strategies in China's stock market: 1994–2000. Pacific-Basin Finance Journal, 12(2), 159—177. https://doi.org/10.1016/S0927-538X(03)00043-x
There are 29 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Fatih Yiğit 0000-0002-1988-7962

Publication Date July 15, 2020
Submission Date April 28, 2020
Acceptance Date June 10, 2020
Published in Issue Year 2020 Volume: 13 Issue: 3

Cite

APA Yiğit, F. (2020). Zıtlık Stratejisi veya Göreceli Güç Stratejisi: 2010’lu Yıllarda Türkiye Hisse Senedi Piyasasından Bir Kanıt. Ömer Halisdemir Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 13(3), 593-605. https://doi.org/10.25287/ohuiibf.728294

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