Investigation of Momentum and Contrarian Anomalies in the Islamic Stocks: Empirical Evidence from Turkey

Year 2021, Volume: 29 Issue: 49, 251 - 270, 30.07.2021

Oktay Özkan Recep Çakar

https://doi.org/10.17233/sosyoekonomi.2021.03.13

Abstract

This paper investigates momentum and contrarian anomalies in Islamic stocks in Turkey. For this purpose, the wild bootstrap automatic variance ratio test was carried out using weekly prices of 10 Islamic stocks in Turkey. The analysis results showed that there are both momentum and contrarian anomalies in Islamic stocks in Turkey. It was also found that the contrarian anomaly occurs more than the momentum anomaly in the Turkish Islamic stocks, and the performance of both momentum and contrarian strategies show periodic changes. Finally, it can be concluded that abnormal returns can be obtained using the contrarian strategy for AKSUE, ALBRK, BIMAS, KONYA, the momentum strategy for BANVT, CEMTS, LOGO, and both strategies for ISDMR.

Keywords

Islamic Stock, Momentum and Contrarian Anomalies, Wild Bootstrap Automatic Variance Ratio Test, Efficient Markets Hypothesis, Rolling Windows, Behavioural Finance

İslâmi Hisse Senetlerinde Momentum ve Zıtlık Anomalilerinin Araştırılması: Türkiye’den Ampirik Kanıtlar

Abstract

Bu çalışma Türkiye’deki İslâmi hisse senetlerinde momentum ve zıtlık anomalilerini araştırmaktadır. Bu amaç için, Türkiye’deki 10 İslâmi hisse senedinin haftalık fiyatları kullanılarak doğal bootstrap otomatik varyans rasyo testi gerçekleştirilmiştir. Analiz sonuçları Türkiye’deki İslâmi hisse senetlerinde hem momentum hem de zıtlık anomalilerinin olduğunu göstermiştir. Ayrıca zıtlık anomalinin Türk İslâmi hisse senetlerinde momentum anomalisinden daha fazla görüldüğü ve hem momentum hem de zıtlık stratejilerinin performansının periyodik değişiklikler gösterdiği bulunmuştur. Son olarak, AKSUE, ALBRK, BIMAS, KONYA için zıtlık stratejisi, BANVT, CEMTS, LOGO için momentum stratejisi ve ISDMR için her iki strateji kullanılarak anormal getirilerin elde edilebileceği sonucuna ulaşılmıştır.

Keywords

İslâmi Hisse Senedi, Momentum ve Zıtlık Anomalileri, Doğal Bootstrap Otomatik Varyans Rasyo Testi, Etkin Piyasalar Hipotezi, Hareketli Pencereler, Davranışsal Finans

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