Year 2018, Volume 6, Issue 2, Pages 59 - 83 2019-01-02

DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?
DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?

İlkay ÖZTÜRK [1] , Muzaffer AKAT [2]

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In this study, performances of momentum strategies has been documented using the 5-year and the 10-year maturity Turkish bonds between the dates March 2010 and August 2017 with various look-back periods. The U.S. 10-year maturity bond yield and the Istanbul Stock Exchange 100 total return index are found to be the best performing momentum indicators. There is an improvement of 10.46% annual return while using the U.S. 10-year maturity bond yield as the momentum indicator.

Because of the liquidity-thin emerging markets’ supply pressure of public debt, the auctions need further attention. After a minor change to (Beetsma, Giuliodori, de Jong, & Widijanto, 2013) methodology, the treasury debt auction cycle effect is calculated for the 5-year and 10-year maturity Turkish bonds. In accordance with the auction cycle effect, the employed simple momentum strategy is adjusted. This new adjusted momentum strategy improves annual returns from 0% to 6.90% (%3.5 on average) across all the momentum indicators and the look-back periods.

The time series momentum is found to be existent in the Turkish bond market for the aforementioned period.  The supply side pressure by the treasury auctions has a delaying effect on the time series momentum. Employing the other momentum indicators performs better than the bond momentum itself. The adjusted momentum strategy enhances the annual returns up to 11.46%.

In this study, performances of momentum strategies has been documented using the 5-year and the 10-year maturity Turkish bonds between the dates March 2010 and August 2017 with various look-back periods. The U.S. 10-year maturity bond yield and the Istanbul Stock Exchange 100 total return index are found to be the best performing momentum indicators. There is an improvement of 10.46% annual return while using the U.S. 10-year maturity bond yield as the momentum indicator.

Because of the liquidity-thin emerging markets’ supply pressure of public debt, the auctions need further attention. After a minor change to (Beetsma, Giuliodori, de Jong, & Widijanto, 2013) methodology, the treasury debt auction cycle effect is calculated for the 5-year and 10-year maturity Turkish bonds. In accordance with the auction cycle effect, the employed simple momentum strategy is adjusted. This new adjusted momentum strategy improves annual returns from 0% to 6.90% (%3.5 on average) across all the momentum indicators and the look-back periods.

The time series momentum is found to be existent in the Turkish bond market for the aforementioned period.  The supply side pressure by the treasury auctions has a delaying effect on the time series momentum. Employing the other momentum indicators performs better than the bond momentum itself. The adjusted momentum strategy enhances the annual returns up to 11.46%.

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Primary Language en
Subjects Social
Published Date haziran
Journal Section ARTICLES
Authors

Author: İlkay ÖZTÜRK
Institution: ÖZYEĞİN ÜNİVERSİTESİ, İŞLETME ENSTİTÜSÜ
Country: Turkey


Author: Muzaffer AKAT
Institution: ÖZYEĞİN ÜNİVERSİTESİ, İŞLETME ENSTİTÜSÜ
Country: Turkey


Dates

Publication Date: January 2, 2019

Bibtex @research article { iremjournal417320, journal = {International Review of Economics and Management}, issn = {2148-3493}, address = {Gökhan ÖZER}, year = {2019}, volume = {6}, pages = {59 - 83}, doi = {}, title = {DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?}, key = {cite}, author = {ÖZTÜRK, İlkay and AKAT, Muzaffer} }
APA ÖZTÜRK, İ , AKAT, M . (2019). DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?. International Review of Economics and Management, 6 (2), 59-83. Retrieved from http://dergipark.org.tr/iremjournal/issue/36428/417320
MLA ÖZTÜRK, İ , AKAT, M . "DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?". International Review of Economics and Management 6 (2019): 59-83 <http://dergipark.org.tr/iremjournal/issue/36428/417320>
Chicago ÖZTÜRK, İ , AKAT, M . "DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?". International Review of Economics and Management 6 (2019): 59-83
RIS TY - JOUR T1 - DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET? AU - İlkay ÖZTÜRK , Muzaffer AKAT Y1 - 2019 PY - 2019 N1 - DO - T2 - International Review of Economics and Management JF - Journal JO - JOR SP - 59 EP - 83 VL - 6 IS - 2 SN - 2148-3493- M3 - UR - Y2 - 2018 ER -
EndNote %0 International Review of Economics and Management DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET? %A İlkay ÖZTÜRK , Muzaffer AKAT %T DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET? %D 2019 %J International Review of Economics and Management %P 2148-3493- %V 6 %N 2 %R %U
ISNAD ÖZTÜRK, İlkay , AKAT, Muzaffer . "DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?". International Review of Economics and Management 6 / 2 (January 2019): 59-83.
AMA ÖZTÜRK İ , AKAT M . DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?. International Review of Economics and Management. 2019; 6(2): 59-83.
Vancouver ÖZTÜRK İ , AKAT M . DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?. International Review of Economics and Management. 2019; 6(2): 83-59.