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Momentum Yatırım Stratejisinin Karlılığının İMKB'de Test Edilmesi

Yıl 2011, Cilt: 5 Sayı: 2, 51 - 70, 01.12.2011

Öz

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

Kaynakça

  • 1. Balı, S.. (2010). İMKB’de Zıtlık ve Momentum Stratejileri. İstanbul: Titiz Yayınları.
  • 2. Bildik, R. ve Gülay, G.. (2007). Profitability of contrarian strategies: Evidence from the Istanbul Stock Exchange”, International Review of Finance, 7(1-2), 61–87.
  • 3. Barak, O. ve Demireli, E.. (2006). IMKB’de gözlemlenen fiyat anomalilerinin davranışsal finans modelleri kapsamında değerlendirilmesi. İzmir: 10. Ulusal Finans Sempozyumu.
  • 4. Chan, K. , Hameed, A. ve Tong, W.. (2000). Profitability of momentum strategies in the ınternational equity markets. The Journal of Financial and Quantitative Analysis, 35(2): 153-172.
  • 5. Chui, A. C. W., Titman, S. ve Wei ,K. C. J.. (2000). Momentum, legal systems and ownership structure: An analysis of asian stock markets. SSRN Working Paper, No:265848.
  • 6. Cleary, S. ve Inglis, M.. (1998). Momentum in Canadian stock returns. Canadian Journal of Administrative Sciences, 15(3): 279-281.
  • 7. Durand, R. B., Limkriangkrai, M. ve Smith, G.. (2006). Momentum in Australia A Note. Australian Journal of Management, 31(2): 355-364.
  • 8. Fama, E.. (1970). Efficent Capital Markets: A review of theory and empirical work. The Journal of Finance, 25(2): 383-417.
  • 9. Fama, E. F. ve French, K. R.. (1995). Size and Book-to-Market Factors in Earnings and Returns. The Journal of Finance, 50(1): 131-155.
  • 10. Forner, C. ve Marhuenda, J.. (2003). Momentum returns in the spanish stock market: Model misspeficiation or investor irrationalty. SSRN Working Paper, No:492303.
  • 11. Gunasekarage, A. & Kot, H. W.. (2007). Return-based investment strategies in the New Zealand stock market: Momentum wins. Pacific Accounting Review, 19(2): 108-124.
  • 12. Hameed, A. ve Kusnadi , Y.. (2002). Momentum strategies: Evidence from pasific basin stock markets. The Journal of Financial Research, 25(3): 383- 397.
  • 13. Harris, R. J.. (2001). A primer for multivariate statistics. USA: Lawrance Erlbaum Associates, Publishers.
  • 14. Hazine Müsteşarlığı, www.hazine.gov.tr.
  • 15. Hong, H., Lim, T. ve Stein, J. C.. (2000). Bad news travels slowly: Size, analyst coverage and the profitability of momentum strategies. The Journal of Finance, 5(1): 265-295.
  • 16. Hurn, S. ve Pavlov, V.. (2003). Momentum in Australian stock returns. Australian Journal of Management, 28(2): 141-155.
  • 17. İstanbul Menkul Kıymetler Borsası, http://www.imkb.gov.tr/Data/Stocks Data.aspx.
  • 18. İstanbul Menkul Kıymetler Borsası, http://www.imkb.gov.tr/Financial Tables/companiesfinancialstatements.aspx?stflang=tr.
  • 19. Jegadeesh, N. ve Titman, S.. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1): 65-91.
  • 20. Jegadeesh, N. ve Titman S.. (2000). Profitability of momentum strategies: An evaluation of alternative explanations. SSRN Working Paper, No:166840.
  • 21. Jensen, M. C.. (1967). The performance of mutual funds in the period 1945- 1964. Journal of Finance, 23(2): 389-416.
  • 22. Kang, J., Liu M. ve Ni S. X.. (2002). Contrarian and momentum strategies in the china stock market: 1993–2000, Pacific-Basin Finance Journal, 10: 243– 265.
  • 23. Kandır, S. Y.. (2009). Kurumsal Yatırımcılar Teori ve Uygulama. Ankara: Detay Yayıncılık.
  • 24. Liu, W., Strong, N. ve Xu, X.. (1999). The profitability of momentum investing, Journal of Business Finance & Accounting, 26(9): 1043-1091.
  • 25. Lui, C. ve Lee, Y.. (2001). Does the momentum strategy work universally? evidence from the japanese stock market. Asia-Pacific Financial Markets, 8: 321–339.
  • 26. Mengoli, S.. (2004). On the source of contrarian and momentum strategies in the Italian equity market. International Review of Financial Analysis, 13: 301– 331.
  • 27. Muga, L. ve Santamaría, R.. (2007). The momentum effect in latin american emerging markets. Emerging Markets Finance and Trade, 43(4): 24–45.
  • 28. O’Donnell, D. J. ve Baur, D. G.. (2007). Momentum in the Irish stock market, SSRN Woring Paper, No:1237842.
  • 29. Rastogi, N., Chaturvedula, C. ve Bang, N. P.. (2009). Momentum and overreaction in Indian capital markets, International Research Journal of Finance and Economics, 32: 84-92.
  • 30. Rey, D. ve Schmid, M. M.. (2007). Feasible momentum strategies: Evidence from the Swiss stock market. Financial Markets and Portfolio Management, 21(3): 325-352.
  • 31. Rouwenhorst, K. G.. (1998). International momentum strategies. The Journal of Finance, 53(1): 267-284.
  • 32. Strong, N. ve Xu, X. G.. (1997). Explaining the Cross-Section of UK expected stock returns. British Accounting Review, 29: 1-23.
  • 33. Stork, P. A.. (2008). Momentum effects in the largest Australian and New Zealand shares. SSRN Working Paper, No:1095942.
  • 34. Wang, D.. (2008). Are anomalies still anomalous? An examination of momentum strategies in four financial markets. SSRN Working Paper, No:1326317.

Testing Profitability of Momentum Investment Strategy in ISE

Yıl 2011, Cilt: 5 Sayı: 2, 51 - 70, 01.12.2011

Öz

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

Kaynakça

  • 1. Balı, S.. (2010). İMKB’de Zıtlık ve Momentum Stratejileri. İstanbul: Titiz Yayınları.
  • 2. Bildik, R. ve Gülay, G.. (2007). Profitability of contrarian strategies: Evidence from the Istanbul Stock Exchange”, International Review of Finance, 7(1-2), 61–87.
  • 3. Barak, O. ve Demireli, E.. (2006). IMKB’de gözlemlenen fiyat anomalilerinin davranışsal finans modelleri kapsamında değerlendirilmesi. İzmir: 10. Ulusal Finans Sempozyumu.
  • 4. Chan, K. , Hameed, A. ve Tong, W.. (2000). Profitability of momentum strategies in the ınternational equity markets. The Journal of Financial and Quantitative Analysis, 35(2): 153-172.
  • 5. Chui, A. C. W., Titman, S. ve Wei ,K. C. J.. (2000). Momentum, legal systems and ownership structure: An analysis of asian stock markets. SSRN Working Paper, No:265848.
  • 6. Cleary, S. ve Inglis, M.. (1998). Momentum in Canadian stock returns. Canadian Journal of Administrative Sciences, 15(3): 279-281.
  • 7. Durand, R. B., Limkriangkrai, M. ve Smith, G.. (2006). Momentum in Australia A Note. Australian Journal of Management, 31(2): 355-364.
  • 8. Fama, E.. (1970). Efficent Capital Markets: A review of theory and empirical work. The Journal of Finance, 25(2): 383-417.
  • 9. Fama, E. F. ve French, K. R.. (1995). Size and Book-to-Market Factors in Earnings and Returns. The Journal of Finance, 50(1): 131-155.
  • 10. Forner, C. ve Marhuenda, J.. (2003). Momentum returns in the spanish stock market: Model misspeficiation or investor irrationalty. SSRN Working Paper, No:492303.
  • 11. Gunasekarage, A. & Kot, H. W.. (2007). Return-based investment strategies in the New Zealand stock market: Momentum wins. Pacific Accounting Review, 19(2): 108-124.
  • 12. Hameed, A. ve Kusnadi , Y.. (2002). Momentum strategies: Evidence from pasific basin stock markets. The Journal of Financial Research, 25(3): 383- 397.
  • 13. Harris, R. J.. (2001). A primer for multivariate statistics. USA: Lawrance Erlbaum Associates, Publishers.
  • 14. Hazine Müsteşarlığı, www.hazine.gov.tr.
  • 15. Hong, H., Lim, T. ve Stein, J. C.. (2000). Bad news travels slowly: Size, analyst coverage and the profitability of momentum strategies. The Journal of Finance, 5(1): 265-295.
  • 16. Hurn, S. ve Pavlov, V.. (2003). Momentum in Australian stock returns. Australian Journal of Management, 28(2): 141-155.
  • 17. İstanbul Menkul Kıymetler Borsası, http://www.imkb.gov.tr/Data/Stocks Data.aspx.
  • 18. İstanbul Menkul Kıymetler Borsası, http://www.imkb.gov.tr/Financial Tables/companiesfinancialstatements.aspx?stflang=tr.
  • 19. Jegadeesh, N. ve Titman, S.. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1): 65-91.
  • 20. Jegadeesh, N. ve Titman S.. (2000). Profitability of momentum strategies: An evaluation of alternative explanations. SSRN Working Paper, No:166840.
  • 21. Jensen, M. C.. (1967). The performance of mutual funds in the period 1945- 1964. Journal of Finance, 23(2): 389-416.
  • 22. Kang, J., Liu M. ve Ni S. X.. (2002). Contrarian and momentum strategies in the china stock market: 1993–2000, Pacific-Basin Finance Journal, 10: 243– 265.
  • 23. Kandır, S. Y.. (2009). Kurumsal Yatırımcılar Teori ve Uygulama. Ankara: Detay Yayıncılık.
  • 24. Liu, W., Strong, N. ve Xu, X.. (1999). The profitability of momentum investing, Journal of Business Finance & Accounting, 26(9): 1043-1091.
  • 25. Lui, C. ve Lee, Y.. (2001). Does the momentum strategy work universally? evidence from the japanese stock market. Asia-Pacific Financial Markets, 8: 321–339.
  • 26. Mengoli, S.. (2004). On the source of contrarian and momentum strategies in the Italian equity market. International Review of Financial Analysis, 13: 301– 331.
  • 27. Muga, L. ve Santamaría, R.. (2007). The momentum effect in latin american emerging markets. Emerging Markets Finance and Trade, 43(4): 24–45.
  • 28. O’Donnell, D. J. ve Baur, D. G.. (2007). Momentum in the Irish stock market, SSRN Woring Paper, No:1237842.
  • 29. Rastogi, N., Chaturvedula, C. ve Bang, N. P.. (2009). Momentum and overreaction in Indian capital markets, International Research Journal of Finance and Economics, 32: 84-92.
  • 30. Rey, D. ve Schmid, M. M.. (2007). Feasible momentum strategies: Evidence from the Swiss stock market. Financial Markets and Portfolio Management, 21(3): 325-352.
  • 31. Rouwenhorst, K. G.. (1998). International momentum strategies. The Journal of Finance, 53(1): 267-284.
  • 32. Strong, N. ve Xu, X. G.. (1997). Explaining the Cross-Section of UK expected stock returns. British Accounting Review, 29: 1-23.
  • 33. Stork, P. A.. (2008). Momentum effects in the largest Australian and New Zealand shares. SSRN Working Paper, No:1095942.
  • 34. Wang, D.. (2008). Are anomalies still anomalous? An examination of momentum strategies in four financial markets. SSRN Working Paper, No:1326317.
Toplam 34 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Serkan Yılmaz Kandır Bu kişi benim

Halime İnan Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2011
Yayımlandığı Sayı Yıl 2011 Cilt: 5 Sayı: 2

Kaynak Göster

APA Kandır, S. Y., & İnan, H. (2011). Momentum Yatırım Stratejisinin Karlılığının İMKB’de Test Edilmesi. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 5(2), 51-70.