Investigation of Momentum and Contrarian Anomalies in the Islamic Stocks: Empirical Evidence from Turkey
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Tarih
2021
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Sosyoekonomi Soc
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Islamic Stock, Momentum and Contrarian Anomalies, Wild Bootstrap Automatic Variance Ratio Test, Efficient Markets Hypothesis, Rolling Windows, Behavioural Finance
Kaynak
Sosyoekonomi
WoS Q Değeri
N/A
Scopus Q Değeri
Cilt
29
Sayı
49
