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

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dc.authorwosidcakar, recep / ABH-5902-2020
dc.contributor.authorOzkan, Oktay
dc.contributor.authorCakar, Recep
dc.date.accessioned2021-11-01T15:05:35Z
dc.date.available2021-11-01T15:05:35Z
dc.date.issued2021
dc.department[Belirlenecek]
dc.description.abstractThis 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.
dc.identifier.doi10.17233/sosyoekonomi.2021.03.13
dc.identifier.endpage270en_US
dc.identifier.issn1305-5577
dc.identifier.issue49en_US
dc.identifier.startpage251en_US
dc.identifier.urihttps://doi.org/10.17233/sosyoekonomi.2021.03.13
dc.identifier.urihttps://hdl.handle.net/11491/7332
dc.identifier.volume29en_US
dc.identifier.wosWOS:000680868800014
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.institutionauthor[Belirlenecek]
dc.language.isotr
dc.publisherSosyoekonomi Soc
dc.relation.ispartofSosyoekonomi
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectIslamic Stocken_US
dc.subjectMomentum and Contrarian Anomaliesen_US
dc.subjectWild Bootstrap Automatic Variance Ratio Testen_US
dc.subjectEfficient Markets Hypothesisen_US
dc.subjectRolling Windowsen_US
dc.subjectBehavioural Financeen_US
dc.titleInvestigation of Momentum and Contrarian Anomalies in the Islamic Stocks: Empirical Evidence from Turkey
dc.typeArticle

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