Testing Profitability of Momentum Investment Strategy in ISE

Serkan Yilmaz KANDIR and INAN Halime

Journal of BRSA Banking and Financial Markets, 2011, vol. 5, issue 2, pages 51-70

Abstract: Aim 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.

Keywords: Momentum Strategy; Efficent Market Hypothsis; Behavioral Finance. (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2011
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Persistent link: http://EconPapers.repec.org/RePEc:bdd:journl:v:5:y:2011:i:2:p:51-70

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