مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

video

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

sound

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Persian Version

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

View:

529
مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Download:

130
مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Cites:

Information Journal Paper

Title

PROFITABILITY OF MOMENTUM AND CONTRARIAN STRATEGIES BASED ON TRADING VOLUME IN TEHRAN STOCK EXCHANGE: A COMPARISON OF EMERGING MARKET

Pages

  171-184

Abstract

 In this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. To do so, the stocks were categorized into three parts (high, middle and low). For further analysis, the relationship between excess return with three components such as CROSS-SECTIONAL RISK, LEAD-LAG EFFECT and TIME-SERIES PATTERN were examined based on Jegadeesh and Titman approach. The sample including 108 listed companies of Tehran Stock Exchange that were traded over 2005-2010. The data was collected annually, monthly and daily using Tadbir Pardaz and Rahavard Nouvin softwares. The hypotheses were tested using mean comparisons test, ANOVA and Ordinary Least Squares. The results show that by increasing trading volume, the momentum or contrarian return will be increased. There is no significant momentum or contrarian return is explained with CROSS-SECTIONAL RISK and LEAD-LAG EFFECT in medium trading volume. Moreover, the momentum return can be described with independent variables on middle and high trading volume.

Cites

  • No record.

    • References

    Cite

    APA: Copy

    YAHYAZADEHFAR, M., SHAMS, SH., & LORESTANI, S.. (2011). PROFITABILITY OF MOMENTUM AND CONTRARIAN STRATEGIES BASED ON TRADING VOLUME IN TEHRAN STOCK EXCHANGE: A COMPARISON OF EMERGING MARKET. INTERNATIONAL JOURNAL OF MANAGEMENT AND BUSINESS RESEARCH, 1(4), 171-184. SID. https://sid.ir/paper/326752/en

    Vancouver: Copy

    YAHYAZADEHFAR M., SHAMS SH., LORESTANI S.. PROFITABILITY OF MOMENTUM AND CONTRARIAN STRATEGIES BASED ON TRADING VOLUME IN TEHRAN STOCK EXCHANGE: A COMPARISON OF EMERGING MARKET. INTERNATIONAL JOURNAL OF MANAGEMENT AND BUSINESS RESEARCH[Internet]. 2011;1(4):171-184. Available from: https://sid.ir/paper/326752/en

    IEEE: Copy

    M. YAHYAZADEHFAR, SH. SHAMS, and S. LORESTANI, “PROFITABILITY OF MOMENTUM AND CONTRARIAN STRATEGIES BASED ON TRADING VOLUME IN TEHRAN STOCK EXCHANGE: A COMPARISON OF EMERGING MARKET,” INTERNATIONAL JOURNAL OF MANAGEMENT AND BUSINESS RESEARCH, vol. 1, no. 4, pp. 171–184, 2011, [Online]. Available: https://sid.ir/paper/326752/en

    Related Journal Papers

  • No record.

    • Related Seminar Papers

  • No record.

    • Related Plans

  • No record.

    • Recommended Workshops






    Move to top
    telegram sharing button
    whatsapp sharing button
    linkedin sharing button
    twitter sharing button
    email sharing button
    email sharing button
    email sharing button
    sharethis sharing button