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Information Journal Paper

Title

Market Volatility, Investors Sentiment and Momentum Strategy

Pages

  53-68

Abstract

 The aim of this study is determination of the effect of Market Volatility on Momentum Strategy. In recent years, the challenges of economic theories based on common-sense concept have increased financial researchers’ attention to behavioral aspects; Therefore, new approaches in the form of behavioral finance paradigm have been developed. One of the most well-known researches in behavioral finance field is Momentum Strategy. In fact, momentum is a physical concept that indicates consistency in past performance. In financial sciences it suggests that if we look at the regular behavior of stock in the past, we can forecast the direction of the stock in the future. In the present paper, a sample of 193 companies from listed companies in Tehran Stock Exchange have been investigated from 2012 to 2019. Besides, in order to test the research hypotheses, multivariate time series regression models were used. Findings show that there is no significant relationship between momentum profits and Market Volatility and default risk. Whereas, results indicate that there is a positive and significant relationship between momentum profit and investor sentiment.

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    APA: Copy

    SARRAF, FATEMEH, Hashemi Nejad, Shabnam, & Soodi, Gita. (2021). Market Volatility, Investors Sentiment and Momentum Strategy. JOURNAL OF ACCOUNTING AND AUDITING STUDIES, 10(38 ), 53-68. SID. https://sid.ir/paper/965731/en

    Vancouver: Copy

    SARRAF FATEMEH, Hashemi Nejad Shabnam, Soodi Gita. Market Volatility, Investors Sentiment and Momentum Strategy. JOURNAL OF ACCOUNTING AND AUDITING STUDIES[Internet]. 2021;10(38 ):53-68. Available from: https://sid.ir/paper/965731/en

    IEEE: Copy

    FATEMEH SARRAF, Shabnam Hashemi Nejad, and Gita Soodi, “Market Volatility, Investors Sentiment and Momentum Strategy,” JOURNAL OF ACCOUNTING AND AUDITING STUDIES, vol. 10, no. 38 , pp. 53–68, 2021, [Online]. Available: https://sid.ir/paper/965731/en

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