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International Journal of Management and Business Research

.: Home > International Journal of Management and Business Research > 2011 > Volume 1 Number 4 > 1 Mahmood Yahyazadehfar ; 2 Shahabeddin shams; 3 Saeideh Lorestani

Profitability of Momentum and Contrarian Strategies Based on Trading Volume in Tehran Stock Exchange: A Comparison of Emerging Market

1 Mahmood Yahyazadehfar ; 2 Shahabeddin shams; 3 Saeideh Lorestani
1Associate professor, Department of Financial Management, Faculty of Management, University of Mazandaran, Babolsar, Iran 2Assistant professor, Department of Financial Management, Faculty of Management, University of Mazandaran, Babolsar, Iran 3Master of Business Administration, Faculty of Management, University of Mazandaran, Babolsar, Iran
Abstract :

In this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. The stocks were categorized into three parts (high, middle and low) at the outset. Then, 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 would be a possibility of explaining instances of no significant momentum or contrarian return 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.

Keywords :
Behavioral Finance; Momentum and contrarian strategies; Cross-sectional risk; Lead-lag effect; Time-series pattern

Date Deposited : 29 Mar 2016 11:23

Last Modified : 29 Mar 2016 11:23

Official URL: http://www.ijmbr.org/article_23_1.html

Volume 1, Number 4, - 2011

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