Yüksek LisansAçık Erişim

Empirical testing of the momentum effect: Evidence from the West African Economic and Monetary Union (UEMOA) stock market

2016
0 görüntülenme
0 i̇ndirme
Danışman: Doç. Dr. Recep Karabulut

Özet (EN)

The efficient markets hipothesis postulates that in the capital markets, securities prices always fully reflect all available information and that investors are rationally guided in their investments decisions. Hence, no market participant can earn abnormal returns by the use of any information or analysis techniques. The predictability of securities future prices behaviour based on the securities past prices movements as well as the momentum effect which is the increase (decrease) acceleration of rise (decrease) of a security's price or volume, represents a direct challenge to the efficient markets hipothesis. Several studies have shown that by exploiting the momentum effect and thereby buying past winning stocks and selling past losing stocks one can earn abnormal returns. Besides some other market anomalies challenging the efficient markets hipothesis are the firm size effect, the weekwnd effect, the turn-of-the-year effect, the low price to earnings (P/E) effect. This study aims to examine whether the momentum effect in the WAEMU stock market has existed. The sample used for the analysis comprises the past daily adjusted closing prices of all securities listed on the Regional Stock Exchange (BRVM) from September 18, 1998 to December 31, 2015. For this study, the analysis method used is the Partial Autocorrelation Function (PACF) used in time series analysis. The results of the analysis show that the correlation (momentum) does not evolve further than two weeks of past prices. Thus, there is only a very weak evidence of momentum effect in the WAEMU's stock market. Accordingly, if a momentum stratagy is to be used in the BRVM, it is suggested that the analysis rely on about two weeks of past pices. Keywords : Momentum effect, efficient markets hipotesis, market anomalies

Yazar

Dr. Albert Naba

Bu Yayına Nasıl Atıf Yapılır

Albert Naba (Master Thesis). Empirical testing of the momentum effect: Evidence from the West African Economic and Monetary Union (UEMOA) stock market, 2016, İnönü University.

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