Cross sectional and time series momentum strategies in futures market investment decisions. The case of Borsa İstanbul

Momentum has become greatly interested topic in finance. It classically defines a cross section strategy. Besides, a time series approach has been introduced recently. Futures contracts are found useful for investing with momentum strategies. Few studies researched momentum strategies of Turkish stock market and presented insignificant results. Therefore, analyzing Turkish futures market with new momentum approaches is important. The study tested effectiveness according to the positive abnormal returns. Ordinary least squares, bootstrap and MM methods are used in order to estimate Four Factor Model of Asset Pricing and significance of alpha coefficients are evaluated. Findings presented significant momentum results when specific look-back and investment periods are chosen. However, aggregate and individual stock index futures passive strategies are evidenced highly significant positive abnormal returns in all estimation methods. The research cannot strongly support the idea that momentum is a stock market anomaly. This study shows that passive strategies are significantly valid. Findings are consistent with Turkish literature. It is understood that momentum investors should be cautious for choosing Turkish futures market instruments. Keywords: Momentum Strategies, Futures Market, Abnormal Returns, Four Factor Model