Liquidity Value at Risk Modeling: Volume and Implied Volatility Adjustment

Ozge Yurukoglu

Authors

Ozge Yurukoglu

Keywords:

risk, liquidity, var, expected shortfall, l_var, constant spread aproach, exogenous spread aproach, endogenous price aproach, cost of liquidty

Abstract

The aim of this paper is to investigate whether there is the momentum effect across 23 indices-level anomaly in Amman Stock Exchange (ASE). This study also compares and contrasts the momentum strategy with both early-stage and late-stage momentum strategies. By using a sample of 23 Jordanian indices for the period from 2005 to 2015, this paper provide economically large momentum profits over the past 6, 9 and 12 months tend to outperform in the future. In addition, this study provides convincing evidence that late-stage momentum strategy consistently generates stronger profits than does the traditional momentum strategy. Although the CAPM model can explain the momentum profits, late-stage momentum strategy cannot completely explained by the CAPM model.

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How to Cite

Liquidity Value at Risk Modeling: Volume and Implied Volatility Adjustment. (2016). Global Journal of Management and Business Research, 16(37), 17-22. https://journalofbusiness.org/index.php/GJMBR/article/view/

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