Liquidity Value at Risk Modeling: Volume and Implied Volatility Adjustment
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.
Downloads
- MD Kaleidoscope* (Beta by AI)
- FO Kaleidoscope* (Beta by AI)
- BIB Kaleidoscope* (Beta by AI)
- LaTeX Kaleidoscope* (Beta by AI)
- Article PDF
- TEI XML Kaleidoscope (download in zip)* (Beta by AI)
- Lens* NISO JATS XML (Beta by AI)
- HTML Kaleidoscope* (Beta by AI)
- DBK XML Kaleidoscope (download in zip)* (Beta by AI)
- LaTeX pdf Kaleidoscope* (Beta by AI)
- EPUB Kaleidoscope* (Beta by AI)
How to Cite
References
M Al-Mwalla (2012) Can book-to-market, size and momentum be extra risk factors that explain the stocks rate of return?: Evidence from emerging market. 3(2), 42.
M Al-Mwalla, K Al-Qudah, M Karasneh (2012) Additional Risk Factors that can be used to Explain more Anomalies: Evidence from Emerging Market.
R Balvers, Y Wu (2006) Momentum and mean reversion across national equity markets. 13(1), 24-48.
R Bildik, G Gulay (2002) The Winners and Losers Effect: Evidence from the Istanbul Stock Exchange.
G Bornholt, M Malin (2013) Strong and weak momentum components: Evidence from international market indices.
Shah Chowdhury (2016) Time-Series and Cross-Sectional Momentum in the Saudi Arabia Stock Market Returns.
M Cooper, R Jr, A Hameed (2004) Market states and momentum. 59(3), 1345-1365.
K Daniel, D Hirshleifer, A Subrahmanyam (1998) Investor psychology and security market under-and overreactions. 53(6), 1839-1885.
W De Bondt, R Thaler (1985) Does the stock market overreact. 40(3), 793-805.
O Gharaibeh (2015) Interaction of Size and Momentum Effects in Jordan Firms: 2005-2014. 4(1).
Omar Gharaibeh (2016) Strong and Weak Price Momentum Components: Evidence from 10 Arabic Market Indices. 7(1).
Harrison Hong, Jeremy Stein (1999) A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets. 54(6), 2143-2184.
N Jegadeesh, S Titman (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. 48(1), 65-91.
Narasimhan Jegadeesh, Sheridan Titman (2001) Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. 56(2), 699-720.
H Kot, K Chan (2006) Can contrarian strategies improve momentum profits. 4(1).
W Newey, K West (1987) Hypothesis testing with efficient method of moments estimation. 777-787.
M O'brien, T Brailsford, C Gaunt (2010) Interaction of size, book-to-market and momentum effects in Australia. 50(1), 197-219.
Kyung‐in Park, Dongcheol Kim (2014) Sources of momentum profits in international stock markets. 54(2), 567-589.
B Swaminathan, C Lee (2000) Do stock prices overreact to earnings news.
M.-C Wang, H.-C Wang, Y.-C Liu (2016) Short-Term Momentum and Investing Strategies in Daily Returns: Evidence from. (7), 121-141.
H White (1980) A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. 48, 817-838.
Published
2017-01-26
Issue
Section
License
Copyright (c) 2016 Authors and Global Journals Private Limited
This work is licensed under a Creative Commons Attribution 4.0 International License.