The Effect of Using Momentum Strategies and Explaining its Returns in Damascus Stock Exchange
الملخص
This study aims to investigate the existence of empirical evidence for the effect of momentum on stock returns and the possibility of achieving positive returns by following the momentum strategies tested by Jegadeesh & Titman (1993), and to explain momentum returns in Damascus Stock Exchange, based on historical data represented by a series of daily closing prices for the shares of all companies listed in Damascus Securities Exchange during the period from 1/1/2018 to 31/3/2022.
The study concludes that there is a weak effect of momentum, but it is statistically significant, by following six strategies out of sixteen strategies, Strategy (12, 3) achieved the highest average monthly return by 1%. as the results of the research showed that momentum returns is a compensation for systematic risks, while unsystematic risks don't generate returns, and this is consistent with rational interpretations of momentum, but from a Perspective of behavioral. The theory also showed that stock prices walk randomly , there is no autocorrelation of own stock returns, which indicates that momentum is not caused by behavioral biases or delayed or underreaction of investors, so, momentum in Damascus Securities Exchange cannot be explained Behavioral theory.
References
14-1-المراجع العربية:
1- مفلح، هزاع، خلف، أسمهان (2020) الأسواق المالية، منشورات جامعة حماه، سورية.
14-2-المراجع الأجنبية:
1. Barberis.N, Shleifer.A, Vishny. R, (1998), A Model of Investor Sentiment, Journal of Financial Economics, vol.49, issue.3, p: 307-343.
2. Carhart.M. Mark, (1997), On Persistence in Mutual Fund Performance, the journal of Finance, Vol.52, No.1, p: 57-82.
3. Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under‐and overreactions. The Journal of Finance, 53(6), pp. 1839-1885.
4. De Bondt, W. F., & Thaler, R. (1985). Does the stock market overreact? .The Journal of finance, vol. 40, No.3, pp.793-805.
5. Dunham.M.L,(2011), The Hand Book of Equity Market Anomalies, Translating Market Inefficienciencies, Edited by Leonard Zacks, Canada, John Wily & Sons,Inc,p:195.
6. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, Vol. 25, No. 2, p. 383.
7. Grant, A., & Satchell, S. (2020). Market Momentum: Theory and Practice, John Wiley & Sons.
8. Hashemi.J&Hussain .A,(2009), Active Portfolio Management A performance evaluation of Swedish Equity Mutual Funds ,master thesis, University of Gothenburg ,School of Business, Economics and Low.
9. Hon, M., & Tonks, I. (2001). Momentum in the UK Stock Market. Discussion Paper, Department of Economics, University of Bristol, No. 516, PP. 43-70.
10. Jegadeesh, N. (1990). Evidence of predictable behavior of security returns. The Journal of finance, 45(3), P. 881-897.
11. Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of finance, 48(1), P.65-91.
12. Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of finance, 56(2), 699-720.
13. Poitras, G, (2010), Valuation of equity Securities History Theory and Applications, Simon Fraser University, Canada, World Scientific.
14. Rosebloom, C, (2011), The Complete Trading Course: Price Patterns, Strategies, Setups, and Execution Tactics, 1st edition, John Wily and Sons, Inc.
15. Van Horne, J. C., & Parker, G. G. (1967). The random-walk theory: an empirical test. Financial analyst's journal, 23(6), p.87-92.
16. Zhang, Y. (2010). Two Essays on Momentum Strategy and Its Sources of Abnormal Returns, University of Tennessee.
14-3-المواقع الالكترونية:
1. موقع سوق دمشق للأوراق المالية http://www.dse.gov.sy/.
