Trading Volume and Return from Contrarian and Momentum Strategies in Tehran Stock Exchange

Trading Volume and Return from Contrarian and Momentum Strategies in Tehran Stock Exchange

One of the most challenging observations in financial markets is that the common stock return, In contrast with the efficient market hypothesis, has special behaviors in various time intervals. One of these abnormal behaviors is as a result of momentum and contrarian strategies . This study invest...

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Bibliographic Details
Main Authors: Mahmood Yahyazadehfar, Saeedeh Lorestani
Format: Article
Language:fas
Published: Alzahra University 2012-12-01
Series:پژوهش‌های تجربی حسابداری
Subjects:
Momentum Strategy
Contrarian Strategy
Trading Volume
Online Access:http://jera.alzahra.ac.ir/article_559_618dbfcb311f3a564b0598efcba69391.pdf
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spelling doaj-a9d33ce04fc84cf388c0d5d40ccb72092020-11-25T01:53:37ZfasAlzahra Universityپژوهش‌های تجربی حسابداری2251-85092538-15202012-12-0122334810.22051/jera.2013.559559Trading Volume and Return from Contrarian and Momentum Strategies in Tehran Stock ExchangeMahmood Yahyazadehfar0Saeedeh Lorestani1دانشگاه مازندراندانشگاه مازندرانOne of the most challenging observations in financial markets is that the common stock return, In contrast with the efficient market hypothesis, has special behaviors in various time intervals. One of these abnormal behaviors is as a result of momentum and contrarian strategies . This study investigates the effect of trading volume on contrarian and momentum strategies performance using a sample of 108 listed firms' data in Tehran Stock Exchange during 2003-2011. The sample data were collected from Tadbir Pardaz and Rahavard Nouvin software. The research hypothesis was tested using mean comparison, ANOVA and Tokay tests. The results showed that the momentum strategy in high and medium trading volume is profitable quarterly. Also the momentum return will increase when the trading volume is increased .http://jera.alzahra.ac.ir/article_559_618dbfcb311f3a564b0598efcba69391.pdfMomentum StrategyContrarian StrategyTrading Volume
collection DOAJ
language fas
format Article
sources DOAJ
author Mahmood Yahyazadehfar
Saeedeh Lorestani
spellingShingle Mahmood Yahyazadehfar
Saeedeh Lorestani
Trading Volume and Return from Contrarian and Momentum Strategies in Tehran Stock Exchange
پژوهش‌های تجربی حسابداری
Momentum Strategy
Contrarian Strategy
Trading Volume
author_facet Mahmood Yahyazadehfar
Saeedeh Lorestani
author_sort Mahmood Yahyazadehfar
title Trading Volume and Return from Contrarian and Momentum Strategies in Tehran Stock Exchange
title_short Trading Volume and Return from Contrarian and Momentum Strategies in Tehran Stock Exchange
title_full Trading Volume and Return from Contrarian and Momentum Strategies in Tehran Stock Exchange
title_fullStr Trading Volume and Return from Contrarian and Momentum Strategies in Tehran Stock Exchange
title_full_unstemmed Trading Volume and Return from Contrarian and Momentum Strategies in Tehran Stock Exchange
title_sort trading volume and return from contrarian and momentum strategies in tehran stock exchange
publisher Alzahra University
series پژوهش‌های تجربی حسابداری
issn 2251-8509
2538-1520
publishDate 2012-12-01
description One of the most challenging observations in financial markets is that the common stock return, In contrast with the efficient market hypothesis, has special behaviors in various time intervals. One of these abnormal behaviors is as a result of momentum and contrarian strategies . This study investigates the effect of trading volume on contrarian and momentum strategies performance using a sample of 108 listed firms' data in Tehran Stock Exchange during 2003-2011. The sample data were collected from Tadbir Pardaz and Rahavard Nouvin software. The research hypothesis was tested using mean comparison, ANOVA and Tokay tests. The results showed that the momentum strategy in high and medium trading volume is profitable quarterly. Also the momentum return will increase when the trading volume is increased .
topic Momentum Strategy
Contrarian Strategy
Trading Volume
url http://jera.alzahra.ac.ir/article_559_618dbfcb311f3a564b0598efcba69391.pdf
work_keys_str_mv AT mahmoodyahyazadehfar tradingvolumeandreturnfromcontrarianandmomentumstrategiesintehranstockexchange
AT saeedehlorestani tradingvolumeandreturnfromcontrarianandmomentumstrategiesintehranstockexchange
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