Artikel Jurnal :: Kembali

Artikel Jurnal :: Kembali

Behavioral trading strategies and investor sentiment: empirical research in tehran stock exchange (tse)

Kiarash Mehrania, Fereydoon Rahnamay Roodposhtia, Hashem Nekomarama, Ali Saeedib (Islamic Azad University, Department of Financial Management, Tehran Science and Research Branch, 2016)

 Abstrak

In this study, we analyze contrarian and momentum strategies in periods associated with optimism or pessimism, and we compare them to the normal market sentiment condition. We evaluate the sentiment using the Arms adjusted index. Then, using the vector autoregressive test, we analyze the relationships among sentiment, stock returns, excess returns, and volatility. The results show that the formation of a short-term portfolio in one- and three-month periods of optimism and pessimism do not create additional returns and results in losses. In addition, the outcomes indicate that combining normal market sentiment with behavioral finance strategies increases performances, with more significant results seen using contrarian strategies compared to momentum strategies.

 Metadata

Jenis Koleksi : Artikel Jurnal
No. Panggil : J-Pdf
Entri utama-Nama orang :
Entri tambahan-Nama orang :
Subjek :
Penerbitan : Tehran: Islamic Azad University, Department of Financial Management, Tehran Science and Research Branch, 2016
Sumber Pengatalogan : LibUI eng rda
ISSN : 23563818
Majalah/Jurnal : Indonesian Capital Market Review
Volume : Vol 8 No 2 July 2016 94-109
Tipe Konten : text
Tipe Media : computer
Tipe Carrier : online resource
Akses Elektronik : http://journal.ui.ac.id/index.php/icmr/article/view/5708/pdf
Institusi Pemilik : Universitas Indonesia
Lokasi :
  • Ketersediaan
  • Ulasan
  • Sampul
No. Panggil No. Barkod Ketersediaan
J-Pdf 03-20-122574017 TERSEDIA
Ulasan:
Tidak ada ulasan pada koleksi ini: 20443630
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