scholarly journals The Impact Of Trading Volume On Portfolios Effective Time Formation/Holding Periods Based On Momentum Investment Strategies

2011 ◽  
Vol 10 (7) ◽  
pp. 1
Author(s):  
Tov Assogbavi ◽  
Martin Giguere ◽  
Komlan Sedzro
Keyword(s):  
Trading Volume ◽  
Selection Process ◽  
High Volume ◽  
Investment Strategies ◽  
Momentum Strategy ◽  
Holding Period ◽  
Effective Time ◽  
Price Momentum ◽  
Time Period ◽  
The Impact

This paper analyzes momentum investment strategies based on past market data to evaluate the impact of trading volume on price momentum for the Canadian Stock Market. Utilizing variant models of Jegadeesh and Titman (1993) and Lee and Swaminathan (2000), we evaluate the effective time formation/holding periods of portfolios using both past price and trading volume. The findings suggest that taking high trading volume into consideration in momentum investment strategies on the TSX between 1996 to 2004 generally outperformed a strictly price-based momentum strategy for both winners (t= 2.118, p< .05) and losers (t= 2.174, p< .05). The most effective time period for a winning-high-volume portfolio was nine months of formation, starting in April and a 3-month holding period. The holding period is shorter by six months compared to what is suggested by Assogbavi, et al. (2008). In addition, high-volume portfolios consistently bettered low-volume portfolios for both winners (t= 4.121, p< .001) and losers (t= 3.956, p< .001). For investors who base their portfolio construction on momentum investment strategies, these findings suggest that it would be wise to incorporate past trading volume in their selection process.

Are Indian Investors Return Chasers? An Anatomy of their Trading Behavior

GIS Business ◽  
2016 ◽  
Vol 11 (3) ◽  
pp. 32-44
Author(s):  
Martin Bernard ◽  
Malabika Deo
Keyword(s):  
Equity Returns ◽  
Trading Behavior ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Price Momentum ◽  
Momentum Profits ◽  
Indian Context ◽  
Time Period ◽  
Monthly Return ◽  
Indian Stock Market

Momentum has remained an unanswered anomaly in finance literature. Researchers have pointed out two arguments, whether the source of prior return anomalies are rational or behavioral. In this paper, we examined return chasing tendency investors and the profitability of probable price momentum strategy in Indian equity market using the monthly return data of equities represented in BSE-500 index encompassing the time period from July 2004 to Jun 2014. Study is an attempt to analyze momentum effect before, during and after the financial crisis of 2007–2009 to check whether investors continue to follow the same strategy during crisis or their behavior undergoes any change. Also study examined the adequacy of rational CAPM models to explain momentum profits. The result evidenced a strong presence of economically and statistically significant momentum profit in Indian stock market equity returns. Therefore return chasing tendency of Indian investors is found to be persistent in the intermediate horizon in Indian context. Closer observation of the results reveals that, Indian investors are winners chasers rather than investor in past losers. Study also confirmed that investors sentiments are volatile according to general market environment and inadequacy of rationalist equilibrium model to explain momentum profits.

The Impact of Regionalization of Pancreaticoduodenectomy for Pancreatic Cancer in North Carolina since 2004

2014 ◽  
Vol 80 (6) ◽  
pp. 561-566 ◽  
Author(s):  
Ryan Z. Swan ◽  
David J. Niemeyer ◽  
Ramanathan M. Seshadri ◽  
Kyle J. Thompson ◽  
Amanda Walters ◽  
...  
Keyword(s):  
North Carolina ◽  
Significant Risk ◽  
High Volume ◽  
Major Morbidity ◽  
The North ◽  
Time Period ◽  
Improved Outcomes ◽  
Before And After ◽  
Low Volume ◽  
The Impact

Pancreaticoduodenectomy (PD) carries a significant risk. High-volume centers (HVCs) provide improved outcomes and regionalization is advocated. Rapid regionalization could, however, have detrimental effects. North Carolina has multiple HVCs, including an additional HVC added in late 2006. We investigated regionalization of PD and its effects before, and after, the establishment of this fourth HVC. The North Carolina Hospital Discharge Database was queried for all PDs performed during 2004 to 2006 and 2007 to 2009. Hospitals were categorized by PD volume as: low (one to nine/year), medium (10 to 19/year), and high (20/year or more). Mortality and major morbidity was assessed by comparing volume groups across time periods. Number of PDs for cancer increased 91 per cent (129 to 246 cases) at HVCs, whereas decreasing at low-volume (62 to 58 cases) and medium-volume (80 to 46 cases) centers. Percentage of PD for cancer performed at HVCs increased significantly (47.6 to 70.3%) while decreasing for low- and medium-volume centers ( P < 0.001). Mortality was significantly less at HVCs (2.8%) compared with low-volume centers (10.3%) for 2007 to 2009. Odds ratio for mortality was significantly lower at HVCs during 2004 to 2006 (0.31) and 2007 to 2009 (0.34). Mortality for PD performed for cancer decreased from 6.6 to 4.6 per cent ( P = 0.31). Major morbidity was not significantly different between groups within either time period; however, there was a significant increase in major morbidity at low-volume centers ( P = 0.018). Regionalization of PD for cancer is occurring in North Carolina. Mortality was significantly lower at HVCs, and rapid regionalization has not detracted from the superior outcomes at HVCs.

Are Indian Investors Return Chasers? An Anatomy of their Trading Behavior

GIS Business ◽  
2017 ◽  
Vol 12 (2) ◽  
pp. 32-44
Author(s):  
Martin Bernard ◽  
Malabika Deo
Keyword(s):  
Equity Returns ◽  
Trading Behavior ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Price Momentum ◽  
Momentum Profits ◽  
Indian Context ◽  
Time Period ◽  
Monthly Return ◽  
Indian Stock Market

Momentum has remained an unanswered anomaly in finance literature. Researchers have pointed out two arguments, whether the source of prior return anomalies are rational or behavioral. In this paper, we examined return chasing tendency investors and the profitability of probable price momentum strategy in Indian equity market using the monthly return data of equities represented in BSE-500 index encompassing the time period from July 2004 to Jun 2014. Study is an attempt to analyze momentum effect before, during and after the financial crisis of 2007–2009 to check whether investors continue to follow the same strategy during crisis or their behavior undergoes any change. Also study examined the adequacy of rational CAPM models to explain momentum profits. The result evidenced a strong presence of economically and statistically significant momentum profit in Indian stock market equity returns. Therefore return chasing tendency of Indian investors is found to be persistent in the intermediate horizon in Indian context. Closer observation of the results reveals that, Indian investors are winners chasers rather than investor in past losers. Study also confirmed that investors sentiments are volatile according to general market environment and inadequacy of rationalist equilibrium model to explain momentum profits.

scholarly journals Investment Strategies, Performance, And Trading Information Impact

2011 ◽  
Vol 4 (9) ◽  
Author(s):  
Tov Assogbavi ◽  
Johnston E. Osagie ◽  
Larry A. Frieder ◽  
Jong-Kyun Shin
Keyword(s):  
Stock Returns ◽  
Strong Evidence ◽  
Trading Volume ◽  
High Volume ◽  
Investment Strategy ◽  
Volume Effect ◽  
Bad News ◽  
Portfolio Construction ◽  
Investment Strategies ◽  
Canadian Market

This paper examines a set of investment strategies based on past market information to evaluate performance and trading impact on the Canadian Market. In doing so, we assess whether trading information adds value to the effectiveness of these strategies. Utilizing variant models of four different methodologies, we find strong evidence that supported the Momentum Investment Strategy, which buys past winner stocks and sells past loser stocks. Our evidence did not support Contrarian Investment Strategy, which posits that investors overreact to good and bad news. Our winners portfolios outperform our losers portfolios. The Negative Volume Effect Strategy did not work, which is contrary to the Foerster, Prihar and Schmitz (1995) study. We found that winners stocks did not reverse in cases of heavy volume; nor did loser stocks reverse in a high volume context. However, we did find that trading information has an impact on stock returns and thus adds value to investment strategies for the 1990 to 2000 investment period. Investors who combine past price and trading volume information in constructing their investment strategies would achieve higher returns than investors who base their portfolio construction decisions solely on stock prices.University.

scholarly journals THE IMPACT OF COVID-19 ON IRAQI STOCK MARKET: AN EVENT TO STUDY METHODOLOGY

2021 ◽  
Vol 11 (2) ◽  
Author(s):  
Azzam Khalid Chyad ◽  
Dr. Ayad Taher Aljubori
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Trading Volume ◽  
Stock Exchange ◽  
Scatter Plot ◽  
Market Index ◽  
Time Period ◽  
Study Methodology ◽  
The Impact ◽  
Exchange Data

The research aims to study the impact of the economic crisis caused by the Corona pandemic on the Iraqi stock market by studying the event, specifically the impact of two pandemic events on the returns and volume of shares circulation, for companies listed on the Iraq Stock Exchange across sectors (banks - communications - insurance - services - Industry - Hotels and Tourism - Agriculture), and the Iraqi market for financial stocks represents the place of application, while the market sectors, which number (7), represent the research community, and the sample of the study of the impact of the pandemic on the market index, companies included in the Iraq Stock Exchange Index (SIX60) which Its number reached (60) companies from all market sectors, while the sample for studying the impact of the pandemic on the sector’s returns and trading volume in them was (102) companies representing all companies listed on the Iraq Stock Exchange. Data and information were obtained from reports (daily, weekly and monthly) issued. From the Iraq Stock Exchange and the Securities Commission for the time period (2019-2020), and the financial methods represented by stock returns, trading volume and market momentum index were relied upon, and some statistical methods were adopted. For my description of (arithmetic mean, standard deviation, and percentages), as well as inferential statistics methods (autocorrelation coefficient - simple regression - T-test - histogram - scatter plot - QQ chart) across applications (SPSS V25-Excle 2020- Py Charme2020) to compare Results and testing of research hypotheses. This is to determine the impact of the Corona pandemic (the first and second event) on the returns and trading of ordinary shares on the Iraq Stock Exchange.

Are Indian Investors Return Chasers? An Anatomy of their Trading Behavior

GIS Business ◽  
2016 ◽  
Vol 11 (4) ◽  
pp. 32-44
Author(s):  
Martin Bernard ◽  
Malabika Deo
Keyword(s):  
Equity Returns ◽  
Trading Behavior ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Price Momentum ◽  
Momentum Profits ◽  
Indian Context ◽  
Time Period ◽  
Monthly Return ◽  
Indian Stock Market

Momentum has remained an unanswered anomaly in finance literature. Researchers have pointed out two arguments, whether the source of prior return anomalies are rational or behavioral. In this paper, we examined return chasing tendency investors and the profitability of probable price momentum strategy in Indian equity market using the monthly return data of equities represented in BSE-500 index encompassing the time period from July 2004 to Jun 2014. Study is an attempt to analyze momentum effect before, during and after the financial crisis of 2007–2009 to check whether investors continue to follow the same strategy during crisis or their behavior undergoes any change. Also study examined the adequacy of rational CAPM models to explain momentum profits. The result evidenced a strong presence of economically and statistically significant momentum profit in Indian stock market equity returns. Therefore return chasing tendency of Indian investors is found to be persistent in the intermediate horizon in Indian context. Closer observation of the results reveals that, Indian investors are winners chasers rather than investor in past losers. Study also confirmed that investors sentiments are volatile according to general market environment and inadequacy of rationalist equilibrium model to explain momentum profits.

Are Indian Investors Return Chasers? An Anatomy of their Trading Behavior

2016 ◽  
Vol 6 (3) ◽  
Author(s):  
Martin Bernard ◽  
Malabika Deo
Keyword(s):  
Equity Returns ◽  
Trading Behavior ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Price Momentum ◽  
Momentum Profits ◽  
Indian Context ◽  
Time Period ◽  
Monthly Return ◽  
Indian Stock Market

Momentum has remained an unanswered anomaly in finance literature. Researchers have pointed out two arguments, whether the source of prior return anomalies are rational or behavioral. In this paper, we examined return chasing tendency investors and the profitability of probable price momentum strategy in Indian equity market using the monthly return data of equities represented in BSE-500 index encompassing the time period from July 2004 to Jun 2014. Study is an attempt to analyze momentum effect before, during and after the financial crisis of 2007–2009 to check whether investors continue to follow the same strategy during crisis or their behavior undergoes any change. Also study examined the adequacy of rational CAPM models to explain momentum profits. The result evidenced a strong presence of economically and statistically significant momentum profit in Indian stock market equity returns. Therefore return chasing tendency of Indian investors is found to be persistent in the intermediate horizon in Indian context. Closer observation of the results reveals that, Indian investors are winners chasers rather than investor in past losers. Study also confirmed that investors sentiments are volatile according to general market environment and inadequacy of rationalist equilibrium model to explain momentum profits.

scholarly journals Forward-Looking Volatility Estimation for Risk-Managed Investment Strategies during the COVID-19 Crisis

Risks ◽  
2021 ◽  
Vol 9 (2) ◽  
pp. 33
Author(s):  
Luca Di Persio ◽  
Matteo Garbelli ◽  
Kai Wallbaum
Keyword(s):  
Developed Countries ◽  
Investment Strategies ◽  
Economic Returns ◽  
Control Solution ◽  
Volatility Estimation ◽  
Risk Return ◽  
Time Period ◽  
Long Time ◽  
The Impact ◽  
Forward Looking

Under the impact of both increasing credit pressure and low economic returns characterizing developed countries, investment levels have decreased over recent years. Moreover, the recent turbulence caused by the COVID-19 crisis has accelerated the latter process. Within this scenario, we consider the so-called Volatility Target (VolTarget) strategy. In particular, we focus our attention on estimating volatility levels of a risky asset to perform a VolTarget simulation over two different time horizons. We first consider a 20 year period, from January 2000 to January 2020, then we analyse the last 12 months to emphasize the effects related to the COVID-19 virus’s diffusion. We propose a hybrid algorithm based on the composition of a GARCH model with a Neural Network (NN) approach. Let us underline that, as an alternative to standard allocation methods based on realized and backward oriented volatilities, we exploited an innovative forward-looking estimation process exploiting a Machine Learning (ML) solution. Our solution provides a more accurate volatility estimation, allowing us to derive an effective investor risk-return profile during market crisis periods. Moreover, we show that, via a forward-looking VolTarget strategy while using an ML-based prediction as the input, the average outcome for an investment in a drawdown plan is more sustainable while representing an efficient risk-control solution for long time period investments.

scholarly journals Analysis of the Impact of Trading Liquidity on the Development of Investment Time Horizon on the Example of the Warsaw Stock Exchange

2017 ◽  
Vol 4 (324) ◽  
Author(s):  
Agata Gniadkowska-Szymańska
Keyword(s):  
Stock Exchange ◽  
Investment Horizon ◽  
Stock Liquidity ◽  
Holding Period ◽  
Time Period ◽  
Common Stocks ◽  
Warsaw Stock Exchange ◽  
Long Time ◽  
The Cost ◽  
The Impact

The importance of liquidity has been acknowledged for a long time now. Liquidity is defined as the ease with which an asset can be converted into cash. A considerable number of studies investigated stock liquidity providing evidence that more illiquid stocks yield higher returns which include an illiquidity premium. According to Amihuda and Mendelson (1986b: 43–48), a required rate of return on the shares (gross, i.e. after taking into account the cost of liquidity) should increase with increasing liquidity, but the marginal increase should decrease with an increasing investment horizon, thus decreasing the likelihood of premature termination of the investment. As a result, investors with different investment horizons may require different rates of return per unit of time from the same shares (Huang 2003: 104–129). Investor horizon is the time period for which an investor holds a stock. Most of the research conducted on investment horizon links it to liquidity, supporting the thesis that it is negatively related to liquidity. “Transaction costs and the holding periods for common stocks” written by Atkins and Dyl (1997: 309–325) is one of the first papers to investigate the effects of liquidity on holding period. The aim of this study is to show the dependencies occurring between the phenomena of investment horizon and asymmetric information and the liquidity of shares of a company.

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