Investigation of Momentum and Contrarian Anomalies in the Islamic Stocks: Empirical Evidence from Turkey

Abstract

This paper investigates momentum and contrarian anomalies in Islamic stocks in Turkey. For this purpose, the wild bootstrap automatic variance ratio test was carried out using weekly prices of 10 Islamic stocks in Turkey. The analysis results showed that there are both momentum and contrarian anomalies in Islamic stocks in Turkey. It was also found that the contrarian anomaly occurs more than the momentum anomaly in the Turkish Islamic stocks, and the performance of both momentum and contrarian strategies show periodic changes. Finally, it can be concluded that abnormal returns can be obtained using the contrarian strategy for AKSUE, ALBRK, BIMAS, KONYA, the momentum strategy for BANVT, CEMTS, LOGO, and both strategies for ISDMR.

Role of Non-Renewable Energy Efficiency and Renewable Energy in Driving Environmental Sustainability in India: Evidence from the Load Capacity Factor Hypothesis

“…Also, the co-integration relationship must be between the variables under consideration. For these reasons, three widely used unit root tests, namely, Augmented Dickey-Fuller [34], Phillips-Perron [35], and Zivot-Andrews [36] (ZA) were first used to make sure the order of integration of any of the variables was not I(2) (corroborated in the literature [37][38][39][40][41]) also apply these unit roots). The unit root test results are reported in Table 3.…”

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“…;Al-mulali et al, 2013;Kahouli, 2017;Khan et al, 2019;Ahmed & Sarkodie, 2021;Olasehinde-Williams et al, 2021;Ozkan, 2021;Özkan & Çakar, 2021;Godil et al, 2022; …”