Liquidity Value at Risk Modeling: Volume and Implied Volatility Adjustment

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Ozge Yurukoglu
Ozge Yurukoglu
1 Yeditepe University

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The aim of this paper is to investigate whether there is the momentum effect across 23 indices-level anomaly in Amman Stock Exchange (ASE). This study also compares and contrasts the momentum strategy with both early-stage and late-stage momentum strategies. By using a sample of 23 Jordanian indices for the period from 2005 to 2015, this paper provide economically large momentum profits over the past 6, 9 and 12 months tend to outperform in the future. In addition, this study provides convincing evidence that late-stage momentum strategy consistently generates stronger profits than does the traditional momentum strategy. Although the CAPM model can explain the momentum profits, late-stage momentum strategy cannot completely explained by the CAPM model.

Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

Ozge Yurukoglu. 2017. \u201cLiquidity Value at Risk Modeling: Volume and Implied Volatility Adjustment\u201d. Global Journal of Management and Business Research - C: Finance GJMBR-C Volume 16 (GJMBR Volume 16 Issue C9): .

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GJMBR Volume 16 Issue C9
Pg. 17- 22
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Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

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GJMBR-C Classification: JEL Code: F65
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v1.2

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January 26, 2017

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English

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The aim of this paper is to investigate whether there is the momentum effect across 23 indices-level anomaly in Amman Stock Exchange (ASE). This study also compares and contrasts the momentum strategy with both early-stage and late-stage momentum strategies. By using a sample of 23 Jordanian indices for the period from 2005 to 2015, this paper provide economically large momentum profits over the past 6, 9 and 12 months tend to outperform in the future. In addition, this study provides convincing evidence that late-stage momentum strategy consistently generates stronger profits than does the traditional momentum strategy. Although the CAPM model can explain the momentum profits, late-stage momentum strategy cannot completely explained by the CAPM model.

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Liquidity Value at Risk Modeling: Volume and Implied Volatility Adjustment

Ozge Yurukoglu
Ozge Yurukoglu Yeditepe University

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