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.
In this paper, the market risk measurement models and liquidity adjusted value at risk models (L_VaR) are merged. Monte Carlo Value at Risk and Monte Carlo Simulation Expected Shortfall (ES) Model are used to calculate conventional market risk value. The results are combined with L_VaR to see the effectiveness of liquidity risk modeling. The L_VaR is calculated by 5 different methods: Constant Spread Approach, Exogenous Spread Approach, Endogenous-Price Approach, Volume Adjusted L_VaR and Implied Volatility Adjusted L_VaR. The first three models are stated in the literature whereas the volume adjusted and the implied volatility adjusted models are the proposed ones. Arcelik, Bimas, Eregli Demir Celik, Halk Bankasi, Kardemir, Sise Cam Fabrikalari, Tofas Oto Fabrikalari and Ulker are the securities and USD/TRL, EUR/TL and EUR/USD are the currency pairs used in modeling. Daily prices for the period 2011 and 2014 are used for the calculations.