Liquidity Value at Risk Modeling: Volume and Implied Volatility Adjustment

Liquidity Value at Risk Modeling: Volume and Implied Volatility Adjustment

Ozge Yurukoglu

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Yeditepe University

Liquidity Value at Risk Modeling: Volume and Implied Volatility Adjustment

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Abstract

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.

References

21 Cites in Article

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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.

How to Cite 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

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

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Classification

GJMBR-C Classification JEL Code: F65

Submission ReceivedDecember 9, 2015
Peer Review Double Blind
Handling Editor
Accepted January 4, 2016
Published January 15, 2016

Version of record

v1.2

Issue date

January 26, 2017

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Article Matrices

Total Score: 101

Country: Turkey

Subject: Global Journal of Management and Business Research - C: Finance

Authors: Ozge Yurukoglu (PhD/Dr. count: 0)

View Count (all-time): 191

Total Views (Real + Logic): 3603

Total Downloads (simulated): 1848

Publish Date: 2017 01, Thu

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Total Views: 3603

Total Downloads: 1848

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