طراحي استراتژي هاي معاملاتي بر پايه استراتژي هاي مومنتوم و معكوس به منظور سرمايه گذاري در بازار اوراق بهادار ايران

چكيده انگليسي :

Design of Trading Strategies Based on the Momentum and Contrarian Strategies to Invest in Iran Stock Exchange Market Bahareh Mahdavi Sharif b mahdavisharif@in iut ac ir Date of Submission 27 02 2012 Department of Industrial and Systems Engineering Isfahan University of Technology Isfahan 84156 83111 Iran Degree M Sc Language Farsi Supervisors Farimah Mokhatab Rafiei farimah@cc iut ac ir AbstractPrediction of returns in stock market investment has attracted many researches in last decade Contrary to thegrowing research on portfolio selection and in spite of the rich literature on the subject yet there are someunsolved problems and unanswered questions Besides in Iran s stock market as an emerging market whichis growing fast there are plenty unreturned questions The overall aims of the thesis are to determine whetherit is possible to predict future stock market returns One of the capital market anomalies and exceptions infinance are momentum and contrarian strategies These strategies applied to serial correlation available inmarket and securities returns This study examines the profitability of momentum strategies contrarianstrategies and strategies based on the volatility of past returns in Tehran Stock Exchange Market A sample of100 selected companies from 1383 to 1389 is utilized In addition this study investigates the interaction ofmomentum and contrarian strategies with each other and with volatility to assess the profitability of newcombined strategies The findings show that there are momentum and contrarian affects in Tehran StockExchange Market which confirms previous researches in this market Considering the jointmomentum contrarian affects reveals highly profitable combined trading strategies that are superior to thepure momentum and contrarian strategies The idea behind our investigation is that the occurrence of pricereversal signals a turning point in the market so that the price momentum will be accelerated The triggeringof a price reversal indicates a substantial mispricing and hence draws the market attention so that the pricemomentum effect is stronger during the early stage of price reversal Moreover results of these combinedstrategies support the notation that momentum and contrarian effects are integrated The investigation ofearly stage and late stage momentum strategies indicates that the most likely explanation of momentumprofits is that they are partly due to delayed overreaction The thesis also investigates whether contrarianprofits can be improved by taking into consideration the short term performance of stocks This approachfinds that the double sorted late stage contrarian strategies are superior to single sorted contrarian strategies This study also demonstrates that past stock volatility can be used as an effective variable in combination ofpast returns to predict futures stocks returns The double return volatility strategies analysis reveals thatvolatility fails to enhance the contrarian effect while volatility significantly improves the pure momentumstrategy returns In last two decades many researches focused on applicability of theory of market efficiency This theory is now under question whether it is hold anymore or what Still there is controversy about it Thisdoubt comes from the recognition of the limitations of arbitrage and from the clear evidences onpredictability of security returns In this thesis as the strategies only used historical data to construct theportfolios and they achieved a good performance in contrast to the market portfolio the weak form ofefficient market hypothesis which approves reflection of historical data in stock prices seems of no effectand is under question in Tehran Stock Market Keywords Momentum Strategies Contrarian Strategies Combined Strategies Volatility Tehran Stock Exchange Market

مهدوي شريف، بهاره

طراحي استراتژي هاي معاملاتي بر پايه استراتژي هاي مومنتوم و معكوس به منظور سرمايه گذاري در بازار اوراق بهادار ايران

استراتژي هاي معكوس , نوسان پذيري