Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia


ISSN: 2450-7741    OAI    DOI: 10.18276/frfu.2018.92-28
CC BY-SA   Open Access 

Issue archive / 2/2018 (92)
Effect Momentum Evidence from Advance Emerging Market

Authors: Błażej Podgórski
Akademia Leona Koźmińskiego
Keywords: Effect Momentum Advance Emerging Market Anomalies Generalized Method of Moments
Data publikacji całości:2018
Page range:10 (325-334)
Klasyfikacja JEL: G14
Cited-by (Crossref) ?:

Abstract

Objective – The momentum effect (Czekaj et al., 2014) is one of the most recognizable anomalies on the capital market. Based on the observed effect it is recommended to invest in shares that in the medium term (from 3 to 12 months) were characterized by the high growth of prices and it is worth selling discount securities. There are two hypotheses stated in the article: Momentum effect occurs on the analysed market, The momentum effect can be the basis for building a profitable investment strategy. Research/methodology – Three methods verified the hypotheses: tests of differences, average and median rate of return, and dynamic models panelled with the estimation of parameters and generalized method of moments Results – There is some evidence that the momentum effect exists on the Polish market, but it is the result of lower losses of winners’ portfolio and is visible only for short-term investment horizons. The contrarian effect appears in the case of longer observations and investment horizons. Originality/value – In the presented paper the author tries to examine that the anomaly that exists on the Warsaw Stock Exchange (WSE), one of the biggest emerging markets of the European Union. In a lot of research the WSE is classified as an advanced emerging market. The next important issue is the period of twenty years after the economic transformation in Poland. The last one is a wide range of research methods.
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