Prethodno priopćenje
https://doi.org/10.17818/EMIP/2024/1.8
THE EFFECTS OF MOMENTUM AND CONTRARIAN STRATEGIES ON THE CROATIAN CAPITAL MARKET
Joško Marić
orcid.org/0009-0003-9470-9810
; Sveučilište u Rijeci, Ekonomski fakultet
*
Mislav Šagovac
; Jadranski inovacijski centar
*
Luka Šikić
; Hrvatsko katoličko sveučilište
*
* Dopisni autor.
Sažetak
The study investigates momentum and contrarian strategies in the Croatian stock market from 2000 to 2022 and several sub-periods within that period. Throughout the entire analyzed period, the results confirm a contrarian effect in the short, medium, and long investment term, while momentum and contrarian effects are confirmed in the short and medium investment term in several sub-periods, with the contrarian effect being confirmed in significantly more cases. The analysis indicates the variability of the size and significance of momentum and contrarian effects depending on the portfolio formation period, the portfolio holding period, and market regime. The contrarian effect is confirmed in more cases and is generally characterized by higher profitability. The research results are in line with findings from literature that analyzed these phenomena on developed and emerging markets, suggesting the conclusion that the Croatian market has a certain type of memory that can serve as a basis for generating long-term investment profits.
Ključne riječi
international financial markets; momentum strategy; contrarian strategy
Hrčak ID:
317747
URI
Datum izdavanja:
11.6.2024.
Posjeta: 521 *