Non-parametric momentum strategy based on rank and sign Study case: Tehran Stock Exchange

Subject Areas : Journal of Capital Market Analysis

parsa  jozzi ¹ (Department of Management ,Dehaghan Branch, Islamic Azad University, Dehaghan,Iran)
sayyed mohammadreza  davoodi ² (department of management,dehaghan branch.is;amic azad university.dehaghan.iran)
saeed  Kazemian hossinabadi ³ (Department of Management ,Dehaghan Branch, Islamic Azad University, Dehaghan,Iran)

Received: 2023-02-07 Accepted : 2023-12-05 Published : 2023-11-22

Keywords: : Momentum strategy, efficient market theory, momentum based on rank, momentum based on sign,

Abstract :

The purpose of this research is non-parametric momentum strategy based on rank and symbol in Tehran Stock Exchange. In the present research, two approaches to implementing the non-parametric momentum strategy were introduced as momentums based on rank and sign. MATLAB software and coding were used for data analysis and model implementation. The research model is taken from the article of T. Sang et al. (2021). The results of the research on the monthly data of 16 industries from the Tehran Stock Exchange between 2013 and 2022 show that the momentum approach based on rank compared to normal and sign increases the Sharpe ratio by 30% and also the momentum of the rank in the value measure in Exposed to risk also has the lowest risk. In addition, the regression relationship shows that both the monthly rate momentum return and the monthly sign momentum return have a positive significant effect on the normal momentum monthly return at the confidence level of 0.95. The high and appropriate determination coefficient of 0.892 also shows that there is a linear relationship between the three yields.