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The Effects Of Momentum And Contrarian Strategies On The Croatian Capital Market

Author

Listed:
  • Josko Maric

    (University of Rijeka, Faculty of Economics and Business)

  • Mislav Sagovac

    (Adriatic Innovation Centre)

  • Luka Sikic

    (Catholic University of Croatia)

Abstract

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.

Suggested Citation

  • Josko Maric & Mislav Sagovac & Luka Sikic, 2024. "The Effects Of Momentum And Contrarian Strategies On The Croatian Capital Market," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, vol. 33(1), pages 149-175, june.
    • Handle: RePEc:avo:emipdu:v:33:y:2024:i:1:p:149-175
    DOI: 10.17818/EMIP/2024/1.8
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    More about this item

    Keywords

    international financial markets; momentum strategy; contrarian strategy;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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