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## entrDOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?

#### İlkay ÖZTÜRK [1] , Muzaffer AKAT [2]

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In this study, performances of momentum strategies has been documented using the 5-year and the 10-year maturity Turkish bonds between the dates March 2010 and August 2017 with various look-back periods. The U.S. 10-year maturity bond yield and the Istanbul Stock Exchange 100 total return index are found to be the best performing momentum indicators. There is an improvement of 10.46% annual return while using the U.S. 10-year maturity bond yield as the momentum indicator.

Because of the liquidity-thin emerging markets’ supply pressure of public debt, the auctions need further attention. After a minor change to (Beetsma, Giuliodori, de Jong, & Widijanto, 2013) methodology, the treasury debt auction cycle effect is calculated for the 5-year and 10-year maturity Turkish bonds. In accordance with the auction cycle effect, the employed simple momentum strategy is adjusted. This new adjusted momentum strategy improves annual returns from 0% to 6.90% (%3.5 on average) across all the momentum indicators and the look-back periods.

The time series momentum is found to be existent in the Turkish bond market for the aforementioned period.  The supply side pressure by the treasury auctions has a delaying effect on the time series momentum. Employing the other momentum indicators performs better than the bond momentum itself. The adjusted momentum strategy enhances the annual returns up to 11.46%.

In this study, performances of momentum strategies has been documented using the 5-year and the 10-year maturity Turkish bonds between the dates March 2010 and August 2017 with various look-back periods. The U.S. 10-year maturity bond yield and the Istanbul Stock Exchange 100 total return index are found to be the best performing momentum indicators. There is an improvement of 10.46% annual return while using the U.S. 10-year maturity bond yield as the momentum indicator.

Because of the liquidity-thin emerging markets’ supply pressure of public debt, the auctions need further attention. After a minor change to (Beetsma, Giuliodori, de Jong, & Widijanto, 2013) methodology, the treasury debt auction cycle effect is calculated for the 5-year and 10-year maturity Turkish bonds. In accordance with the auction cycle effect, the employed simple momentum strategy is adjusted. This new adjusted momentum strategy improves annual returns from 0% to 6.90% (%3.5 on average) across all the momentum indicators and the look-back periods.

The time series momentum is found to be existent in the Turkish bond market for the aforementioned period.  The supply side pressure by the treasury auctions has a delaying effect on the time series momentum. Employing the other momentum indicators performs better than the bond momentum itself. The adjusted momentum strategy enhances the annual returns up to 11.46%.

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Primary Language en Social haziran ARTICLES Author: İlkay ÖZTÜRKInstitution: ÖZYEĞİN ÜNİVERSİTESİ, İŞLETME ENSTİTÜSÜCountry: Turkey Author: Muzaffer AKATInstitution: ÖZYEĞİN ÜNİVERSİTESİ, İŞLETME ENSTİTÜSÜCountry: Turkey
 Bibtex @research article { iremjournal417320, journal = {International Review of Economics and Management}, issn = {2148-3493}, address = {Gökhan ÖZER}, year = {2019}, volume = {6}, pages = {59 - 83}, doi = {}, title = {DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?}, key = {cite}, author = {ÖZTÜRK, İlkay and AKAT, Muzaffer} } APA ÖZTÜRK, İ , AKAT, M . (2019). DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?. International Review of Economics and Management, 6 (2), 59-83. Retrieved from http://dergipark.gov.tr/iremjournal/issue/36428/417320 MLA ÖZTÜRK, İ , AKAT, M . "DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?". International Review of Economics and Management 6 (2019): 59-83 Chicago ÖZTÜRK, İ , AKAT, M . "DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?". International Review of Economics and Management 6 (2019): 59-83 RIS TY - JOUR T1 - DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET? AU - İlkay ÖZTÜRK , Muzaffer AKAT Y1 - 2019 PY - 2019 N1 - DO - T2 - International Review of Economics and Management JF - Journal JO - JOR SP - 59 EP - 83 VL - 6 IS - 2 SN - 2148-3493- M3 - UR - Y2 - 2018 ER - EndNote %0 International Review of Economics and Management DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET? %A İlkay ÖZTÜRK , Muzaffer AKAT %T DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET? %D 2019 %J International Review of Economics and Management %P 2148-3493- %V 6 %N 2 %R %U ISNAD ÖZTÜRK, İlkay , AKAT, Muzaffer . "DOES THE AUCTION CYCLE HAVE AN EFFECT ON THE MOMENTUM STRATEGIES IN TURKISH BOND MARKET?". International Review of Economics and Management 6 / 2 (January 2019): 59-83.