أثر الزخم على سلوك عوائد المحافظ المالية و تقلباتها الشرطية في بورصة باريس

الملخص EN

This study aimed to test the effect of momentum on the behavior of portfolio returns according to the methodology of Franch Fama and its conditional fluctuations according to GARCH models on the Paris Stock Exchange during the period from January 1992 to August 2018.

The results have demonstrated a negative impact of the momentum factor on the conditional discrepancy of the returns of the Paris stock portfolios The results also demonstrated the existence of the GARCH effect, which means that the effect of momentum leads to fluctuations in portfolio returns, and a leverage effect has been established, which means that negative shocks generate greater fluctuations compared to positive shocks