Predictability of Extreme Returns in the Turkish Stock Market

Syed Ali, Shaker Ahmed, Mohammad Nurul Hasan, Ralf Östermark

    Research output: Contribution to journalArticleScientificpeer-review

    5 Citations (Scopus)
    26 Downloads (Pure)

    Abstract

    In this paper, we show that extreme returns can predict future returns in the Turkish stock market. We find that extreme return (high MAX) generating stocks show a lower performance in the next month in this market. More explicitly, there is a strong negative relationship between the firm's maximum (MAX) daily returns over the previous month and its succeeding stock returns. Our results are robust in both firm-level cross-sectional, and portfolio-level analysis.
    Original languageUndefined/Unknown
    Pages (from-to)
    Number of pages13
    JournalEmerging Markets Finance and Trade
    DOIs
    Publication statusPublished - 2019
    MoE publication typeA1 Journal article-refereed

    Keywords

    • Extreme return
    • max effect
    • Turkey

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