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)
    1 Downloads (Pure)


    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
    Publication statusPublished - 2019
    MoE publication typeA1 Journal article-refereed


    • Extreme return
    • max effect
    • Turkey

    Cite this