Predictability of Extreme Returns in the Turkish Stock Market

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

Research output: Contribution to journalArticleScientificpeer-review

2 Citations (Scopus)

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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