Predictability of Extreme Returns in the Turkish Stock Market

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

doi:10.1080/1540496X.2019.1591949

Predictability of Extreme Returns in the Turkish Stock Market

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

Research output: Contribution to journal › Article › Scientific › peer-review

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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 language	Undefined/Unknown
Pages (from-to)	–
Number of pages	13
Journal	Emerging Markets Finance and Trade
DOIs	https://doi.org/10.1080/1540496X.2019.1591949
Publication status	Published - 2019
MoE publication type	A1 Journal article-refereed

Keywords

Extreme return
max effect
Turkey

Access to Document

10.1080/1540496X.2019.1591949

Manuscript for EMTF_revised_Final.pdfAccepted author manuscript, 496 KBLicence: Publisher rights policy

http://urn.fi/URN:NBN:fi-fe2020100882565

Cite this

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