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

Tutkimustuotos: Lehtiartikkeli › Artikkeli › Tieteellinen › vertaisarvioitu

5 Sitaatiot (Scopus)

1 Lataukset (Pure)

Abstrakti

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.

Alkuperäiskieli	Ei tiedossa
Sivut	–
Sivumäärä	13
Julkaisu	Emerging Markets Finance and Trade
DOI - pysyväislinkit	https://doi.org/10.1080/1540496X.2019.1591949
Tila	Julkaistu - 2019
OKM-julkaisutyyppi	A1 Julkaistu artikkeli, soviteltu

Keywords

Extreme return
max effect
Turkey

Pääsy asiakirjaan

10.1080/1540496X.2019.1591949

Manuscript for EMTF_revised_Final.pdfHyväksytty kirjoittajan käsikirjoitus, 496 KBLisenssi: Publisher rights policy

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

Viittausmuodot

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