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

6 Sitaatiot (Scopus)

107 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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