Predictability of Extreme Returns in the Turkish Stock Market

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

    Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

    5 Citeringar (Scopus)
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    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.
    Sidor (från-till)
    Antal sidor13
    TidskriftEmerging Markets Finance and Trade
    StatusPublicerad - 2019
    MoE-publikationstypA1 Tidskriftsartikel-refererad


    • Extreme return
    • max effect
    • Turkey

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