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

Forskningsoutput: Tidskriftsbidrag › Artikel › Vetenskaplig › Peer review

5 Citeringar (Scopus)

1 Nedladdningar (Pure)

Sammanfattning

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.

Originalspråk	Odefinierat/okänt
Sidor (från-till)	–
Antal sidor	13
Tidskrift	Emerging Markets Finance and Trade
DOI	https://doi.org/10.1080/1540496X.2019.1591949
Status	Publicerad - 2019
MoE-publikationstyp	A1 Tidskriftsartikel-refererad

Nyckelord

Extreme return
max effect
Turkey

Åtkomst av dokument

10.1080/1540496X.2019.1591949

Manuscript for EMTF_revised_Final.pdfAccepterat manuskript från författare, 496 KBLicens: Publisher rights policy

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

Citera det här

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