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)

60 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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