Refereed journal article or data article (A1)
Predictability of Extreme Returns in the Turkish Stock Market
List of Authors: Syed Riaz Mahmood Ali, Shaker Ahmed, Mohammad Nurul Hasan, Ralf Östermark
Publication year: 2019
Journal: Emerging Markets Finance and Trade
URL: https://doi.org/10.1080/1540496X.2019.1591949
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.
Downloadable publication This is an electronic reprint of the original article. |  |
