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


Abstract

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.


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Last updated on 2021-24-06 at 12:16