Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1)

Predictability of Extreme Returns in the Turkish Stock Market




Julkaisun tekijät: Syed Riaz Mahmood Ali, Shaker Ahmed, Mohammad Nurul Hasan, Ralf Östermark

Julkaisuvuosi: 2019

Journal: Emerging Markets Finance and Trade

Verkko-osoite: https://doi.org/10.1080/1540496X.2019.1591949


Tiivistelmä

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.


Ladattava julkaisu

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This reprint may differ from the original in pagination and typographic detail. Please cite the original version.




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