Predictability of Extreme Returns in the Turkish Stock Market
Ralf Östermark; Mohammad Nurul Hasan; Syed Riaz Mahmood Ali; Shaker Ahmed
Predictability of Extreme Returns in the Turkish Stock Market
Ralf Östermark
Mohammad Nurul Hasan
Syed Riaz Mahmood Ali
Shaker Ahmed
Julkaisun pysyvä osoite on:
https://urn.fi/URN:NBN:fi-fe2021042822932
https://urn.fi/URN:NBN:fi-fe2021042822932
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.
Kokoelmat
- Rinnakkaistallenteet [19207]