Predictability of Extreme Returns in the Turkish Stock Market

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dc.contributor.authorAli, Syed Riaz Mahmood
dc.contributor.authorAhmed, Shaker
dc.contributor.authorHasan, Mohammad Nurul
dc.contributor.authorÖstermark, Ralf
dc.contributor.departmentfi=Ei tutkimusalustaa|en=No platform|-
dc.contributor.facultyfi=Laskentatoimen ja rahoituksen yksikkö|en=School of Accounting and Finance|-
dc.contributor.orcidhttps://orcid.org/0000-0002-2330-7836-
dc.contributor.organizationfi=Vaasan yliopisto|en=University of Vaasa|
dc.date.accessioned2021-02-10T08:40:08Z
dc.date.accessioned2025-06-25T12:51:39Z
dc.date.available2022-10-19T15:01:40Z
dc.date.issued2021-01-26
dc.description.abstractIn 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.-
dc.description.notification©2021 Taylor & Francis. This is an Accepted Manuscript of an article published by Taylor & Francis in Emerging Markets Finance and Trade on 26 Jan 2021, available online: http://www.tandfonline.com/10.1080/1540496X.2019.1591949-
dc.description.reviewstatusfi=vertaisarvioitu|en=peerReviewed|-
dc.embargo.lift2022-07-26
dc.embargo.terms2022-07-26
dc.format.bitstreamtrue
dc.format.contentfi=kokoteksti|en=fulltext|-
dc.format.extent13-
dc.format.pagerange482-494-
dc.identifier.olddbid13602
dc.identifier.oldhandle10024/12096
dc.identifier.urihttps://osuva.uwasa.fi/handle/11111/1047
dc.identifier.urnURN:NBN:fi-fe202102104387-
dc.language.isoeng-
dc.publisherTaylor & Francis-
dc.relation.doi10.1080/1540496X.2019.1591949-
dc.relation.ispartofjournalEmerging Markets Finance and Trade-
dc.relation.issn1558-0938-
dc.relation.issn1540-496X-
dc.relation.issue2-
dc.relation.urlhttps://doi.org/10.1080/1540496X.2019.1591949-
dc.relation.volume57-
dc.source.identifierWOS: 000466632300001-
dc.source.identifierScopus: 85064531308-
dc.source.identifierhttps://osuva.uwasa.fi/handle/10024/12096
dc.subjectextreme return-
dc.subjectmax effect-
dc.subjectTurkey-
dc.subject.disciplinefi=Laskentatoimi ja rahoitus|en=Accounting and Finance|-
dc.titlePredictability of Extreme Returns in the Turkish Stock Market-
dc.type.okmfi=A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä|en=A1 Peer-reviewed original journal article|sv=A1 Originalartikel i en vetenskaplig tidskrift|-
dc.type.publicationarticle-
dc.type.versionacceptedVersion-

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