An examination of investor reaction to unexpected political and economic events in Turkey
AbstractWe investigate investor reaction to the arrival of unexpected information in Turkey from 1997 to 2004. Daily stock returns are used to test two behavioral hypotheses regarding investor reaction to news: The Overreaction Hypothesis (OH) and the Uncertain Information Hypothesis (UIH). We find no evidence of significant price reversals following the arrival of positive news in Turkey, as predicted by the OH. However, a corrective process of positive returns following favorable news exists, consistent with the UIH. These findings suggest that investors in Turkey systematically set security prices below their fundamental values in response to unexpected information, which is rational behavior in a country with a history of significant financial and economic uncertainties.
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Bibliographic InfoArticle provided by Elsevier in its journal Global Finance Journal.
Volume (Year): 18 (2008)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/inca/620162
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- Hakan Berument & Onur Ince, 2005.
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Departmental Working Papers
0508, Bilkent University, Department of Economics.
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