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Predictability of Extreme Returns in the Turkish Stock Market

Author

Listed:
  • Syed Riaz Mahmood Ali
  • Shaker Ahmed
  • Mohammad Nurul Hasan
  • Ralf Östermark

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.

Suggested Citation

  • Syed Riaz Mahmood Ali & Shaker Ahmed & Mohammad Nurul Hasan & Ralf Östermark, 2021. "Predictability of Extreme Returns in the Turkish Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(2), pages 482-494, January.
  • Handle: RePEc:mes:emfitr:v:57:y:2021:i:2:p:482-494
    DOI: 10.1080/1540496X.2019.1591949
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    Cited by:

    1. Kamal, Md Rajib & Ahmed, Shaker & Hasan, Mostafa Monzur, 2023. "The impact of the Russia-Ukraine crisis on the stock market: Evidence from Australia," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).

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