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Momentum or market? Determinants of large stock price changes in an emerging market

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  • Yilmaz Yildiz
  • Mehmet Baha Karan

Abstract

The aim of this study is to investigate the determinants of large price changes in Turkey. We also provide additional evidence on determinants of large price changes in different macroeconomic environments, specifically on the pre-crisis and post-crisis periods. Using recurrent event analysis with stratified observations and frailty effects, our findings suggest that momentum has a significant impact on large price changes during both pre-crisis and post-crisis periods. However, the impact of market is more significant on the estimation of large price declines in the pre-crisis period and of large price increases in the post-crisis period. Additional findings suggest that liquidity and market-to-book ratio have positive, firm size has a negative impact on likelihood of large price changes regardless of the direction of the stock price change and macroeconomic environment. Findings of this study provide new insights into the understanding of large price changes in an emerging market.

Suggested Citation

  • Yilmaz Yildiz & Mehmet Baha Karan, 2019. "Momentum or market? Determinants of large stock price changes in an emerging market," Applied Economics, Taylor & Francis Journals, vol. 51(7), pages 731-742, February.
    • Handle: RePEc:taf:applec:v:51:y:2019:i:7:p:731-742
    DOI: 10.1080/00036846.2018.1524128
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    Cited by:

    1. Alex Plastun & Xolani Sibande & Rangan Gupta & Qiang Ji, 2022. "Price Effects After One-Day Abnormal Returns and Crises in the Stock Markets," Working Papers 202222, University of Pretoria, Department of Economics.
    2. Yilmaz Yildiz & Mehmet Baha Karan, 2020. "Environmental policies, national culture, and stock price crash risk: Evidence from renewable energy firms," Business Strategy and the Environment, Wiley Blackwell, vol. 29(6), pages 2374-2391, September.

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