Short Term Overreaction Effect: Evidence on the Turkish Stock Market
In: Proceedings of the Conference on Emerging Economic Issues in a Globalizing World
AbstractIn this paper, we empirically examine the short term overreaction effect in the Istanbul Stock Exchange using daily stock data from January 1999 to December 2003. The study period covers the pre- and post- Turkish financial crisis period. Consistent with other prior studies on other markets, we find evidence of short term overreaction effect in the Istanbul Stock Exchange prior and post financial crisis. Our analysis highlights that stocks that display a large price increase (winners) show an evidence of overreaction in the short run, however, stocks that display a large price decline (losers) indicate no significant evidence. We also find the price reversal for winners in pre-crisis period is more pronounced than in post-crisis period. These results indicate a diminished degree of overreaction after the crisis period which may be attributable to the behaviors of traders.
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This item is provided by Izmir University of Economics in its series Papers of the Annual IUE-SUNY Cortland Conference in Economics with number 200809.
short term overreaction effect; Istanbul Stock Exchange;
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- Anthony J. Richards, 1997.
"Winner-Loser Reversals in National Stock Market Indices - Can They be Explained?,"
IMF Working Papers
97/182, International Monetary Fund.
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- Antonios Antoniou & Emilios C. Galariotis & Spyros I. Spyrou, 2005. "Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange," European Financial Management, European Financial Management Association, vol. 11(1), pages 71-98.
- Atkins, Allen B. & Dyl, Edward A., 1990. "Price Reversals, Bid-Ask Spreads, and Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(04), pages 535-547, December.
- Alonso, Aurora & Rubio, Gonzalo, 1990. "Overreaction in the Spanish equity market," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 469-481, August.
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