IDEAS home Printed from
   My bibliography  Save this article

Predictability of Extreme Returns in the Turkish Stock Market


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


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

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    File URL:
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item

    As the access to this document is restricted, you may want to search for a different version of it.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    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).

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:57:y:2021:i:2:p:482-494. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.