IDEAS home Printed from https://ideas.repec.org/h/izm/prcdng/200809.html
   My bibliography  Save this book chapter

Short Term Overreaction Effect: Evidence on the Turkish Stock Market

In: Proceedings of the Conference on Emerging Economic Issues in a Globalizing World

Author

Listed:
  • Gülin Vardar

    (Izmir University of Economics)

  • Berna Okan

    (Izmir University of Economics)

Abstract

In 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.

Suggested Citation

  • Gülin Vardar & Berna Okan, 2008. "Short Term Overreaction Effect: Evidence on the Turkish Stock Market," Papers of the Annual IUE-SUNY Cortland Conference in Economics,in: Proceedings of the Conference on Emerging Economic Issues in a Globalizing World, pages 155-165 Izmir University of Economics.
  • Handle: RePEc:izm:prcdng:200809
    as

    Download full text from publisher

    File URL: http://eco.ieu.edu.tr/wp-content/proceedings/2008/0809.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Richards, Anthony J, 1997. " Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained?," Journal of Finance, American Finance Association, vol. 52(5), pages 2129-2144, December.
    2. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    3. 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.
    4. 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.
    5. Kryzanowski, Lawrence & Zhang, Hao, 1992. "The Contrarian Investment Strategy Does Not Work in Canadian Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 383-395, September.
    6. Bowman, Robert G. & Iverson, David, 1998. "Short-run overreaction in the New Zealand stock market," Pacific-Basin Finance Journal, Elsevier, vol. 6(5), pages 475-491, November.
    7. Akhigbe, Aigbe & Gosnell, Thomas & Harikumar, T, 1998. "Winners and Losers on NYSE: A Re-examination Using Daily Closing Bid-Ask Spreads," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(1), pages 53-64, Spring.
    8. Alonso, Aurora & Rubio, Gonzalo, 1990. "Overreaction in the Spanish equity market," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 469-481, August.
    Full references (including those not matched with items on IDEAS)

    Corrections

    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:izm:prcdng:200809. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ayla Ogus Binatli). General contact details of provider: http://edirc.repec.org/data/deieutr.html .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.