Abnormal Returns after Large Increases in Stock Prices. A Comparison between Turkish Sport Index and Turkish Banks
Journal: Business, Management and Economics Research (Vol.2, No. 11)Publication Date: 2016-11-15
Authors : Alp Polat; Yucel Turker; Huseyin Kose;
Page : 180-185
Keywords : Price shocks; Under-reaction; Turkish banks; Large stock changes; Borsa Istanbul sport index.;
Abstract
Large price changes can generate abnormal returns owing to under-reaction and over-reaction behavior of individuals. This behaviors result in price continuation or price reversal in short term. The effects of large price changes can be observed in Post-shock period with abnormal returns. The aim of the study is to explore the abnormal returns after positive large price changes in Turkish stock market. Turkish sport index is investigated due to its relative negligence in literature. Turkish banking sector is also analyzed in order to compare results. The large price shocks indicates price changes which exceed two standard deviation which is calculated from windows prior the event. The abnormal returns are calculated by means which are the averages of returns of windows days prior the market shocks. The findings of the study show that the sport index support under-reaction theory and provide price continuation with average 2.5% positive cumulative abnormal returns in post event period. However, banking sector stocks support efficient market behavior and only two of seven banks can generate positive returns at the end of post event period with average 0,6 % and 0.1% which are highly small when compare to the post-event abnormal returns of the Borsa Istanbul sport index.
Other Latest Articles
- Earnings Management and Accounting Information Value: Impact and Relevance
- Impacts of Conflict Style Management of Selected Managers on Small-Size Businesses in United Arab Emirates
- The Impact of Bank-Specific Determinants on Commercial Banks? Liquidity in Namibia
- Investigating the Effect of Brand Personality on Customer Satisfaction: Evidence from Iran
- Recreation Specialization, Personal Input and Service Level
Last modified: 2018-11-06 14:18:08