Economics at your fingertips  

Using Various Portfolio Formation and Test Periods: An Examination of Overreaction in ISE

Hatice Dogukanli, Gamze Vural and Bahadir Ergun

Istanbul Stock Exchange Review, 2012, vol. 13, issue 49, 1-18

Abstract: In this paper whether the Overreaction Hypothesis was valid and the contrarian investment strategies were useful to earn supernormal returns with different time horizons, were examined in Istanbul Stock Exchange (ISE). These forenamed time horizons were 1, 2, 3, 6, 12, 24 and 36-month periods. The examination was performed through a modified version of the method of DeBondt and Thaler (1985) with overlapping periods. In conclusion of the analysis, results supporting Overreaction Hypothesis and effectiveness of the contrarian strategies were found in most of the portfolio formation and test periods. This may indicate that ISE is not weak form efficient.

Keywords: Efficient Markets Hypothesis; Behavioral Finance; Overreaction Hypothesis; ISE. (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Istanbul Stock Exchange Review from Research and Business Development Department, Borsa Istanbul Contact information at EDIRC.
Bibliographic data for series maintained by Ahmet Palu ().

Page updated 2019-09-19
Handle: RePEc:bor:iserev:v:13:y:2012:i:49:p:1-18