Harnessing the Power of Past Triumphs: Unleashing the MAX Effect’s Potential in Emerging Market Returns

Ştefan Cristian Gherghina (), Durmuş Yıldırım and Mesut Dogan
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Ştefan Cristian Gherghina: Department of Finance, Bucharest University of Economic Studies, 6 Piata Romana, 010374 Bucharest, Romania
Durmuş Yıldırım: Department of Business Administration, Ondokuz Mayıs University, Samsun 55270, Türkiye
Mesut Dogan: Department of Finance, Banking and Insurance, Bilecik Seyh Edebali University, Bilecik 11300, Türkiye

IJFS, 2025, vol. 13, issue 3, 1-23

Abstract: This study investigates the presence of the MAX effect, as defined by Bali et al. (2011), in the stock market of Borsa Istanbul, aiming to validate and extend previous findings in international markets. A comprehensive analysis of 439 firms from December 2013 to November 2023 reveals that stocks with low performance in previous periods tend to show strong performance in subsequent periods. This finding indicates that the MAX effect is also applicable to Borsa Istanbul and suggests that this effect can significantly influence stock price movements in the market. Additionally, this study highlights that past maximum returns, especially those accumulated over long periods, have a distinct impact on future returns. These findings contribute to a deeper understanding of the MAX effect’s presence in and impact on financial markets and offer valuable guidance for market participants.

Keywords: maximum daily return; MAX effect; portfolio management; Borsa Istanbul (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2025
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