Patience Extracts Sugar from a Lemon: Buy and Hold with a Classifier System in the Istanbul Stock Exchange

Hakan Aksoy and Ismail Saglam

Emerging Markets Finance and Trade, 2006, vol. 42, issue 1, 50-61

Abstract: Recent studies in behavioral finance establish that active traders may underperform those who trade less. Such a result is partly due to the persistently high annual net returns earned by well-diversified portfolios in stock markets. This paper shows that the buy-and-hold strategy as a nonactive trading rule may yield huge net returns under the prescriptions of a classifier system, even in an extremely volatile and horizontal market, namely, the Istanbul Stock Exchange.

Keywords: behavioral finance; classifier system; stock market (search for similar items in EconPapers)
Date: 2006
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