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Short Term Overreaction Effect: Evidence on the Turkish Stock Market

Gülin Vardar and Berna Okan
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Gülin Vardar: Izmir University of Economics
Berna Okan: Izmir University of Economics

A chapter in Proceedings of the International Conference on Emerging Economic Issues in a Globalizing World, 2008, pp 155-165 from 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.

Keywords: short term overreaction effect; Istanbul Stock Exchange (search for similar items in EconPapers)
Date: 2008
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