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Overreaction Hypothesis and an Empirical Work on the Istanbul Stock Exchange

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  • Serafetin Sevim
  • Birol Yildiz
  • soner Akkoc

Abstract

In this study, the weak form efficiency of the ISE is tested with the operational strategy which the overreaction hypothesis projects. The period between January 1, 1988 and December 31, 2002 is examined. The total number of 4 periods consisted of 36 months, were examined. According to the results of the empirical study show that the Winner portfolio provides lower yield with a ratio of 50,57 %, which is below the market whereas the Loser portfolio produces higher yield with a ratio of 66,11 %, above the market. The findings gathered by under the operational strategy which overreaction hypothesis foresees have shown that the ISE is not a weak form of efficient market. The side effect is seen to become more evident in the fourth period including financial crisis that prevailed in Turkey between November 2000 and February 2001.

Suggested Citation

  • Serafetin Sevim & Birol Yildiz & soner Akkoc, 2007. "Overreaction Hypothesis and an Empirical Work on the Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 9(35), pages 21-36.
    • Handle: RePEc:bor:iserev:v:9:y:2007:i:35:p:21-36
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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_35.pdf
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    Cited by:

    1. Soner AKKOC & Nasif OZKAN, 2013. "An Empirical Investigation of the Uncertain Information Hypothesis: Evidence From Borsa Istanbul," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 7(2), pages 101-119.

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