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Does MAX Anomaly Exist in Emerging Market: Evidence from the Turkish Stock Market?

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  • Ozkan Haykir

    (Faculty of Economics and Administrative Science, Nigde Omer Halisdemir University, Turkey)

Abstract

In this paper, I investigate a recent asset pricing anomaly proposed by Bali et al. (2011) in the Turkish stock markets during the period between January 2011 and December 2017 using univariate and bivariate sorting methodologies. Bali et al. (2011) suggest that there is a negative link between maximum daily return and future expected a return. If an investor constructs a hedge portfolio buying stocks which are in the highest maximum daily return portfolio and shorting stocks which are in the lowest maximum daily return portfolio, they get the negative payoff at the end of the next month. Results of this study suggest that the MAX anomaly does not exist in Turkish stock markets.

Suggested Citation

  • Ozkan Haykir, 2018. "Does MAX Anomaly Exist in Emerging Market: Evidence from the Turkish Stock Market?," International Journal of Economics and Financial Issues, Econjournals, vol. 8(2), pages 148-153.
    • Handle: RePEc:eco:journ1:2018-02-19
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    MAX effect; Extreme return; Turkish stock market.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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