Investor Reaction to Market Surprises on the Istanbul Stock Exchange Investor Reaction to Market Surprises on the Istanbul Stock Exchange = İstanbul Menkul Kıymetler Borsasında Piyasa Sürprizlerine Yatırımcı Tepkisi
作者: Yaman Ömer ERZURUMLU
刊名: Doğuş Üniversitesi Dergisi, 2011, Vol.12 (2), pp.213-225
来源数据库: Directory of Open Access Journals
关键词: İstanbul Menkul Kıymetler BorsasıPazar EtkinliğiAşırı TepkiBelirsizlik HipoteziBelirsizlikAnormal GetiriIstanbul Stock ExchangeMarket EfficiencyOverreactionUncertain Information HypothesisUncertaintyAbnormal Returns
原始语种摘要: This paper examines the reaction of investors to the arrival of unexpected information on the Istanbul Stock Exchange. The empirical results suggest that the investor reaction following unexpected news on the ISE100 is consistent with Overreaction Hypothesis especially after unfavorable market surprises. Interestingly such pattern does not exist for ISE30 index which includes more liquid and informationally efficient securities. A possible implication of this study for investors is that employing a semi contrarian investment strategy of buying losers in ISE100 may generate superior returns. Moreover, results are supportive of the last regulation change of Capital Market Board of Turkey which mandates more disclosure regarding the trading of less liquid stocks with lower market...
全文获取路径: DOAJ  (合作)

  • unexpected 突然的
  • securities 担保品
  • market 市场
  • trading 贸易
  • returns 返回粉末
  • stocks 足枷
  • capitalization 以大写字母开头
  • buying 收买
  • investor 客商
  • disclosure 暴露