An examination of investor reaction to unexpected political and economic events in Turkey

Autor:	Tevfik F. Nas, Mark J. Perry, Seyed Mehdian
Rok vydání:	2008
Předmět:	Economics and Econometrics Politics Financial economics Market efficiency Economics Behavioral economics Rational behavior Finance Stock (geology)
Zdroj:	Global Finance Journal. 18:337-350
ISSN:	1044-0283
DOI:	10.1016/j.gfj.2007.06.002
Popis:	We investigate investor reaction to the arrival of unexpected information in Turkey from 1997 to 2004. Daily stock returns are used to test two behavioral hypotheses regarding investor reaction to news: The Overreaction Hypothesis (OH) and the Uncertain Information Hypothesis (UIH). We find no evidence of significant price reversals following the arrival of positive news in Turkey, as predicted by the OH. However, a corrective process of positive returns following favorable news exists, consistent with the UIH. These findings suggest that investors in Turkey systematically set security prices below their fundamental values in response to unexpected information, which is rational behavior in a country with a history of significant financial and economic uncertainties.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::5d425eae3c580493c06eb2500ecc700c https://doi.org/10.1016/j.gfj.2007.06.002 Zobrazit plný text záznamu Full Text from ScienceDirect