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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

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Author(s): Yaman Ömer ERZURUMLU

Journal: Dogus University Journal
ISSN 1302-6739

Volume: 12;
Issue: 2;
Start page: 213;
Date: 2011;
Original page

Keywords: İstanbul Menkul Kıymetler Borsası | Pazar Etkinliği | Aşırı Tepki | Belirsizlik Hipotezi | Belirsizlik | Anormal Getiri | Istanbul Stock Exchange | Market Efficiency | Overreaction | Uncertain Information Hypothesis | Uncertainty | Abnormal Returns

ABSTRACT
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 capitalization.

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