Menkul Kıymet Borsalarında Büyük Fiyat Değişimleri :Borsa İstanbul Üzerine Bir Uygulama

Abstract

The financial literature suggests that it is not possible to obtain abnormal returns in the stock market, and that the market is self-correcting after large price changes in the market. However, from the 1980s, behavioural finance approaches which are rapidly attracted attention have been put forward. According to these approaches, it can be predicted, in certain cases, where market will move. The aim of this study is to examine the response of stocks traded in the BIST to large price changes. In this context, daily data of stocks traded between January 1, 2000 and December 31, 2015 were used and tested by event study method. As a result of the research using the market return model, it is determined that there is an overreaction after positive large price changes and that price continuation exists as a result of negative price changes. In addition, there were anticipatory trade or information breaches before both large and small price changes. In other words, it has been determined that it is possible to obtain an abnormal return in BIST after large price changes.