Momentum or market? Determinants of large stock price changes in an emerging market

Yilmaz Yildiz, Mehmet Baha Karan

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

The aim of this study is to investigate the determinants of large price changes in Turkey. We also provide additional evidence on determinants of large price changes in different macroeconomic environments, specifically on the pre-crisis and post-crisis periods. Using recurrent event analysis with stratified observations and frailty effects, our findings suggest that momentum has a significant impact on large price changes during both pre-crisis and post-crisis periods. However, the impact of market is more significant on the estimation of large price declines in the pre-crisis period and of large price increases in the post-crisis period. Additional findings suggest that liquidity and market-to-book ratio have positive, firm size has a negative impact on likelihood of large price changes regardless of the direction of the stock price change and macroeconomic environment. Findings of this study provide new insights into the understanding of large price changes in an emerging market.

LanguageEnglish
Pages731-742
Number of pages12
JournalApplied Economics
Volume51
Issue number7
Early online date29 Sep 2018
DOIs
Publication statusPublished - 7 Feb 2019
Externally publishedYes

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Stock prices
Emerging markets
Price changes
Momentum
Macroeconomics
Frailty
Firm size
Turkey
Liquidity
Book-to-market ratio

Cite this

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Momentum or market? Determinants of large stock price changes in an emerging market. / Yildiz, Yilmaz; Karan, Mehmet Baha.

In: Applied Economics, Vol. 51, No. 7, 07.02.2019, p. 731-742.

Research output: Contribution to journalArticle

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