Dividend-Yield Based Trading Rules: The Turkish Evidence

Abstract

Recent research documents the superiority of dividend-yield based trading rules over a buy-and-hold strategy in the U.S. and Finland. We extend the international evidence on the superiority of dividend-yield based trading rules by examining whether the trading rules outperform a buy-and-hold strategy in Turkey. Specifically, we examine the returns of the ISE 30 index and trading rule portfolios that are components of the Istanbul Stock Exchange. Using a multiplicity of parametric and non-parametric tests, empirical results reveal that dynamic trading strategies do not outperform a passive strategy in Turkey.

Keywords: Dividend-yield based trading, Istanbul Stock Exchange

JEL Classification: G11, G14, G35