Financial liberalization, foreign equity investment and volatility in emerging stock exchanges

Simple item page
buir.advisorAkdeniz, Levent
dc.contributor.authorUmutlu, Mehmet
dc.date.accessioned2016-01-08T18:17:34Z
dc.date.available2016-01-08T18:17:34Z
dc.date.issued2008
dc.departmentDepartment of Managementen_US
dc.descriptionAnkara : The Department of Management and the Institute of Economics and Social Sciences of Bilkent University, 2008.en_US
dc.descriptionThesis (Ph.D.) -- Bilkent University, 2008.en_US
dc.descriptionIncludes bibliographical references leaves 91-96.en_US
dc.description.abstractIn this thesis, the effects of financial liberalization and foreign equity investment on the return volatility of stocks in emerging stock exchanges are investigated. At the aggregate level analyses, it is shown that the degree of financial liberalization has an increasing impact on the aggregated total volatility of stocks. The analysis of the components of the aggregated total volatility indicates that that the degree of financial liberalization impacts the aggregated total volatility through aggregated idiosyncratic and local volatility. In the second part of the aggregate level analyses, the effect of foreign equity investment on the return volatility of stocks is investigated by using foreign equity flow data which is available for İstanbul Stock Exchange. It is found that foreign equity inflow and outflow have asymmetric effects on average stock-return volatility. While an inflow has a decreasing impact on aggregated stock return volatility, an outflow has an increasing impact. At the firm level analysis, the time-series variation in return volatility of stocks that are crosslisted on US exchanges is examined. Unlike previous studies in cross-listing literature, return volatility is analyzed using conditional heteroscedasticity models. It’s found that firms’ exposure to risks such as local and global market betas remain unchanged after cross-listing. Moreover, no change in the dynamics of the volatility of cross-listed stocks is detected. Furthermore, it’s shown that the mean level of conditional variance is not affected by the decision to cross-list. Thus, it is concluded that share holders of cross-listed stocks are not subject to adverse volatility effects.en_US
dc.description.degreePh.D.en_US
dc.description.statementofresponsibilityUmutlu, Mehmeten_US
dc.format.extentxiii, 103 leaves, tablesen_US
dc.identifier.urihttp://hdl.handle.net/11693/15368
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectfinancial liberalizationen_US
dc.subjectforeign equity investmenten_US
dc.subjectstock-return volatilityen_US
dc.subjectADR listingen_US
dc.subjectemerging stock exchangesen_US
dc.subject.lccHG5706.5.A3 U58 2008en_US
dc.subject.lcshStock exchanges--Turkey.en_US
dc.subject.lcshInvestments, Foreign--Turkey.en_US
dc.subject.lcshFinance--Turkey.en_US
dc.subject.lcshEconomic stabilization--Turkey.en_US
dc.titleFinancial liberalization, foreign equity investment and volatility in emerging stock exchangesen_US
dc.typeThesisen_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
0006113.pdf
Size:
687.28 KB
Format:
Adobe Portable Document Format
Download
Collections
Dept. of Management - Ph.D. / Sc.D.