Browsing by Subject "Capital market--Turkey--Istanbul."
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Item Open Access Common risk factors in the returns of stocks trading in the İstanbul Stock Exchange(Bilkent University, 2011) Akdağ, MuhammedThis study investigates the stocks trading in the Istanbul Stock Exchange for the years between 1997 and 2010 in an attempt to determine the common risk factors that capture the variation in stock returns. Time-series regressions are conducted to test the performance of the Fama & French (1993) three-factor model on a sample of 201 non-financial firms. Furthermore, an additional factor (FIP) is introduced and used to measure the effect of foreign investor participation on the common variation in stock returns in the Turkish market. Finally, considering the two financial crises in 2001 and 2008, different results in the sub-periods are examined; and structural break tests are performed using the dummy variable technique and Chow’s (1960) methodology. The results prove that three-factor model is superior to the Capital Asset Pricing Model (CAPM) although the effects of size and book-to-market factors are weak. The excess return on the market portfolio is found to be statistically significant for all model specifications and in each sub-period. The inclusion of the foreign investor participation factor improves the explanatory power of the Fama & French model only slightly; thus it has relatively less impact on the Turkish stock market despite its statistical significance. No structural break is determined for the crisis breakpoints for almost all of the portfolios; thus the model is proven to be robust.Item Open Access Do time-varying betas help in asset pricing? Evidence from the Borsa Istanbul Stock Exchange(Bilkent University, 2013) Yayvak, BerkThe purpose of this thesis is to investigate the time variation in betas of nonfinancial firms traded in the Borsa Istanbul Stock Exchange over the period from January, 1998 to December, 2011 by utilizing the threshold CAPM of Akdeniz, Altay-Salih & Caner (2003). The threshold CAPM defines beta as a function of an underlying economic variable, namely the threshold variable, to allow beta to change among two different regimes when the threshold variable hits a certain threshold level. For empirical analysis, monthly observations of interest rates, currency basket, real effective currency index, and market volatility are selected as candidates for the threshold variable. The empirical findings indicate significant time variation in betas during the sample period due to rate of changes in the currency basket level. The findings of this study also suggest that dynamics of time variation in betas differ across industry specifications, market capitalizations and book-to-market ratios. Furthermore, comparing the pricing performance of the model with the traditional CAPM via time-series regressions, the threshold CAPM performs better in pricing.Item Open Access Impacts of short selling restrictions on stocks traded at Borsa İstanbul(Bilkent University, 2014) Çakın, TuğbaThis study investigates impacts of short sale restrictions, particularly uptick rule which was repealed at 02.01.2014, on returns of stocks traded at Borsa Istanbul between January 2012 and March 2014. Firstly, time-series regressions are conducted to test the performance of the Fama - French (1993) three-factor model with four different portfolios, sorted according to their short sale volume ratio before and after repeal of uptick rule. The results show that in the after period portfolio consisting of heavily shorted stocks has the only significant and negative Jensen’s alpha. This indicates that after repeal of uptick rule heavily shorted stocks underperform probably because of reflection of the pessimists’ beliefs as short positions which drive asset prices down unnecessarily. Secondly, an additional short sale factor (SS), is calculated and regressed as an fourth explanatory variable in Fama-French model in an attempt to determine the common risk factors that capture the variation in stock returns before and after repeal of uptick rule. This study explores that while short sale factor (SS) substitutes size factor before repeal of uptick rule it doesn’t replace size factor after repeal of uptick rule and gains independent explanatory power from size.