Browsing by Subject "Istanbul Stock Exchange"
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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 The effects of political and economic news on the intradaily performance of the Istanbul Stock Exchange(Bilkent University, 2004) İlkuçan, AyçaThis study aims to analyze the immediate effects of political and economic news on the intradaily performance of the ISE100 stock index. For the period between August 1, 2002 and March 31, 2003, both domestic and foreign news are collected from the Reuters Turkish language news service and divided into four main categories and 44 sub-categories. First using an event study methodology, parametric and nonparametric tests are employed to compare the ISE100 index returns in the 5-minute frequency during the event window of the news to a control sample, which contains returns of intervals with no news. Second, six GARCH (1,1) models are estimated using returns in the 15-minute frequency, with dummy variables representing seasonal factors and news categories. Overall, political news are found to increase significantly both mean and variability of returns. Among the individual subcategories, the findings indicate that news about the Iraq Crisis/War, November 2002 elections and Cyprus peace negotiations influence intradaily index returns significantly. Although no significant impact of domestic economic news is found on mean and variability of returns using the broad classification of news, specifically, news about employment, forced savings, production, budget, taxes and CBRT auctions and economic news from other countries are found to affect the returns.Item Open Access Financial crisis and changes in determinants of risk and return: an empirical investigation of an emerging market (ISE)(Multinational Finance Society, 1999) Muradoglu, G.; Berument, Hakan; Metin, K.This paper examines how determinants of volatility and stock returns change with financial crisis. The contributions of the paper are twofold. First, using a GARCH-M framework, risk and return are jointly modeled by using macroeconomic variables both in the variance and the mean equations. The conditional variance equation is specified by including macro-economic variables, a relevant information set for emerging economies, that is often overlooked in various GARCH specifications. Second, determinants of risk and return are investigated before during and after a major financial crisis at ISE. We show that, both the determinants of risk and the risk-return relationship change as the economy switches from one regime to the other.Item Open Access Impact of exchange rate fluctuations and political risk on the risk premiums reflected in the cross-sections of individual eqity returns(Bilkent University, 1996) Yılmaz, ÖzerThe impact of exchange rate fluctuations and political risk on the risk premiums of individual equity returns trading in Istanbul Stock Exchange will be analyzed empirically. Turkey as an emerging market faced considerable monetary and political turbulence in the past decade. Variables from the currency and sovereign debt markets will be the proxies for exchange rate risk and political risks, respectively. Evidence of the risk premiums as a result of the exposure to the equity markets show valuable inferences although statistically significant conclusions are not the majority. These results have many implications for the corporate and portfolio management. This study also provides tools and data that can be utilized by the emerging market researchers.Item Open Access Long-run and short-run links among the Turkish stock market and developed markets(Bilkent University, 2002) Demirtaş, İsmailOne of the striking facts about the international economy is the high degree of integration, or linkage, among financial, or capital markets. Careful examination of international stock market movements in recent years suggests that there exists a substantial degree of interdependence among national stock markets. This thesis tests the interdependence among the Turkish stock market and four major stock markets (US, UK, Germany, France) using daily closing index data for the period between January 1997 and June 2002. Results of the tests showed that the French and German stock markets have significant impacts on the Turkish stock market. The European and US stock markets influence each other in the long-run and short-run. US is the most influential market among the four developed markets. Developed markets almost move together. Therefore, International portfolio diversification among these national markets will not greatly reduce the portfolio risk.Item Open Access Price resolution in an emerging market: evidence from the Istanbul Stock Exchange(Routledge, 2006) Booth, G. G.; Yüksel, A.This study examines price resolution an emerging market that uses a very large relative tick size. Intraday transaction data from the Istanbul Stock Exchange are used to provide evidence concerning clustering when prices change and when they do not change. The results show that in this one-tick market there exists little if any clustering. The clustering that does exist primarily arises from sequential transactions at the same price. The observed positive relation between clustering associated with price changes and uncertainty occurs in periods of high uncertainty during which multiple-tick spreads and price changes are observed.