Browsing by Subject "Stock exchanges--Turkey."

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Open Access
Calendar anomalies at Istanbul Stock Exchange
(1993) Oktay, F. Türkay
A securities market in which market prices fully reflect all relevant information is called efficient. The Weak Form Efficient Market Hypothesis claims that there should not be any consistent patterns in security returns. In this study, the existence of return patterns which is a indicator of weak form inefficiency of the market, are analyzed in Istanbul Stock Exchange. The period covered is in between January 4, 1988 and December 31, 1992 and studies are done through dividing the sample period into two parts. The results of the analysis indicate that Istanbul Stock Exchange Market tends to be inefficient as time goes. Significant Day of the Week and Weekend Effect are found in the 1990-1992 period. January Effect also exists in the market for the entire sample period. The reasons of effects do not fully explain the return patterns to exist which is also the same case in different security markets.
Open Access
Common stock returns and inflation : an investigation of İstanbul Securities Exchange
(1990) Caglı, R. T. Kartal
This study investigates the existence of a relaticriship cet^^ıc-eгı returris or. conmon stccks and expected inflation i' lurke.. Ihie relationship: is tested within the fram£?v^ork of Fishe- Effect wising a single ei.i£^tion rezression mcDdel. The regressior» pa.raniete'~E are tested tc see whether an increase in expectez inflatizn is accoTip£vnjer by an ec-ic.l increase in nominal returrs. leavi-i the real rate cznstarit. T^x? test results sho-j that, when actual inflation rates are used to proxy expected inflaticr. hypothesis of existence c* Fisher Effect on stock returns is rejected; arc that it fails to be rejected whien Box Jenkins red^esentatizr. of inflatioTi IS used as the proxy. The dichotoory is Sviderice c' t^ie fact that ihz test results for Fisher Effect c"e n)ctr-cco3ogy dependent, and thiat inferences on Fisher's Theor~y snould t>z made with cauticr..
Open Access
The distributional properties and weak efficiency in Istanbul Stock Exchange: a sectoral analysis
(2001) Özer, Hatice
The purpose of this study is to present some empirics of the Turkish stock market which is a fast growing emerging market. Statistical properties of daily, weekly and monthly returns on sector price indexes on the Istanbul Securities Exchange (ISE) are employed to investigate the distributional properties and efficiency of returns. Empirical evidence indicates that returns of Turkish stocks are found to be heavily leptokurtic and non-normal in all frequencies. Also daily and weekly stock returns exhibit a strong ARCH (Auto Regressive Conditional Heteroscedaticity) effect. The BDS test fails to reject the null hypothesis that ISE stocks are independently and identically distributed in all frequencies. Finally the weak form efficiency is rejected for stock price index changes at all frequencies using both autocorrelation and randomness tests.
Open Access
Effect of annual and quarterly financial statement announcements on trading volume and return variability in ISE
(1996) Çakmak, S. Serdar
Announcements of financial statement informations provide valuable signals for investors. There are evidences documenting the changes in trading volume and stock returns at the time of annual and interim financial statement announcements in comparison to those in non-announcement periods. The purpose of this study is to analyse the effect of the quarterly and annual financial statement announeements on trading volume and security return variability in the Turkish stock market. The testing period covers the suceessive three interim announeement periods and the annual statements of the years 1991 through 1994.
Open Access
Evaluation of linkages between equity indices : evidence from İstanbul Stock Exchange and Dow Jones
(2009) Ertan, Aytekin
This study investigates the linkage between the major stock market indices of Turkey (ISE National 100) and USA (Dow Jones Industrial Average). Main purpose of this research is to measure the interdependence and cointegration between these indices and figure out the significance and the direction of short run relationship, if there exists any. Cointegration analyses based on Johansen Method demonstrated that there is not any cointegrating vector between these indices, refuting an integrated long term relationship. On the other hand -in this case of no cointegration- Granger Causality studies on the first differenced VAR model pointed out a significant unidirectional effect of Dow Jones to Istanbul Stock Exchange in the short run; which would enable feasible forecasts of ISE via index data from the US. These findings could be valuable to investors holding long and short term investment portfolios in ISE and/or in Dow Jones.
Open Access
Financial liberalization, foreign equity investment and volatility in emerging stock exchanges
(2008) Umutlu, Mehmet
In 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.
Open Access
Forecasting stock prices by using alternative time series models: The case of Istanbul Securities Exchange
(1996) Başçı, A. Özlem
This study compares the forecast performance of alternative time series models at the Istanbul Securities Exchange (ISE). Considering the emerging market characteristics of ISE, stock prices are estimated by using money supply, inflation rate, interest rate, exchange rate, and government deficits. First the time series properties of the data set are examined and cointegration is tested. Next, univariate ARIMA models, VAR’s in levels and differences, and error correction models are specified and estimated using monthly data from 1986(1) through 1995(12). According to out- of-sample forecasting exercise it is found that the models assuming the existance of seasonality performes poor, the more parsimonious univariate ARIMA model have better performance than multivariate models.
Open Access
GARCH models and an application to stock return volatility with the effect of daily trading volume in Istanbul Securities Exchange
(1995) Ünal, ATolga
In this study, the effect of daily trading volume on stock return volatility is analyzed using the data from Istanbul Securities Exchange (ISE). Generalized Autoregressive Conditional Heteroscedasticity (GARCH) process is employed to model the persistence in volatility of daily returns and to capture the relation between daily price increments and the trading volume. Results approve the consistency of GARCH process in modeling stock returns and indicate positive relation between the volatility of daily returns and trading volume. Also, a reduction of persistence in volatility is observed with the inclusion of trading volume in the model.
Open Access
The global trend toward securitization and its reflections in the context of Turkey
(1994) Üçarkuş, Özlem
Last decade has been a period that was characterized by a series of developments in the international and domestic capital markets. Securitization, which essentially involves the transformation of financial assets into securities to be sold to investors in capital markets, was one of these major structural changes that has come to play an increasingly important role within these markets. The aim of this study is to provide a better understanding of what securitization is and what it can offer as a new financing technique along with its implications for the Turkish tuuincial market. The study covers all aspects of securitization including its development, basic principles and structures together with the discussion of the associated benefits and risks. Finally, a comprehensive analysis of the current securitization practice is provided in the context of Turkey along with some criticisms and suggestions for the future growth of as.set backed securities markets.
Open Access
Initial and long-term price performance of initial public offerings: Turkish experience 1990-1993
(1996) Yavuz, Z. Nurşin
The purpose of this study is to examine both the initial and medium-long term price performance of initial public offerings in Istanbul Stock Exchange during the continuous 1990-1993 period. In the light of the findings, initial public offerings are found to be underpriced meaning that investors in initial public offering market can exercise significant short-term returns relative to the market. In addition, in the whole period, the effect of this initial underpricing continues up to the second month. However, when we look at the long-term results, it is seen that IPOs underperformed the market although the results are not significant. As a result, investors in the IPO merket can exercise initial abnormal returns but in the long-run they produce a negative return although not significant.
Open Access
Interdependency between Istanbul Stock Exchange and New York Stock Exchange
(1994) Bökesoy, Aslı
Globalization of world stock markets and international diversification of securities portfolios are topics that are widely discussed in the recent years. Many markets were analyzed for interdependencies in the literature. This study tests the interdependence between Istanbul Stock Exchange and New York Stock Exchange for the period between April 1992 and December 1993 using daily return indexes. Results of the tests showed that stock price indexes in both markets were nonstationary and that they are interdependent. Therefore, they point out the possibility that the price movements in Istanbul Stock Exchange are affected from the price movements in NewYork Stock Exchange.
Open Access
An investigation of anomalies at Istanbul Securities Exchange : winner-loser effect
(1993) Sayın, Gürkan
In this study , the presence of winner -1 oser effect in Istanbul Stock Exchange is investigated. Tests are done for the period of January .1988 - December 1992. Past performance is used to form the " Winner " and "Loser" portfolios pri or to the lest period. Duration for past performance measure ments change from 1 month to 48 months.Test periods change from 3 months to 36 months. The results show that, in the first month of the test period, loser portfolio outperforms the winner p o r t f o l i o . This ef f ect is e m p h a s i z e d if the first mont h of the lest period is January. The above results carry similarities with the empirical results obtained from slock markets of USA and Japan.
Open Access
An investigation of anomalies at Istanbul Stock Exchange: size and January effects
(1995) Bora, Zeynep Gül
This study investigates January effect at Istanbul Stock Exchange in combination with size of firms which are traded for the period of 1988 - 1994, using monthly data. The study is based on the groupings of stocks in ten size groups; which permits us to examine January effect via these groups. It starts with questioning of which size groups are associated with the turn of the year effect and further examines the existence of excess returns of the smallest size group over the largest one for both January and April. This study, however, presents the evidence that the so-called January effect via size does not exist at Istanbul Stock Exchange.
Open Access
An investigation of the leverage anomaly at Istanbul Securities Exchange
(1995) Akkaya, Celal
This study investigates the presence of ‘leverage effect’ at Istanbul Securities Exchange for the period January 1990 - December 1993. Two leverage variables are used, the ratio of book equity to book assets, BE/A and the ratio of market equity to book assets, ME/A. We interpret BE/A as a measure of book leverage, while ME/A as a measure of market leverage. In portfolio comparison methodology, each year, portfolios are formed according to the previous year’s ratio of book equity to book assets and ratio of market equity to book assets and then the average monthly returns of the current year are compared. In addition, the cross-sectional regression approach of Fama-MacBeth (1973) is applied to determine which of the variables significantly explain the average return of stocks. The results show that a significant ‘leverage effect’ is not encountered at Istanbul Securities Exchange for the period of January 1990 - December 1993 in terms of book leverage and market leverage variables.
Open Access
Market efficiency and information content of financial statement earning announcements in ISE
(1997) Keler, S. Alp
This study investigates the impact of earning values of quarterly and annual financial statement announcements on stock prices and trade volumes for the stocks listed in Istanbul Stock Exchange National Market during the time period 1992-1995 The relationship between accounting information and price/trade volume is examined from two aspects. The first aspect is ''information-content test" and it measures the extent to which announcements convey information to the stock market. The results indicate that the price/trading volume changes on the day of the announcement is no different than any of the other date and no significance relationship is found between price/trading volume changes and earnings announcements. The second aspect is "market-efficiency test" and it investigates whether accounting earnings reflect factors that affect stock prices and how soon that inlormation is assimilated into stock prices. The results indicate that the accounting earnings does not reflect factors that affect stock prices and despite how strong the early information one has obtained, he can easily loose money
Open Access
Prediction of Istanbul Securities Exchange composite index
(1993) Timur, Murat
This study presents a software developed by using Nested Generalized Exemplars, for predicting Istanbul Securities Exchange Composite Index. Information reflected in the past values of frequently used monetary variables are used to predict stock returns. Daily returns of the composite index are predicted by using: Central Bank effective selling price of US Dollar and Deutsche Mark, Istanbul Tahtakale closing selling price of Turkish Republic gold coin and one ounce of gold, Commercial Banks (İş Bank, Akbank, Yapı Kredi Bank, and Ziraat Bank) 3-month average deposit rate and 3-month Government bond interest rates. Data prior to the dates on which the predictions are made are used to learn the forecasting power of variables on composite index and to generate the appropriate rules. The results reveal that the information reflected in the past prices of the variables have significant effects on the ISE composite index.
Open Access
Price performance of initial public offerings in Istanbul Stock Exchange
(1996) Öztop, İbrahim Halil
Tliis study aims at investigating the price behavior of initial public offerings (IPOs) in Istanbul Stock Exchange (ISE) during 1994 and 1995 in the short- and medium-term. The study is also devoted to the structure, pricing methods, timing, advantages and disadvantages of IPOs and the existing regulatory environment. The existence of significant abnormal positive returns of new issues on the first and fifth trading days is the proof of underpricing. However, no significant excess returns are observed for the second and third week following the initial trading. The absence of significant abnormal initial returns in the IPO market in ISE during the same period suggests that new issues follow the general market movement. On the first and third month after the initial trading, the IPOs are overpriced since there exist significant abnormal negative initial returns. The observed high variability on average returns indicates that there might be some stocks that are underpriced while there might be some stocks that are overpriced. Investors purchasing new issues at the initial offering earn positive abnormal returns in the early aftermarket period. IPOs are profitable investments in the short-term (until the fifth trading day), but perform quite poorly over longer periods (after the first month following the initial trading date).
Open Access
Price preduction in IMKB using neural networks
(1994) Altuğ, Sinan
The purpose of this thesis is to perform price prediction in Istanbul Stock Exchange (IMKB) using neural networks approach. The neural networks have been in use in the literature of plenty of time, however, this thesis is one of the first applications of neural network forecasting in the Turkish Financial Framework. The study focuses on four stocks, each of which exhibited different trends for the period january I 99 1 - June 1993. Comparative analysis were carried out for each prediction and detailed statistical inquiry was performed. Even though the full potential of neural networks could not be utilized (basically because of data limitations), the results prove that neural networks perform significantly successful predictions.
Open Access
Pricing of initial public offerings
(1992) Akkaşoğlu, Vuslat
The purpose of this study is to examine how investors in new stock issues have fared relative to the rest of the stock market both in short and in medium term in Istanbul Stock Exchange during the period January 1990-April 1991. Furthermore, the speed of market adjustment to mispricing is also examined. In light of the findings, initial public offerings are found to be underpriced and investors in initial public offerings could enjoy short term returns relative the rest of the stock market. The market adjustment to mispricing is observed to be accomplished during the first two days of public trading with the bulk of the adjustment being in the first day.
Open Access
The relationship between stock price index and trading volume in the Istanbul Stock Exchange
(1995) Tokat, Fatma
In this study, the long-term relationship and the short-term causality between stock price index and the trading volume and the direction of the causality is investigated in the context of a small stock market, the Istanbul Stock Exchange in Türkiye by using cointegration theory and Vector Error Correction Model. The data used includes daily closing values of ISE composite index and daily aggregate number of share units traded for the period 29/02/1988-30/09/1994. The emprical results reveal evidence of strong linear impact from lagged stock prices to current and iliture trading volume, which can be explained by both non-tax-related trading models and noise trading models, whereas weak evidence of a linear impact from lagged volume to current and future stock prices, which can be explained by sequential information arrival models and the mixture of distributions model.