The Behavior of stock returns in Turkey: 1986-1988

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buir.advisorAydoğan, Kürşat
dc.contributor.authorBaşçı, Erdem
dc.date.accessioned2016-01-08T20:08:35Z
dc.date.available2016-01-08T20:08:35Z
dc.date.issued1989
dc.departmentDepartment of Managementen_US
dc.descriptionAnkara : The Department of Management and the Graduate School of Business Administration of Bilkent Univ. , 1989.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 1989.en_US
dc.descriptionIncludes bibliographical references leaves 45-48en_US
dc.description.abstractThis study investigates distributional and time series behavior of common stock returns in Istanbul Stock Exchange (ISE) for the period 1986-1988. The distributions of weekly price returns deviate from normality with sharp peaks, heavy tails and positive skewness. These observations are similar to those of United States stock markets but ISE returns have higher means and higher variances. The first order serial dependence is insignificant for most stocks and Box-Jenkins linear forecasting models shows a poor performance. So, published past price information cannot be used to obtain better forecasts of future prices by this model. This observation is in line with the random walk behavior as expected from a weak form efficient market. Applicability of Box-Jenkins models may be questioned however, since variance of returns is not stationary due to a second order dependence. This type of dependence is not against weak form efficiency and is seen in US stock returns as well. To detect any longer term dependence, the test of variance-time function is employed.:· The results indicate significant long term dependence for most stocks and this is against weak form efficiency. The weekly change in trading volume series turns out to be forecastable by univariate Box- Jenkins models and it seems to explain some of the variation in stock price returns.en_US
dc.description.degreeM.B.Aen_US
dc.description.statementofresponsibilityBaşçı, Erdemen_US
dc.format.extentvi, 120 leaves, illustrationsen_US
dc.identifier.itemidBILKUTUPB005234
dc.identifier.urihttp://hdl.handle.net/11693/17252
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectMarket efficiencyen_US
dc.subjectRandom walk behavioren_US
dc.subjectBox-Jenkins ARIMA modelsen_US
dc.subjectStationärityen_US
dc.subjectTest of variance time functionen_US
dc.subject.lccHG5706.5 .B29 1989en_US
dc.subject.lcshStock-exchange-Turkey.en_US
dc.titleThe Behavior of stock returns in Turkey: 1986-1988en_US
dc.typeThesisen_US

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