Cross sectional determinants of Turkish stock market returns

Download

index.pdf

Date

2004

Author

Çeliker, Umut

Metadata

Show full item record

Item Usage Stats

185
views

87
downloads

This thesis analyzes the relationship between stock returns and firm-specific characteristics including market beta, size, book-to-market ratio, leverage, earnings yield, net sales-to-price ratio and prior return performance in Istanbul Stock Exchange during the period 1993-2003. Moreover, the predictability of some macroeconomic variables based on the stock market return behavior is investigated.

Subject Keywords

Stock exchanges.

URI

http://etd.lib.metu.edu.tr/upload/12605243/index.pdf
https://hdl.handle.net/11511/14495

Collections

Graduate School of Social Sciences, Thesis

Suggestions

OpenMETU
Core

How does the stock market volatility change after inception of futures trading? Esen, İnci; Danışoğlu, Seza; Department of Financial Mathematics (2007) As the trading volume in TURKDEX, the first and only options and futures exchange in Turkey, increases, it becomes more important to have an understanding of the effect of stock index futures trading on the underlying spot market volatility. In this respect, this thesis analyzes the effect of ISE-National 30 index futures contract trading on the underlying stocks’ volatility. In this thesis, spot portfolio volatility is decomposed into two components and this decomposition is applied to a single-factor retu...
Stock market liquidity analysis: evidence from the İstanbul Stock Exchange Özdemir, Duygu; Gaygısız Lajunen, Esma; Department of Economics (2011) The purpose of this thesis is to identify the factors playing a key role in the determination of the Turkish stock market liquidity in aggregate terms in a time series context and discuss the joint dynamics of the market-wide liquidity with its selected determinants and the trade volume. The main determinants tested are the level of return, the return volatility and the monetary stance of the Central Bank of the Republic of Turkey. The expected positive relationship between the liquidity and the return is c...
A Note on Cross Section of Stock Returns on the Istanbul Stock Exchange Kayaçetin, Nuri Volkan; Güner, Zehra Nuray (Boğaziçi Üniversitesi, 2007-01-01) This paper investigates the explanatory powers of firm size, book-to-market, sales-to-price, debt-toequity ratio, and dividend yield on the cross-section of returns on the Istanbul Stock Exchange (ISE). Our results indicate that each of these variables (except dividend yield), commands a significant return premium when included in a simple regression model with the highest premium being associated with sales-to-price ratio. Our results suggest that sales-to-price ratio and debt-to-equity ratio have higher e...
Volatility indexes and an implementation of the Turkish BIST 30 index Karakurt, Caner; Uğur, Ömür; Department of Financial Mathematics (2018) In 1993, by representing of CBOE Vix, global financial markets met volatility indexes. In 2003, methodology of the CBOE Vix is updated and it took the form which used today. Day after day, volatility indexes have attracted more and more investors and financial institutions, and soon volatility indexes have succeeded in becoming one of the most followed financial indicators. Following these developments, many countries have introduced their implied volatility indexes by using CBOE Vix methodology or its vari...
The effect of financial news on BIST stock prices: a machine learning approach Kanmaz, Medet; Küçükşenel, Serkan; Department of Economics (2018) This thesis examines the relationship between the price data of companies in different sectors in the Borsa Istanbul (BIST) stock exchange and the verbal data revealed in the financial news related to these companies. In this work, sentiment analysis, natural language processing and the effect of financial news on individual stock performances are studied with a simple and novel method. Sentiment analysis is created by automatically labelling the news for companies publicly traded in BIST as positive or neg...

Citation Formats

U. Çeliker, “Cross sectional determinants of Turkish stock market returns,” M.B.A. - Master of Business Administration, Middle East Technical University, 2004.