Time varying beta estimation for Turkish real estate investment trusts(REITs): an analysis of alternative modeling techniques

Download
2009
Altınsoy, Gözde
This study investigates the time varying behavior of the betas (systematic risk) for the Turkish REIT sector in an attempt to identify whether the betas for the Turkish REITs are stable and if not whether the declining trend valid for the REIT betas of many developed and developing countries is also observed for the Turkish REITs. Three different techniques; namely, Diagonal BEKK (DBEKK) GARCH model, the Schwert and Seguin model and the Kalman Filter algorithm, are employed in order to estimate and analyze the time varying betas of the Turkish REIT sector over the period 2002-2009. The empirical results suggest that, similar to many other countries, betas are not stable in the Turkish REIT sector. The general view of a declining beta trend for the REITs appears to prevail for Turkish REITs as well, reinforcing the defensive characteristics of these publicly traded real estate companies. Comparing the relative forecast accuracy of the three techniques employed, Schwert and Seguin model performs the worst both for weekly and daily data; whereas the Kalman Filter and the DBEKK Garch models provide the lowest forecast errors for the weekly and the daily data, respectively. This study also shows that the use of the data sets with different frequency could lead to different empirical findings.

Suggestions

Time-varying beta risk of Turkish Real Estate Investment Trusts
Altınsoy, Gözde; Erol, Işıl; Yıldırak, S. Kasırga (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2010-8)
This paper provides empirical evidence on the time varying behavior of beta for the publicly traded real estate companies (REITs) in Turkey using the last seven years of both weekly and daily data. In our sample period, Turkey’s GDP growth rate has experienced a trend break. After the long lasting financial crisis of 2001, real GDP growth rate has increased gradually from 2002 to 2005, but it has subsequently decreased sharply until June 2009. We use the Diagonal BEKK covariance specification of the M-GARCH...
Time-varying beta risk of Turkish Real Estate Investment Trusts
Altınsoy, Gözde; Erol, Işıl; Yıldırak, S. Kasırga (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2010-8)
This paper provides empirical evidence on the time varying behavior of beta for the publicly traded real estate companies (REITs) in Turkey using the last seven years of both weekly and daily data. In our sample period, Turkey’s GDP growth rate has experienced a trend break. After the long lasting financial crisis of 2001, real GDP growth rate has increased gradually from 2002 to 2005, but it has subsequently decreased sharply until June 2009. We use the Diagonal BEKK covariance specification of the M-GARCH...
The sustainability analysis of Turkish domestic debt
Alkan, Feyza; Öcal, Nadir; Department of Economics (2009)
In this thesis, sustainability of the Turkish domestic debt is analyzed within the “sustainability indicators” perspective. The fiscal targets of Maastricht Treaty (1992) are imposed on the Turkish fiscal policy and it is investigated whether these targets are the indicators for sustainability in the medium term. Uctum and Wickens’ (2000) methodology is followed in assessing the sustainability of the current fiscal policy and the efficiency of the Maastricht Treaty (1992) targets. Moreover, the vector auto ...
An analysis of stock splitz in the İstanbul Stock Exchange
Yılmaz, Işıl Sevilay; Rhoades, Seza Danışoğlu; Department of Business Administration (2003)
The primary purpose of this study is to test the validity of the trading range hypothesis as a basis for stock split decisions of Turkish companies. In the first part, the liquidity effects of stock splits on Turkish stocks are examined. Second, the optimal trading ranges for different-sized firms and firms with different investor bases are determined. Finally, the main empirical question of the study is analyzed by testing whether or not Turkish firms whose share prices rise above their optimal trading ran...
Analysis of the growth dynamics in Turkish commercial shipbuilding sector and its prospects
Sartaş, Murat; Erdil, Erkan; Department of Economics (2010)
This thesis aims to analyze the growth dynamics of the Turkish commercial shipbuilding industry between 1992 and 2008. It tests the hypotheses whether each of the 14 variables identified in the literature are valid in explaining the growth of Turkish commercial shipbuilding industry between 1992 and 2008 and if there is a di erence in the importance of these variables through utilizing secondary data as well as the results of the semi structured interviews made with 16 experts and managers representing all ...
Citation Formats
G. Altınsoy, “Time varying beta estimation for Turkish real estate investment trusts(REITs): an analysis of alternative modeling techniques,” M.S. - Master of Science, Middle East Technical University, 2009.