Stability in the ISE: Betas for Stocks and Portfolios

In this paper we examine the characteristics and stability of individual stock and portfolio betas of stocks listed in the Istanbul Stock Exchange (ISE) using samples of 500 individual stocks and 500 portfolios of 10 stocks each. We begin with a methodology similar to the basic event study methodology and collect data for the samples around 500 randomly chosen “event dates”. Using these samples we first estimate betas and changes in betas using the Market Model and OLS on logreturns. Second, we aggregate our findings concerning changes in betas by using a binomial test. Even though we find evidence supporting significant relationships between market returns and both individual stock and portfolio returns, the evidence does not seem to support that these relationships are stable. Furthermore, we do not find evidence showing that portfolio betas are more stable than individual betas.
Citation Formats
A. Oran and U. Soytaş, “Stability in the ISE: Betas for Stocks and Portfolios,” pp. 233–243, 2009, Accessed: 00, 2020. [Online]. Available: