Artikel
Estimating Turkish Stock Market Returns with APT Model: Cointegration and Vector Error Correction
Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to macroeconomic factors. There are limited researches into APT and its applications in emerging markets. In this respect, it is crucial to analyze the Turkish stock market under APT perspective. The goal of this study is to investigate expected returns of Turkish stock market with APT during the period 2000-2012. Eight major indices of Borsa Istanbul (BIST) have been analyzed as benchmarks. The relationship between main stock indices and macroeconomic variables has been submitted to cointegration tests and vector error correction model analyses. The results have revealed that significant macroeconomic variables vary upon sectors and have a long-run effect in determining stock indices. Consequently, it should be noted that empirical tests of APT have robust estimations in analyzing the Turkish stock market.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Economic Review: Journal of Economics and Business ; ISSN: 1512-8962 ; Volume: 14 ; Year: 2016 ; Issue: 1 ; Pages: 7-19 ; Tuzla: University of Tuzla, Faculty of Economics
- Klassifikation
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
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Arbitrage Pricing Theory
Cointegration
Emerging Markets
Turkey
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Alp, Özge Sezgin
Gökgöz, Fazil
Küçükkocaoglu, Güray
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Tuzla, Faculty of Economics
- (wo)
-
Tuzla
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Alp, Özge Sezgin
- Gökgöz, Fazil
- Küçükkocaoglu, Güray
- University of Tuzla, Faculty of Economics
Entstanden
- 2016
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