ISE REVIEW
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Volume: 6 No: 21 January/February/March 2002 |
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Abstract
The objective of this paper is to explore the effects of some global factors on stock returns for the Istanbul Stock Exchange (ISE). To this end, a set of global variables such as current account balance, international capital flows, exchange rates and U.S. stock price index are employed in our empirical analysis. We utilized the modeling strategy of Hendry (1980) and an error correction model (ECM) in order to analyze the dynamic short-run relations between global variables and stock prices. The findings of this paper suggest that global factors are important in explaining the variations in stock returns for the specific case of Turkey. Thus, the empirical evidence presented in this paper support the view that the dynamic linkages between emerging markets and global factors may be significant due to increased integration of international financial markets in the past decade.
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Abstract
In the empirical studies carried out on standard CAPM, widely used in finance literature, it has been argued that static CAPM could not entirely explain the portfolio returns. One of the assumptions for one period application is that the beta coefficients of assets are assumed to be constant over time. However, in a dynamic world the expected returns and betas deviate over time. In this study, returns of ISE-30 securities have been estimated by employing conditional CAPM; it has been found that those returns estimated by conditional CAPM were so similar to actual returns. It is concluded that conditional CAPM would present more significant results while forecasting the expected returns of the stocks traded on the ISE, in order for this method to be beneficial for the investors in the portfolio selection process.
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Abstract
In this study, the monetary and exchange rate policies followed by the Central Bank of Turkey (CBT) in the period between 1990 and 2000 are examined with the help of anchors. The CBT executed the monetary policies by means of monetary programs. In order to increase its credibility and reduce inflation, the Central Bank of Turkey established binding rules through these monetary programs between 1990 and 2000. These rules are called anchors. There are varieties of anchors ranging from foreign exchange rates to inflation targeting. In the first section of this study, anchors, aspects of ideal anchors, the independence and credibility of the Central Bank are examined theoretically. In the second section, there is an empirical analysis of the monetary and exchange rate policies implemented in Turkey in the period between 1990 and 2000. In conclusion, the problems encountered in application of anchors are determined.
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