ISE review

Istanbul Stock Exchange

Volume: 6 No: 24 October/November/December 2002

Subjects

· Examining Systematic and Nonsystematic Risks of the ISE Financial Sector Companies
Hatice Doğukanlı & Songül Kakilli Acaravcı & Serkan Yılmaz Kandır

· An Investigation of Beta Instability in the Istanbul Stock Exchange
Atilla Odabaşı

· Finance and Growth in Turkey: Casuality Issue
Ensar Yılmaz & Özgür Kayalıca

· Global Capital Markets

· ISE Market Indicators

· Book Reviews

· ISE Publication List

Examining Systematic And Nonsystematic Risks Of Ise Financial Sector Companies

Prof. Dr. Hatice DOĞUKANLI
Songül Kakilli ACARAVCI
Serkan Yılmaz KANDIR

Abstract
The recent crises in Turkey again indicated the importance of systematic risk. Transfer of many banks into “Savings Deposit Insurance Fund” in the last period is a result of these events. It is believed that systematic risk has an important place in these risks. Basic systematic risk sources, growth rate in GNP, inflation rate, interest rate and exchange rate risk influence all of the companies. Effect of these risks over financial companies is more important. Because interest rate and exchange rate risks concern financial companies and especially banks more than any other sector companies. In this study, systematic and nonsystematic risks of 32 financial sector stocks are decomposed by using single index model. The time period of 72 months between January 1996 and December 2001 is covered in the study. As a result it can be stated that nonsystematic risk is more important than systematic risk for financial sector companies. Nevertheless this is not the case for all of the financial companies. There are differences in both total risks and composition of risk between financial companies.

An Investigation Of Beta Instability In The Istanbul Stock Exchange

Attila ODABAŞI

Abstract
The estimation of systematic risk, or beta, is important to many applications in finance. The Capital Asset Pricing Model assumes that the beta coefficient is constant through time. However, many studies on developed equity markets and some on emerging markets have found evidence that individual stock betas are time varying. The purpose of this study is to investigate the issue of beta stability in the Istanbul Stock Exchange from 1992 to 1999. The tests are conducted on individual stocks over the full sample period and his subintervals. It seems that Betas are highly time varying over four- and eight-year estimation periods in the ISE. In addition, the incidence of instability gets lower as the estimation sub-period shortens from eight-year to a year. This finding can be explained by fast changes in companies and the market in Turkey. It also questions the existence of an estimation length effect on beta estimates.

Finance And Growth In Turkey: Causality Issue

Ensar YILMAZ & Özgür KAYALICA

Abstract
There has been a renewed interest in the nature of the links between the development of financial systems and economic growth. Many theoretical models have There has been a renewed interest in the nature of the links between the development of financial systems and economic growth. Many theoretical models have been proposed to show how financial markets and intermediary activity promote growth. We use a multivariate Granger causality tests within an error-correction framework for Turkey to analyze the causality between the financial sector development and growth for the period 1960-2001. We find that the relationship between financial development and economic growth is in the nature of ‘supply-leading’ if the sum of the M2Y/GNP ratio and market capitalization is taken as the measure of financial development, but when the variable representing the financial development becomes the ratio of private sector credit to total domestic credit, there is no causal relationship. However, in spite of this conflicting result, it seems that there is no any supportive evidence for the demand.