ISE review

Istanbul Stock Exchange

Volume: 8 No: 31

Subjects

· Size and Book-to-Market Effects: Evidence from the Istanbul Stock Exchange (ISE)
Nuri Yıldırım

· Persistence in Emerging Market Stock Returns: Empirical Evidence from Six Stock Markets
Zeynel Abidin Özdemir

· Are Investors Affected by the Weather Conditions: Evidence from the Istanbul Stock Exchange
Ekrem Tufan & Bahattin Hamarat

· Global Capital Markets

· ISE Market Indicators

· ISE Publication List

Size And Book-To-Market Effects: Evidence From The Istanbul Stock Exchange (Ise)

Nuri YILDIRIM

Abstract
In this paper, the existence of size and book-to-market effects in the Istanbul Stock Exchange (ISE) is investigated for the period between 1990-2002. In order to isolate the size and book-to-market effects from each other, similar to the method used by Fama-French (1993), specific portfolios are established on stocks sorted by both median size (market capitalization) and median book-to-equity values. It is concluded that if we hold annually re-established sorted portfolios during the whole 12-year period, there exist a small-size and book-to-market effect in the ISE. But if we examine good and bad years of the ISE separately, we see that the size and book-to-market effects are valid mostly in the good times. There is a great asymmetry between up and down market conditions concerning size and book-to-market effects in the ISE. It seems that all sorted portfolios are alike when the market goes down, whereas they behave very differently when the market goes up.

Persistence In Emerging Market Stock Returns: Empirical Evidence From Six Stock Markets

Zeynel Abidin ÖZDEMİR

Abstract
This paper examines the persistence in stock return series based on the stock price index for six countries. The order of fractional differencing is estimated using approximate maximum likelihood method. Persistence of each series is evaluated using the time required for a given percentage of the effect of a shock to dissipate. We find that stock return series show no significant persistence. Eighty percent of the effect of the shock on the value of the series disappears after two periods. The evidence provided by this paper shows that these series are antipersistent processes and have low persistency.

Are Investors Affected By The Weather Conditions: Evidence From The Istanbul Stock Exchange

Ekrem TUFAN
Bahattin HAMARAT

Abstract
Market anomalies in stock markets should be related to investors’ trading strategies, which are based on their psychologies along with other factors. The fact that some weather variables affect investor’s performance and mood can also affect market prices substantially. This paper examines cloudy, rainy and snowy days affect on the Istanbul Stock Exchange 100 (ISE-100) Index returns and the weak form efficiency for the ISE with a different approach. It has been found that cloudy and rainy days do not affect on ISE-100 Index returns while snowy days do. It has also been found that there exists evidence in favor of inefficiency of Turkish stock market in weak form.