An Investigation of Beta Instability in the Istanbul Stock Exchange
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.
Volume (Year): 6 (2003)
Issue (Month): 24 ()
|Contact details of provider:|| Postal: Reşitpaşa mh. Tuncay Artun Cd. Emirgan, 34467 İstanbul|
Phone: (90 212) 298 2100
Fax: (90 212) 298 2189
Web page: http://www.borsaistanbul.com
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Rajan, Raghuram G & Zingales, Luigi, 1998.
"Financial Dependence and Growth,"
American Economic Review,
American Economic Association, vol. 88(3), pages 559-86, June.
- Raghuram G. Rajan & Luigi Zingales, 1996. "Financial Dependence and Growth," NBER Working Papers 5758, National Bureau of Economic Research, Inc.
- Raghuram G. Rajan & Luigi Zingales, . "Financial Dependence and Growth," CRSP working papers 344, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Fry, Maxwell J, 1978. "Money and Capital or Financial Deepening in Economic Development?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 10(4), pages 464-75, November.
- Bhide, Amar, 1993. "The hidden costs of stock market liquidity," Journal of Financial Economics, Elsevier, vol. 34(1), pages 31-51, August.
- Beck, Thorsten & Levine, Ross & Loayza, Norman, 1999.
"Finance and the sources of growth,"
Policy Research Working Paper Series
2057, The World Bank.
- Lucas, Robert Jr., 1988. "On the mechanics of economic development," Journal of Monetary Economics, Elsevier, vol. 22(1), pages 3-42, July.
- Ahmed, S. M. & Ansari, M. I., 1998. "Financial sector development and economic growth: The South-Asian experience," Journal of Asian Economics, Elsevier, vol. 9(3), pages 503-517.
- Sims, Christopher A, 1972. "Money, Income, and Causality," American Economic Review, American Economic Association, vol. 62(4), pages 540-52, September.
- Atje, Raymond & Jovanovic, Boyan, 1993. "Stock markets and development," European Economic Review, Elsevier, vol. 37(2-3), pages 632-640, April.
- Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-28, August.
- Philip Arestis & Panicos O. Demetriades & Kul B. Luintel, 1997.
"Financial Development and Economic Growth: the Role of Stock Markets,"
Keele Department of Economics Discussion Papers (1995-2001)
97/05, Department of Economics, Keele University.
- Arestis, Philip & Demetriades, Panicos O & Luintel, Kul B, 2001. "Financial Development and Economic Growth: The Role of Stock Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(1), pages 16-41, February.
- Klaus Neusser & Maurice Kugler, 1998. "Manufacturing Growth And Financial Development: Evidence From Oecd Countries," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 638-646, November.
- Robert J. Barro, 1989.
"Economic Growth in a Cross Section of Countries,"
NBER Working Papers
3120, National Bureau of Economic Research, Inc.
- Hansson, Pontus & Jonung, Lars, 1997.
"Finance and Economic Growth. The Case of Sweden 1834-1991,"
SSE/EFI Working Paper Series in Economics and Finance
176, Stockholm School of Economics.
- Hansson, Pontus & Jonung, Lars, 1997. "Finance and economic growth: the case of Sweden 1834-1991," Research in Economics, Elsevier, vol. 51(3), pages 275-301, September.
- Levine, Ross & Zervos, Sara, 1996.
"Stock markets, banks, and economic growth,"
Policy Research Working Paper Series
1690, The World Bank.
- Thornton, John, 1995. "Financial Deepening and Economic Growth in Developing Countries," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 48(3), pages 423-430.
- Rousseau, Peter L & Wachtel, Paul, 1998. "Financial Intermediation and Economic Performance: Historical Evidence from Five Industrialized Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(4), pages 657-78, November.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Stern, Nicholas, 1989. "The Economics of Development: A Survey," Economic Journal, Royal Economic Society, vol. 99(397), pages 597-685, September.
- King, Robert G. & Levine, Ross, 1993. "Finance, entrepreneurship and growth: Theory and evidence," Journal of Monetary Economics, Elsevier, vol. 32(3), pages 513-542, December.
When requesting a correction, please mention this item's handle: RePEc:bor:iserev:v:6:y:2003:i:24:p:15-32. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ahmet Palu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.