IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

The effects of macroeconomic factors on stock returns: Istanbul Stock Market

  • Husam Rjoub
  • Turgut Türsoy
  • Nil Günsel

Purpose – The purpose of this paper is to investigate the performance of the arbitrage pricing theory (APT) in the Istanbul Stock Exchange (ISE) on a monthly basis, for the period January 2001 to September 2005. Design/methodology/approach – This study examines six pre-specified macroeconomic variables which are: the term structure of interest rate, unanticipated inflation, risk premium, exchange rate and money supply. All these are the same as those used by Chen, Roll and Roll for the US market. In this study, the authors develop one more variable namely unemployment rate, which has a relation with the stock return. Findings – Using the OLS technique, the authors observed that there are some differences among the market portfolios. Before starting to comment on the result of OLS, the serial correlation problem was discussed by using Durbin-Watson statistics. In this study, the critical values were ranged from between 1.33 and 1.81 (T=57, K=6). Our test results confirmed that in ten out of the 13 there were no serial correlations. Our results show that there are big differences among market portfolios against macroeconomic variables through the variation of R2. In the remaining portfolios; there was no evidence to suggest. Research limitations/implications – In this paper, the authors face a problem that was no corporate bond in Turkey's market. Originality/value – This analysis appears to be the first empirical test of APT using the CAPM formula for finding the risk premium point for ISE.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.emeraldinsight.com/Insight/viewContentItem.do;jsessionid=324AD2E96C093B9BFBD09D8338DDE274?contentType=Article&contentId=1775109
Download Restriction: Cannot be freely downloaded

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Emerald Group Publishing in its journal Studies in Economics and Finance.

Volume (Year): 26 (2009)
Issue (Month): 1 (March)
Pages: 36-45

as
in new window

Handle: RePEc:eme:sefpps:v:26:y:2009:i:1:p:36-45
Contact details of provider: Web page: http://www.emeraldinsight.com

Order Information: Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
Web: http://emeraldgrouppublishing.com/products/journals/journals.htm?id=sef Email:


No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eme:sefpps:v:26:y:2009:i:1:p:36-45. 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: (Louise Lister)

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.