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Do Time-Varying Betas Help in Asset Pricing? Evidence from Borsa Istanbul

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  • Berk Yayvak
  • Levent Akdeniz
  • Aslihan Altay-Salih

Abstract

We investigate the time variation in the market risk of industry portfolios of Borsa Istanbul with respect to changes in economic conditions by employing the threshold CAPM. The threshold CAPM defines beta as a function of an underlying economic variable, the threshold variable, to allow beta to change between two different regimes when the threshold variable hits a certain threshold level. We use interest rate, currency basket, real effective currency index, and market volatility as candidates for the threshold variable. We find there is a significant time variation in betas with respect to changes in the currency basket level.

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  • Berk Yayvak & Levent Akdeniz & Aslihan Altay-Salih, 2015. "Do Time-Varying Betas Help in Asset Pricing? Evidence from Borsa Istanbul," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 51(4), pages 747-756, July.
    • Handle: RePEc:mes:emfitr:v:51:y:2015:i:4:p:747-756
    DOI: 10.1080/1540496X.2015.1046346
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    Cited by:

    1. Aktürk, Halit, 2016. "Do stock returns provide a good hedge against inflation? An empirical assessment using Turkish data during periods of structural change," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 230-246.
    2. Ying-Sing LIU & Liza LEE, 2022. "Are Modifications in the ETF's Investment Performance and Risks during the COVID-19 Pandemic Event?," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 23(1), pages 05-17, June.

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