ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION
Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to macroeconomic factors. There are limited researches in...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Faculty of Economics, University of Tuzla
2016-05-01
|
| Series: | Economic Review |
| Subjects: | |
| Online Access: | http://er.ef.untz.ba/index.php/er/article/view/111 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1823861245586964480 |
|---|---|
| author | Özge SEZGİN ALP Fazıl GÖKGÖZ Güray KÜÇÜKKOCAOĞLU |
| author_facet | Özge SEZGİN ALP Fazıl GÖKGÖZ Güray KÜÇÜKKOCAOĞLU |
| author_sort | Özge SEZGİN ALP |
| collection | DOAJ |
| description |
Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to macroeconomic factors. There are limited researches into APT and its applications in emerging markets. In this respect, it is crucial to analyze the Turkish stock market under APT perspective. The goal of this study is to investigate expected returns of Turkish stock market with APT during the period 2000-2012. Eight major indices of Borsa İstanbul (BIST) have been analyzed as benchmarks. The relationship between main stock indices and macroeconomic variables has been submitted to cointegration tests and vector error correction model analyses. The results have revealed that significant macroeconomic variables vary upon sectors and have a long-run effect in determining stock indices. Consequently, it should be noted that empirical tests of APT have robust estimations in analyzing the Turkish stock market.
|
| format | Article |
| id | doaj-art-39ecc9c2873649f8942c2d28339f1073 |
| institution | Kabale University |
| issn | 1512-8962 2303-680X |
| language | English |
| publishDate | 2016-05-01 |
| publisher | Faculty of Economics, University of Tuzla |
| record_format | Article |
| series | Economic Review |
| spelling | doaj-art-39ecc9c2873649f8942c2d28339f10732025-02-10T00:31:14ZengFaculty of Economics, University of TuzlaEconomic Review1512-89622303-680X2016-05-01141ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTIONÖzge SEZGİN ALP0Fazıl GÖKGÖZ1Güray KÜÇÜKKOCAOĞLU2Baskent University, Faculty of Commercial Sciences, Department of Accounting and Financial ManagementAnkara University, Faculty of Political Sciences, Department of Management, Quantitative Methods DivisionBaskent University, Faculty of Economics and Administrative Sciences, Department of Management, Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to macroeconomic factors. There are limited researches into APT and its applications in emerging markets. In this respect, it is crucial to analyze the Turkish stock market under APT perspective. The goal of this study is to investigate expected returns of Turkish stock market with APT during the period 2000-2012. Eight major indices of Borsa İstanbul (BIST) have been analyzed as benchmarks. The relationship between main stock indices and macroeconomic variables has been submitted to cointegration tests and vector error correction model analyses. The results have revealed that significant macroeconomic variables vary upon sectors and have a long-run effect in determining stock indices. Consequently, it should be noted that empirical tests of APT have robust estimations in analyzing the Turkish stock market. http://er.ef.untz.ba/index.php/er/article/view/111Arbitrage Pricing TheoryCointegrationEmerging MarketsTurkey |
| spellingShingle | Özge SEZGİN ALP Fazıl GÖKGÖZ Güray KÜÇÜKKOCAOĞLU ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION Economic Review Arbitrage Pricing Theory Cointegration Emerging Markets Turkey |
| title | ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION |
| title_full | ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION |
| title_fullStr | ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION |
| title_full_unstemmed | ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION |
| title_short | ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION |
| title_sort | estimating turkish stock market returns with apt model cointegration and vector error correction |
| topic | Arbitrage Pricing Theory Cointegration Emerging Markets Turkey |
| url | http://er.ef.untz.ba/index.php/er/article/view/111 |
| work_keys_str_mv | AT ozgesezginalp estimatingturkishstockmarketreturnswithaptmodelcointegrationandvectorerrorcorrection AT fazılgokgoz estimatingturkishstockmarketreturnswithaptmodelcointegrationandvectorerrorcorrection AT guraykucukkocaoglu estimatingturkishstockmarketreturnswithaptmodelcointegrationandvectorerrorcorrection |