Gokgoz, Fazil and Altintas, Ipek (2013) Does idiosyncratic volatility matter in the emerging markets? Istanbul stock exchange evidence. Ekonomska istraživanja (3). pp. 133-150. ISSN 1331-677X
Puni tekst![[img]](http://eknjiznica.unipu.hr/style/images/fileicons/application_pdf.png) |
PDF
Restricted to Samo registrirani korisnici Sva prava pridržana. Nije dopušteno niti jedan dio reproducirati ili distribuirati bez prethodnog pismenog odobrenja. Download (631kB) | Zatraži kopiju |
Sažetak
In finance literature, Capital Asset Pricing Model predict only systematic risk is priced in equilibrium and neglect firm specific (idiosyncratic) risk which can be eliminated by diversification. However in real world investors, who are disable to diversify their portfolios, should take into consideration idiosyncratic risk beside of systematic risk in prediction of expected return. In this article, we examine real market conditions in Istanbul Stock Exchange (ISE), an emerging market stock exchange, over the period 2007:01 to 2010:12 by studying market wide and idiosyncratic volatility following the methodology of Campbell et al.(2001). Our findings suggest that, in 2007-2010 period, idiosyncratic volatility is the biggest component of total volatility and shows no trend in this period. Beside that our analyses about the predictive ability of various measures of idiosyncratic risk provide evidence that idiosyncratic volatility is not a significant predictor for future return.
| Tip objekta: | Članak |
|---|---|
| Mentor: | NIJE ODREĐENO |
| Dodatne informacije: | 26/3 |
| Ključni pojmovi: | volatility,firm specific risk, idiosyncratic volatility, Turkey |
| Teme: | 3 Društvene znanosti > 33 Ekonomija. Ekonomska znanost > 336 Financije. Uključujući: Javne financije. Bankarstvo. Novac > 336.7 Novac. Monetarni sustav. Bankarstvo. Burze > 336.748 Tečaj novca. Kretanje tečajeva. Kolebanje tečajeva |
| Odjeli: | Fakultet ekonomije i turizma "Dr. Mijo Mirković" |
| Datum pohrane: | 04 Pro 2013 10:57 |
| Zadnja promjena: | 04 Pro 2013 10:57 |
| URI: | http://eknjiznica.unipu.hr/id/eprint/2521 |
Actions (login required)
 |
Pregledaj stavku |
