The Effect of Valuation Ratios, Gold Price, and Petroleum Price on Equity Returns: A Comparison of Static Panel and Quantile Regressions

Aynur Pala

Asian Economic and Financial Review, 2014, vol. 4, issue 1, 80-89

Abstract: The purpose of this paper is to investigate to impact of valuation ratios, oil price changes and gold price changes on equity returns using static panel regression and quantile regression for 25 industrial firms at ISE (Istanbul Stock Exchange). Data periods includes from 1st quarter of year 2005 to 1st quarter of year 2011. As a result of LLC, IPS, Breitung test, variables are stationary at level. White procedure has been used to correct serial correlation and heterogeneity problems. Asset pricing model estimated using random and fixed panel data models and quantile regression model. Results of Hausman test indicated that fixed effect model (OLS) is valid. In general we find strong evidence that OLS estimation difference from quantile regression (QR) estimation at the most points of the distribution for ISE.

Keywords: Quantile regression; Panel data; Asset pricing. (search for similar items in EconPapers)
Date: 2014
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