ANALYSIS OF RELATIVE RETURN BEHAVIOUR OF BORSA ISTANBUL REIT AND BORSA ISTANBUL 100 INDEX

Mine Aksoy () and Veysel Ulusoy
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Mine Aksoy: Yalova University, Turkey

Journal for Economic Forecasting, 2015, issue 1, 107-128

Abstract: This study examines the return and volatility behaviour of Borsa Istanbul Real Estate Investment Trusts (REITs) Index and Borsa Istanbul 100 (BIST 100) Index. It focuses on three main points. First, we search whether there are variations in index returns and volatilities by days of the week, months of the year, and turn of the month patterns. Second, we ask whether REITs Index performance is closely related to stock market performance. Third, we test whether the abnormal returns in the process have significant effects on the index returns and volatilities. Results reveals that calendar anomalies still exist and the volatility pattern across days of the week and months of the year are statistically different. The return pattern observed between REITs and BIST 100 index is strong enough. REITs performance is closely related to stock market performance. BIST 100 abnormal returns have also significant effects on BIST 100 and REITs returns and volatilities. This study performs GARCH and EGARCH methodologies to and finds significant implications for local and international investors for designing trading strategies, drawing investment decisions, risk management, timing of security issuances by firms, asset pricing and performance evaluation.

Keywords: calendar anomalies; volatility; abnormal return; GARCH; EGARCH; Borsa Istanbul REITs index; Borsa Istanbul 100 index (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G17 (search for similar items in EconPapers)
Date: 2015
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