ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION
Özge SEZGIN Alp (),
Fazil Gökgöz () and
Guray Kucukkocaoglu ()
Additional contact information
Özge SEZGIN Alp: Baskent University, Faculty of Commercial Sciences, Department of Accounting and Financial Management
Fazil Gökgöz: Ankara University, Faculty of Political Sciences, Department of Management, Quantitative Methods Division
Economic Review: Journal of Economics and Business, 2016, vol. 14, issue 1, 7-19
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 Istanbul (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.
Keywords: Arbitrage Pricing Theory; Cointegration; Emerging Markets; Turkey (search for similar items in EconPapers)
JEL-codes: C32 G12 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:tuz:journl:v:14:y:2016:i:1:p:7-19
Access Statistics for this article
Economic Review: Journal of Economics and Business is currently edited by Zijad Dzafic
More articles in Economic Review: Journal of Economics and Business from University of Tuzla, Faculty of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Senad Celikovic ().