Economic Forces and Stock Markets Under Arbitrage Price Theory: Empirical Evidence from Turkey

Journal of Poverty, Investment and Development, 2014

14 Pages Posted: 24 Sep 2015 Last revised: 25 May 2016

See all articles by Muhammad Hasan Yilmiz

Muhammad Hasan Yilmiz

Bilkent University, Department of Management, Students

Muhammad Mubeen

IQRA University

Emre Bulut

Bilkent University, Department of Management, Students

Date Written: September 21, 2014

Abstract

Our aim is to identify common risk factors among some pre-determined macroeconomic variables in a way that whether they are presented significant risk premiums in pricing equation that was given above. First we identified number of potential factors explaining returns in Turkish markets as suggested by Ross (1980) when presented APT. We found two factors were significantly explaining returns and then to find out which factor they are. we have used methodology of Chen, Roll, Ross (1986) where we have ranked portfolios according to size (market capitalization) and portfolio returns are calculated as log-returns. Our main results have showed that stock returns are exposed to systematic economic news that they are priced in accordance with their exposures. Those variables in our study are MP, DEI, BIST 100, BIST 30 and CG that must be given importance for considering their impact on stock returns.

Keywords: Arbitrage Pricing Theory, Factors Analysis, Economic Forces, Macroeconomic Factors

Suggested Citation

Yilmiz, Muhammad Hasan and Mubeen, Muhammad and Bulut, Emre, Economic Forces and Stock Markets Under Arbitrage Price Theory: Empirical Evidence from Turkey (September 21, 2014). Journal of Poverty, Investment and Development, 2014, Available at SSRN: https://ssrn.com/abstract=2663425 or http://dx.doi.org/10.2139/ssrn.2663425

Muhammad Hasan Yilmiz

Bilkent University, Department of Management, Students ( email )

Ankara
Turkey

Muhammad Mubeen (Contact Author)

IQRA University ( email )

Defence View
Shaheed-e-Millat Road (Ext.)
Karachi, Sindh 75500
Pakistan

Emre Bulut

Bilkent University, Department of Management, Students ( email )

Ankara
Turkey

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
104
Abstract Views
631
Rank
466,166
PlumX Metrics