Testing BIST for Equity Return Anomalies using ARDL Model

İşletme Araştırmaları Dergisi

卷:13

关键词: financial anomaly;    volatility;    stock market;    bist;    ardl;   

DOI  :  10.20491/isarder.2021-1122

来源: DOAJ

【 摘 要 】

Purpose – This study analyzes the Borsa İstanbul against equity return anomalies. With thispurpose, the role of key financial stability indicators on long and short-term volatility movementsin Borsa Istanbul has been tested.Design/methodology/approach – The model used in the study attempts to explain the volatility instock prices using Return on Equity, Equity Ratio, and Net forex position over net income. ZivotAndrews and ARDL bounds tests have been conducted on the series and cointegration relationshipsbetween all of the companies are detected. Following this, long term ARDL models and Errorcorrection models have been implemented on each of the series. The data set used in the study coversthe period between 2000Q3-2019Q4 at the quarterly frequency. 5 companies are selected out of theBIST100 index with the highest price maturity, excluding the financial institutions.Findings – Results of the study indicate that both Return on Equity and Equity Ratio havestatistically significant, inverse relationships with the analyzed companies both long and in shortterm. However, for the companies used in the study, the net forex position had no significant effect.Discussion – As the majority of the stock price volatilities are affected negatively by the equityreturn factors, the findings of the study reject the existence of a market-wide equity return anomalyin the Turkish stock market. However, the net forex position is one of the most significant risk factorsfor the Turkish firms and as findings indicate, it is alarming that it plays no part at all in theinvestment decisions.

【 授权许可】

Unknown