Purpose -The aim of this work is to pinpoint the association between stock retuns and financial dynamics, market dynamics and regional and firm-specific uncertainties. While dividend yield, P/E, EV/EBITDA, P/B, Investment Ratio, Leverage, Intangible Assets, Topline Growth, Country Risk, Standard Deviation, Geopolitical Uncertainties, and Liquidity are taken into consideration as factors affecting stock returuns, lagged value of dependent variable is also accepted as independent variable. Methodology-All the equations are figured out by Generalized Method of Moments (GMM) while 2.549 data of 204 companies from 24 sectors traded at BİST between 1998-2014 are used in the study. Findings-According to the outcomes of the model, the rise in Expected Dividend Yield, Investment Ratio, Sales Growth and Liquidity influence positively stock returns, whereas the uptrend in geopolitical risks, country risks, company specific risks and intangible investments affect the stock returns negatively. The decline in P/E and EV/EBITDA increases stock returns. Conclusion-In addition to the increase in net profit, investment, dividend and sales, firms can ramp up their corporate value by using liquidity provider operations and augmenting free float ratios, and they can leverage the value in their operational activities. Also, while investors pay close attention to P/E and EV/EBITDA multiples simultaneously, investment maturity of them are about 1 year.
There has been a rise in recent studies on behavioral finance. According to Fama (1970) all information is priced, so it cannot be said about the undervalued stock. However, behavioral finance asserts that there are many anomalies in the market. The effects of days of the week, January effect and religious days on the returns and volatility of the stock markets were examined in the literature. In the case of Turkey, aforementioned anomalies are tested using returns and volatility of BIST100 and KAT30 indices. As a result, days of the week, January effect and Ramadan effect have no any effect on returns and volatility of both conventional and unconventional stock indices. The result has strengthened the assumption that Turkish market is more efficient in this sense and in line with Fama's EMH. It has been observed that timing does not have a significant effect on the strategies of Turkish investor.
2017 yılında Bitcoin'in piyasa değerinde önemli bir artış yaşanmış ve 200 milyar dolar seviyesi aşılarak Bitcoin kurumsal yatırımcıların gündemine gelmeye başlamıştır. CME ve CBOE gibi dünyanın en büyük vadeli işlem borsaları Bitcoin'i listelerken Microsoft, PWC ve Overstock gibi kurumlar Bitcoin'i tanımlamaya başlamışlardır. Bitcoin'in bir yatırım aracı olarak görülebilmesi için bazı şartlar gereklidir. Verimli bir piyasada işlem görmesi, fiyatlama formasyonunun belirginleşmesi ve portföyler için bir çeşitlendirme aracı olabilmesi bunlardan bazıları olarak görülebilir. Ana akım varlık grupları ile Bitcoin arasındaki uzun vadeli ilişkiyi Johansen Eşbütünleşme testi ile inceleyen çalışma sonuçlarına göre Bitcoin'in altın haricinde diğer geleneksel finansal ve emtia varlıklarından bağımsız bir hareket gösterdiği ortaya çıkmıştır. Bitcoin'in söz konusu bağımsız hareketi Bitconomi olarak tanımlanırken bu durum mikro seviyede riskli bir varlığın makro anlamda portföylerin riskini düşürebileceği anlamına gelmektedir. Finansal sistemde çok küçük bir alanı işgal etmesi ve Bitcoin üretimindeki zorluk derecesinin klasik ekonomi ile çelişmesi korelasyonun anlamsız olmasının nedenleri arasında gösterilebilir. Kuzey Kore ve Ukrayna gerilimlerinde Bitcoin fiyatındaki artışlar ve altın ile Bitcoin arasındaki uzun vadeli pozitif ilişki yüksek varyansı nedeniyle eleştirilen Bitcoin'in gelecekte güvenli liman olabileceği gibi ilginç bir ironiye işaret etmektedir. Literatürdeki çalışmalar her geçen yıl Bitcoin'in varyansının gerilediğini göstermektedir.
Lehman Brothers slump was taken as base point and changes in pricing mechanisms of BIST100, MSCI EM and Dow Jones were tried to be understood before and after crisis. While daily closed data was used, VAR, Impulse Response, Variance Decomposition and Granger Causality tests were used. According to results, Turkish markets are weaker than other developing countries and react more quickly to negative developments and Dow Jones returns have more explanatory power over BIST100 returns with respect to MSCI EM in pre---crisis period. In post---crisis period, volatility of Turkish markets decreased much more than other developing countries due to inherent growth dynamics. In addition, the influence of MSCI EM in pre---crisis period over Dow Jones is not effective, but in post---crisis period has become more effective. This can be regarded as a sign of an increase in dominance of developing countries in global economies in post---crisis period.
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