Efficiency of the Turkish Stock Exchange with respect to monetary variables: a cointegration analysis

Article Abstract:

The long run relationship between stock prices and inflation in the Turkish Stock Exchange including the short run dynamics in an emerging market environment, assuming the proxy hypothesis, is examined. Findings reveal that the negative relation between stock prices and inflation remains even when other monetary variables are introduced. The absence of proxy effect is caused by the positive relation between stock prices and real money balances. Monetary expansion is effective on stock returns in both the short and long term investment horizons in nominal and real terms respectively.

Economic aspects, Prices and rates, Stocks, Developing countries, Turkey, Stock prices

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Handling missing prices in a thinly traded stock market: implications for the specification of event study methods

Article Abstract:

A simulation approach considers the effect of thin trading to the specification of the event study measures and indicate that there are distinct variations in the characteristics of the returns generated by the alternative procedures for managing handling prices. The growth in difference of the event period should be taken into consideration when calculating standard deviations. The characteristics of the returns evaluated with alternative procedures for handling missing prices and their effect on the specification of the event study methods is analyzed.

Methods, Usage, Simulation methods, Simulation

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Variance vs downside risk: is there really that much difference?

Article Abstract:

The similarities and differences of a mean-downside risk method and the mean-variance approach were identified and evaluated using data from selected asset allocation portfolios. Data, taken from empirical and theoretical aspect of the two methods, showed that there is an average tendency to produce higher bond allocations in the downside risk method compared to results from the mean-variance method. The bigger difference in the downside risk approach implies more risks and need for further research on the area.

Portfolio Management, Models, Risk management

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