Naghiyev, Naghi;
(2023)
Essays on Turkish Equity Market.
Doctoral thesis (Ph.D), UCL (University College London).
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Abstract
on the Turkish Equity Market is a critical examination of dynamic properties of the price formation in the Turkish equity market. Chapter 1 examines the evidence of a weak-form efficiency of the Turkish equity market (TEM). A wide range of equity indexes and statistical tests, such as autocorrelation, stationarity, unit root, and variance ratio tests and estimation of the GARCH-In-Mean model, are employed to examine the random walk and martingale hypothesis in TEM. The results are effectively uniform and provide little supporting evidence regarding TEM's weak-form market efficiency hypothesis. Chapter 2 makes a significant contribution to understanding the time-varying efficiency of TEM. We examine the validity and persistence of the size effect in the cross-section of Turkish equity returns while correcting for the effects of noisy prices using the buy-and-hold method implemented in the literature. The size effect for the overall sample period of 18 years is consistent with the estimates for developed markets but, as expected, becomes statistically insignificant when the biases in computed returns are alleviated by calculating the buy-and-hold and risk-adjusted returns. Chapter 3 is a novel attempt to re-examine the time-varying efficiency of TEM, particularly using a natural experiment recently presented when Turkey faced the potential downgrade by MSCI from the emerging to the frontier market status in 2020. Turkey is similar to other emerging markets going through reversals in the degree of integration with the rest of the world. The decrease in the Turkey market betas from the historical highs is unlikely to signal a decrease in exposure to systematic risk and is more likely to be related to a prolonged decline in the market sentiment and a significant decrease in the degree of TEM integration. We also illustrate the likely effect of institutional investment flow on market betas of listed equities.
| Type: | Thesis (Doctoral) |
|---|---|
| Qualification: | Ph.D |
| Title: | Essays on Turkish Equity Market |
| Open access status: | An open access version is available from UCL Discovery |
| Language: | English |
| Additional information: | Copyright © The Author 2022. Original content in this thesis is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International (CC BY-NC 4.0) Licence (https://creativecommons.org/licenses/by-nc/4.0/). Any third-party copyright material present remains the property of its respective owner(s) and is licensed under its existing terms. Access may initially be restricted at the author’s request. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL SLASH UCL > Provost and Vice Provost Offices > UCL SLASH > SSEES |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10168830 |
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