Akademik Veri Yönetim Sistemi
Investment Management and Financial Innovations, cilt.4, sa.4, ss.37-48, 2007 (Scopus)
This paper investigates the validity of the relationship between beta and return, for stocks traded in Istanbul Stock Exchange (ISE). In order to find out whether there are relationships between beta coefficients and stock returns, three extreme shocks to the market (a disastrous earthquake, a political crisis leading to financial turmoil, a brutal terrorist attack) are chosen and five regression models, reflecting the abrupt single day falls and recoveries, are estimated. In order to come to a sound conclusion about the relationship between beta and return ten additional regression models are estimated for the five largest ups and five largest downs in the index during the history of Istanbul Stock Exchange. The relationships between beta and return in ISE within the framework of extreme single day returns pose opportunities for the investor to hedge systematic risk or to generate excess returns. Empirical findings suggest that beta is remarkably valid, within the framework of extreme single day retuns, in reflecting the systematic risk of stocks in ISE.