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Macroeconomic Factors and Stock Return: Evidence from Istanbul Stock Exchange 'ise'
Nil G. Resatoglu
Macroeconomic Factors and Stock Return: Evidence from Istanbul Stock Exchange 'ise'
Nil G. Resatoglu
The Arbitrage Pricing Theory (APT), Does it Works? The empirical applicability of the APT in pricing the Istanbul Stock Exchange (ISE) been analysed, to identify the set of macroeconomic variables which correspond most closely with the stock market factors. Six macroeconomic variables were developed to price the stock of (ISE) Turkey which are the term structure of interest rate, unanticipated inflation, risk premium, exchange rate, money supply (M1), and unemployment rate. Monthly data for total 193 stocks from all sectors of (ISE) were classified to 13 portfolios. The period analysed spans from January 2001 to September 2005 and the effects of the chosen macroeconomic variable were investigated.
Media | Books Paperback Book (Book with soft cover and glued back) |
Released | May 9, 2012 |
ISBN13 | 9783659122934 |
Publishers | LAP LAMBERT Academic Publishing |
Pages | 104 |
Dimensions | 150 × 6 × 225 mm · 163 g |
Language | English |
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