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Yayın Measurement of market risk premiums: a sectoral analysis on Borsa Istanbul(Institute for Promoting Research & Policy Development (IPRPD), 2023-12) Teker, Dilek; Teker, Suat; Demirel Gümüştepe, EsinThe determination of market risk premium is often a problem for academics and practioners when applying Capital Asset Pricing Model (CAPM). This study intends to measure the market risk premiums (MRP) in the sectors of Borsa Istanbul. The monthly data are extracted from Reuters Database for the period of 2016-2021 for the seventeen sectors of Borsa Istanbul. The whole sampling period is devided into two sub-periods based upon the results of Cusum-Squared test statistics showing a structural break with the Covid-19. The emprical results reveal that the market risk premium on BIST100 is -0.7% with a volatility of 0.3% in the pre-Covid-19 period while the market risk premium on BIST100 is -0.21% with a volatlity of 0.23% post-Covid-19 period. The findings show that a significant increase in market risk premiums and volatilies post-Covid-19 era compared to the pre-Covid era. More, the market risk premiums and their volatilies are estimated by utilizing ARIMA model for the 2022-2024 period. The estimates point even higher market risk premiums and volatilies in the near future.Yayın Mikro ölçekli hisselerde anormal fiyat hareketlerinin LSTM ile tahmini(Institute of Electrical and Electronics Engineers Inc., 2025-08-15) Recal, Füsun; Kayaçetin, Nuri Volkan; Kayahan, İsmailBireysel yatırımcıların karar alma süreçlerinde gözlemlenen aşırı iyimserlik, sürü psikolojisi ve yakın geçmişteki performansa aşırı tepki gibi davranışsal eğilimler dar yatırımcı tabanları ve düşük likiditeleri nedeniyle arbitraj mekanizmasının göreceli olarak zor işlediği mikro ölçekli hisselerin değerlerini makul ekonomik temellerden koparabilir. Bu çalışmada, bu tip davranışsal eğilimlerin hisse fiyatı ve işlem hacmi üzerinde belli örüntüler bırakacağı fikrinden yola çıkılarak, Borsa İstanbul’da işlem gören mikro ölçek hisselerdeki anormal fiyat ayrışmalarını, geçmiş fiyat ve hacim bazlı değişkenler yardımıyla tahmin eden bir LSTM modeli geliştirilmiştir. İncelenen hisselerin yarısından çoğunda modelden elde edilen tahminler gerçekleşen getirilerle pozitif ve istatistiksel olarak anlamlı bir ilişki içindedir. Sonuçlar, mikro ölçekli hisselerdeki fiyat ayrışmalarının geçmiş fiyat ve hacim verisiyle kısmen de olsa açıklanabildiğini göstermektedir.Yayın Elections and stock market returns: evidence from Borsa Istanbul(Marmara Üniversitesi, 2023-06-22) Kayaçetin, Nuri VolkanStock prices may display predictable patterns around major political events, particularly in emerging market economies where political risk is a key component of asset risk premiums. One distinct event that would be expected to result in an abrupt increase in political risk is elections. Motivated by this notion, we study the returns for a set of indicator and sectoral indices of Borsa Istanbul stocks and the U.S. Dollar–Turkish Lira exchange rate around political elections held in Turkey over 2001–2020. Our tests reveal an accumulation of economically and statistically significant positive abnormal returns for all Borsa Istanbul stock indices and negative abnormal returns for the U.S. Dollar–Turkish Lira exchange rate over a window that starts as early as a month before the election date and extends for two weeks into the post-election period, with the effect being particularly strong in the week that immediately follows the election. Consistent with a political risk-based story, volatility of index returns starts increasing over the same period and plateaus out at a level that is roughly one-and-a-half to two-folds greater than its pre-election period average.
