非同步风险和市场波动:收益的威胁还是机遇?伊斯坦布尔证券交易所股票研究

IF 6.3 2区 经济学 Q1 BUSINESS, FINANCE
Salih Çam , Önder Uzkaralar , Metin Borak
{"title":"非同步风险和市场波动:收益的威胁还是机遇?伊斯坦布尔证券交易所股票研究","authors":"Salih Çam ,&nbsp;Önder Uzkaralar ,&nbsp;Metin Borak","doi":"10.1016/j.bir.2024.04.001","DOIUrl":null,"url":null,"abstract":"<div><p>This study investigates the relationship between idiosyncratic risk, market volatility, and stock returns for companies traded on the Borsa Istanbul. The analysis calculates idiosyncratic risk and market volatility and estimates the coefficients using cross-sectional and panel data approaches. The GARCH and EGARCH models are used to calculate market volatility, while idiosyncratic risk is measured using the Capital Asset Pricing Model, and three-factor, four-factor, and five-factor models. We run the Fama-MacBeth regression to investigate the cross-sectional relationship between idiosyncratic risk, market volatility, and stock returns and the Arellano-Bover/Blundell-Bond panel regression technique to unveil firm-specific effects. The estimated coefficients demonstrate a positive relationship between idiosyncratic risk and stock returns and a negative relationship between market volatility and stock returns. Furthermore, the findings suggest that larger firm size, higher trading volume, higher market returns, and higher book-to-market ratios have positive effects, while beta and corporate governance indices have negative effects on returns.</p></div>","PeriodicalId":46690,"journal":{"name":"Borsa Istanbul Review","volume":"24 4","pages":"Pages 698-709"},"PeriodicalIF":6.3000,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2214845024000541/pdfft?md5=94a5f000b4088ec7143fa569ebe9b088&pid=1-s2.0-S2214845024000541-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Idiosyncratic risk and market volatility: Threat or opportunity for returns? A study of Borsa Istanbul stocks\",\"authors\":\"Salih Çam ,&nbsp;Önder Uzkaralar ,&nbsp;Metin Borak\",\"doi\":\"10.1016/j.bir.2024.04.001\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This study investigates the relationship between idiosyncratic risk, market volatility, and stock returns for companies traded on the Borsa Istanbul. The analysis calculates idiosyncratic risk and market volatility and estimates the coefficients using cross-sectional and panel data approaches. The GARCH and EGARCH models are used to calculate market volatility, while idiosyncratic risk is measured using the Capital Asset Pricing Model, and three-factor, four-factor, and five-factor models. We run the Fama-MacBeth regression to investigate the cross-sectional relationship between idiosyncratic risk, market volatility, and stock returns and the Arellano-Bover/Blundell-Bond panel regression technique to unveil firm-specific effects. The estimated coefficients demonstrate a positive relationship between idiosyncratic risk and stock returns and a negative relationship between market volatility and stock returns. Furthermore, the findings suggest that larger firm size, higher trading volume, higher market returns, and higher book-to-market ratios have positive effects, while beta and corporate governance indices have negative effects on returns.</p></div>\",\"PeriodicalId\":46690,\"journal\":{\"name\":\"Borsa Istanbul Review\",\"volume\":\"24 4\",\"pages\":\"Pages 698-709\"},\"PeriodicalIF\":6.3000,\"publicationDate\":\"2024-07-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S2214845024000541/pdfft?md5=94a5f000b4088ec7143fa569ebe9b088&pid=1-s2.0-S2214845024000541-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Borsa Istanbul Review\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2214845024000541\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Borsa Istanbul Review","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2214845024000541","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0

摘要

本研究调查了在伊斯坦布尔证券交易所(Borsa Istanbul)交易的公司的特异性风险、市场波动性和股票回报率之间的关系。分析计算了特异性风险和市场波动性,并使用横截面和面板数据方法估计了系数。GARCH 和 EGARCH 模型用于计算市场波动率,而特异性风险则使用资本资产定价模型以及三因子、四因子和五因子模型来衡量。我们使用 Fama-MacBeth 回归法来研究特质风险、市场波动性和股票回报率之间的横截面关系,并使用 Arellano-Bover/Blundell-Bond 面板回归技术来揭示公司的特定效应。估计系数表明,特质风险与股票回报率之间存在正相关关系,而市场波动与股票回报率之间存在负相关关系。此外,研究结果表明,较大的公司规模、较高的交易量、较高的市场回报率和较高的账面市值比会产生积极影响,而贝塔系数和公司治理指数则会对回报率产生消极影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Idiosyncratic risk and market volatility: Threat or opportunity for returns? A study of Borsa Istanbul stocks

This study investigates the relationship between idiosyncratic risk, market volatility, and stock returns for companies traded on the Borsa Istanbul. The analysis calculates idiosyncratic risk and market volatility and estimates the coefficients using cross-sectional and panel data approaches. The GARCH and EGARCH models are used to calculate market volatility, while idiosyncratic risk is measured using the Capital Asset Pricing Model, and three-factor, four-factor, and five-factor models. We run the Fama-MacBeth regression to investigate the cross-sectional relationship between idiosyncratic risk, market volatility, and stock returns and the Arellano-Bover/Blundell-Bond panel regression technique to unveil firm-specific effects. The estimated coefficients demonstrate a positive relationship between idiosyncratic risk and stock returns and a negative relationship between market volatility and stock returns. Furthermore, the findings suggest that larger firm size, higher trading volume, higher market returns, and higher book-to-market ratios have positive effects, while beta and corporate governance indices have negative effects on returns.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
7.60
自引率
3.80%
发文量
130
审稿时长
26 days
期刊介绍: Peer Review under the responsibility of Borsa İstanbul Anonim Sirketi. Borsa İstanbul Review provides a scholarly platform for empirical financial studies including but not limited to financial markets and institutions, financial economics, investor behavior, financial centers and market structures, corporate finance, recent economic and financial trends. Micro and macro data applications and comparative studies are welcome. Country coverage includes advanced, emerging and developing economies. In particular, we would like to publish empirical papers with significant policy implications and encourage submissions in the following areas: Research Topics: • Investments and Portfolio Management • Behavioral Finance • Financial Markets and Institutions • Market Microstructure • Islamic Finance • Financial Risk Management • Valuation • Capital Markets Governance • Financial Regulations
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信