{"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 , Önder Uzkaralar , 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":null,"pages":null},"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 , Önder Uzkaralar , 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\":null,\"pages\":null},\"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}
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.
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