Estimating Systematic Risk: Case For Borsa Istanbul
The structure of the data set has a great impact on the estimation results. Especially the methods, which are affected by outliers like Ordinary Least Squares OLS , will lead to biased results. For this reason robust estimation techniques are required. To investigate this structure, 237 stocks in B...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Selcuk University Press
2014-02-01
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| Series: | Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi |
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| Online Access: | https://dergipark.org.tr/tr/download/article-file/1724769 |
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| _version_ | 1841562135022272512 |
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| author | Filiz Yeşilyurt Hakan Aygören M.ensar Yeşilyurt |
| author_facet | Filiz Yeşilyurt Hakan Aygören M.ensar Yeşilyurt |
| author_sort | Filiz Yeşilyurt |
| collection | DOAJ |
| description | The structure of the data set has a great impact on the estimation results. Especially the methods, which are affected by outliers like Ordinary Least Squares OLS , will lead to biased results. For this reason robust estimation techniques are required. To investigate this structure, 237 stocks in Borsa Istanbul BIST is estimated using OLS and Least Median Squares LMS method between the years of 2001-2004. Beta coefficients are computed based on OLS and LMS methods using market model. It was found that LMS produce robust results in the presence of multivariate outliers. Especially, in case of the volatile stocks, LMS is one of the appropriate techniques to get robust results |
| format | Article |
| id | doaj-art-f0d7eaaa0f15492e95c12480246f58e8 |
| institution | Kabale University |
| issn | 2667-4750 |
| language | English |
| publishDate | 2014-02-01 |
| publisher | Selcuk University Press |
| record_format | Article |
| series | Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi |
| spelling | doaj-art-f0d7eaaa0f15492e95c12480246f58e82025-01-03T01:13:41ZengSelcuk University PressSelçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi2667-47502014-02-0131185192154Estimating Systematic Risk: Case For Borsa IstanbulFiliz Yeşilyurt0Hakan Aygören1M.ensar Yeşilyurt2Pamukkale ÜniversitesiPamukkale ÜniversitesiPamukkale ÜniversitesiThe structure of the data set has a great impact on the estimation results. Especially the methods, which are affected by outliers like Ordinary Least Squares OLS , will lead to biased results. For this reason robust estimation techniques are required. To investigate this structure, 237 stocks in Borsa Istanbul BIST is estimated using OLS and Least Median Squares LMS method between the years of 2001-2004. Beta coefficients are computed based on OLS and LMS methods using market model. It was found that LMS produce robust results in the presence of multivariate outliers. Especially, in case of the volatile stocks, LMS is one of the appropriate techniques to get robust resultshttps://dergipark.org.tr/tr/download/article-file/1724769ekkemkdirençlibeta katsayısıpiyasa modeliolslmsrobustbeta coefficientcapm |
| spellingShingle | Filiz Yeşilyurt Hakan Aygören M.ensar Yeşilyurt Estimating Systematic Risk: Case For Borsa Istanbul Selçuk Üniversitesi Sosyal Bilimler Enstitüsü Dergisi ekk emk dirençli beta katsayısı piyasa modeli ols lms robust beta coefficient capm |
| title | Estimating Systematic Risk: Case For Borsa Istanbul |
| title_full | Estimating Systematic Risk: Case For Borsa Istanbul |
| title_fullStr | Estimating Systematic Risk: Case For Borsa Istanbul |
| title_full_unstemmed | Estimating Systematic Risk: Case For Borsa Istanbul |
| title_short | Estimating Systematic Risk: Case For Borsa Istanbul |
| title_sort | estimating systematic risk case for borsa istanbul |
| topic | ekk emk dirençli beta katsayısı piyasa modeli ols lms robust beta coefficient capm |
| url | https://dergipark.org.tr/tr/download/article-file/1724769 |
| work_keys_str_mv | AT filizyesilyurt estimatingsystematicriskcaseforborsaistanbul AT hakanaygoren estimatingsystematicriskcaseforborsaistanbul AT mensaryesilyurt estimatingsystematicriskcaseforborsaistanbul |