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İMKB Betaları, Korelasyon Tahmini ve Değişkenlik = IMKB Betas, Correlation and Variability

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Author(s): Mehmet Fuat BEYAZIT | Mehmet Fuat BEYAZIT | Mehmet Fuat BEYAZIT | Mehmet Fuat BEYAZIT

Journal: Dogus University Journal
ISSN 1302-6739

Volume: 6;
Issue: 1;
Start page: 28;
Date: 2005;
Original page

Keywords: IMKB Hisse senedi pazarı | Beta | Ortalama beta | Blume tekniği | Vasicek tekniği | Ortalama mutlak hata | Geçiş matrisi | Turkish stock market | Beta | Average beta | Blume technique | Vasicek technique | Average absolute error | Transition matrix

ABSTRACT
Betas of 46 IMKB companies are computed and adjusted according to Blume and Vasicek techniques. Then using the historical and adjusted betas, correlation coefficients of the stocks are calculated. The method which gives the minimum average absolute error between the correlation coefficients is searched. It is shown that in spite of the periodical changes the overall mean correlation coefficient outperforms the other methods in terms of average absolute error. In order to test the variability of beta coefficients with 12 months data length, a transition matrix is used and shown that the risk class of the stocks change frequently between the period examined.

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