Does Idiosyncratic Volatility Matter in the Emerging Markets? Istanbul Stock Exchange Evidence
Bibliographic Data
| ID | 15068418 |
|---|---|
| Authors | Fazıl Gökgöz (0000-0002-9228-7699, Centralne Laboratorium Kryminalistyczne Policji, corresponding author), Gökgöz Fazil, Altintaş İpek |
| Year | 2013 |
| Volume | 26 |
| Issue | 3 |
| Pages | 133-150 |
| Publication date | 2013-01-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2013.11517626 |
| OpenAlex | W568153932 |
| Language | EN |
| Citations received | 2 |
| References cited | 13 |
In finance literature, Capital Asset Pricing Model predict only systematic risk is priced in equilibrium and neglect firm specific (idiosyncratic) risk which can be eliminated by diversification. However in real world investors, who are disable to diversify their portfolios, should take into consideration idiosyncratic risk beside of systematic risk in prediction of expected return. In this article, we examine real market conditions in Istanbul Stock Exchange (ISE), an emerging market stock exchange, over the period 2007:01 to 2010:12 by studying market wide and idiosyncratic volatility following the methodology of Campbell et al.(2001). Our findings suggest that, in 2007-2010 period, idiosyncratic volatility is the biggest component of total volatility and shows no trend in this period. Beside that our analyses about the predictive ability of various measures of idiosyncratic risk provide evidence that idiosyncratic volatility is not a significant predictor for future return
Business · Capital asset pricing model · Capital market · Economics · Emerging markets · Financial economics · Monetary economics · Stock exchange · Systematic risk · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Finance
The relationship between return and market value of common stocks
Common risk factors in the returns on stocks and bonds
Expected stock returns and volatility
Testing for a unit root in time series regression
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns
| Citations per year | 0.67 |
|---|---|
| Citation span | 2023 - 2024 (2) |
| Highly cited | No |