An investigation on the nature of the idiosyncratic risk of stock portfolios

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Tezin Türü: Doktora

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü, Türkiye

Tezin Onay Tarihi: 2018

Öğrenci: BARIŞ KOCAARSLAN

Danışman: UĞUR SOYTAŞ

Özet:

In this study, based on sound economic theories, two economic transmission channels are identified to investigate the impacts of changes in funding liquidity conditions in interbank loan markets and the reserve currency (US dollar) value on the idiosyncratic portfolio-level risks. Controlling for business cycles, we find that a deterioration in funding liquidity conditions increases the idiosyncratic risk of high-risk portfolios more than that of less risky portfolios. This increase is stronger when the idiosyncratic risks contain uncertainty information about major financial and commodity markets. Furthermore, similar to this finding, the idiosyncratic risk of portfolios (especially the high-risk ones) is considerably enhanced by the increases in US dollar value against major foreign currencies when uncertainty about the major markets is taken into consideration.