An examination of betas for Borsa İstanbul

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Tezin Türü: Yüksek Lisans

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

Tezin Onay Tarihi: 2016

Öğrenci: ONUR KOCA

Danışman: ADİL ORAN

Özet:

This study aims to investigate the Betas, which is called as systematic risk and introduced by Capital Asset Pricing Model (CAPM), of stocks traded in Borsa Istanbul (BIST). Issues about Beta have been examined for many years and mainly focus on its estimation and stability. These topics set up the core of this thesis. The closing prices of 203 eligible stocks between 2005 and 2015 are used in the work and data is collected from Thomson Reuters. The estimation of Beta is performed in four different methods, three return intervals, five periods of estimation and logarithmic returns and all calculations are done by using Eviews. The findings indicate that the market betas differ with respect to methods, return intervals, estimation lengths. Moreover, the market beta is estimated as lower than one as its theoretical value. This study provides evidence to instability of beta. Finally, the forecast performances of betas from different methods are compared.