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THE EFFECT OF MACROECONOMIC FACTORS ON ASSET RETURNS: A COMPARATIVE ANALYSIS OF THE GERMAN AND THE TURKISH STOCK MARKETS IN AN APT FRAMEVVORK

Year 2005, Volume: 6 Issue: 23, 217 - 237, 10.01.2005

Abstract

This paper uses factor analytic techniques for deriviııg factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of macroeconomic factors on asset retunıs in an APT framework. The factor structure of the German economy yields four factors, whereas the Turkish economy has only three factors even though the same economic indicators are employed in the factor analysis and principle compoııents analysis procedures. In order to test the effect of factors on asset returns, factor beta coefficients are estimated. We found some evidence of the unexpected interest rate factor beta coefficient and the unexpected inflation factor beta coefficient haviııg statistically significant effects on asset returns of the German Stock Market. But we were not able to find any uııexpected macroeconomic factor beta with a significant iııfluence on asset returns in the Turkish Stock Market.

References

  • [1] Ross.S. (1976). The Arbitrage Theory of Capital Market Asset Pricing. Journal of Econonıic Theory, 13, pp.341- 360.
  • [2] Ross,S. (1977). Risk, Return and Arbitrage. Risk and Return in Finance I. (Eds. Friend, I., & Bicksler, J.). Cambridge: Balliner.
  • [3] Sharpe, W.F. (1964). Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance, 19, pp.425-442.
  • [4] Lintner, J. (1965). The Valuation of Risk Assets and Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47, pp. 13-37.
  • [5] Mossin, J. (1966). Equilibrium in a Capital Market. Econometrica, 34, pp.768-783.
  • [6] Huberman, G. (1982). A Simple Approach to Arbitrage Pricing Theory. Journal of Economic Theory, 28, pp. 183- 191.
  • [7] Chamberlain, G., & Rothschild, M. (1983). Arbitrage, Factor Structure, Mean-Variance Analysis and Large Asset Market. Econometrica, 51, pp.1281-1304.
  • [8] Reinganum, M. (1981). The Arbitrage Pricing Theory: Some Empirical Results. The Journal of Finance, 37, pp.1037-1042.
  • [9] Jobson, O.J. (1982). A Multivariate Linear Regression Test for The Arbitrage Pricing Theory. The Journal of Finance, 37, pp. 1037-1042.
  • [10] Shanken, J. (1982). The Arbitrage Pricing Theory: Is It Testable? The Journal of Finance, 37, pp.77-102.
  • [11] Brown, S.J., & Weinstein, M.I. (1983). A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm. The Journal of Finance, 38, pp.711-744.
  • [12] Chamberlain, G. (1983). Funds, Factors and Diversifıcation in Arbitrage Pricing Models. Econometrica, 51, pp. 1305-1323.
  • [13] Chen, N. (1983). Some Empirical Tests of the Theory of Arbitrage Pricing. The Journal of Finance, 38, pp.l 393- 1414.
  • [14] Stambaugh, R.F. (1983). Arbitrage Pricing with information. Journal of Financial Economics, 12, pp.357- 370.
  • [15] Dhrymes, P.J., Friend, I., & Gultekin, N.B. (1984). A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory. The Journal of Finance, 39, pp.323-346.
  • [16] Cho, D.C., Elton, E.J., & Gruber, M.J. (1984). On the Robustness of the Roll and Ross Arbitrage Pricing Theory. Journal of Financial and Quantitative Analysis, 19, pp.l- 10.
  • [17] Ingersoll, J.E. (1984). Some Results in the Theory of Arbitrage Pricing. The Journal of Finance, 39, pp.1021- 1039.
  • [18] Chen, N.F., Roll, R., & Ross, S. (1986). Economic Forces and the Stock Market. Journal of Business, 59, pp.383- 403.
  • [19] Connor, G., & Korajczk, R.A. (1986). Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis. Journal of Financial Economics, 15, pp.373-394.
  • [20] Burmeister, E., & McElroy, M.B. (1988). Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory, The Journal of Finance, 43, pp.721-735.
  • [21] Tiemann, J. (1988). Exact Arbitrage Pricing and The Minimum-Variance Frontier. The Journal of Finance, 43, pp.327-338.
  • [22] Lehman, B.N., & Modest, D.M. (1988). The Empirical Foundations of the Arbitrage Pricing Theory. Journal of Financial Economics, 21, pp.213-254.
  • [23] Ferson, W.E., & Harvey, C.R. (1991).The Variation of Economic Risk Premiums. Journal of Political Economy, 99, pp.385-415.
  • [24] Meı, J. (1993). A Semıautoregression Approach to the Arbitrage Pricing Theory. The Journal of Finance, 48, pp.599-620.
  • [25] Brennan, M., Chordia, T., & Subrahmanyam, A. (1998). Alternative Factor Specifıcations, Security Characteristics and the Cross-section of Expected Stock Returns. Journal of Financial Economics, 49, pp.345-373.
  • [26] Gibbons, M.R. (1982). Multivariate Tests of Financial Models. Journal of Financial Economics, 10, pp.3-27.
  • [27] MacKinlay, A.C. (1987). On Multivariate Tests of the CAPM. Journal of Financial Economics, 18, pp.341-371.
  • [28] Lakonishok, J., & Shapiro, A.C. (1986). Systematic Risk, Total Risk and Size as Determinants of Stock Market Returns. Journal of Banking and Finance, 10, pp.l 15-132.
  • [29] Coggin, T.D., & Hunter, J.E. (1985). Are High-Beta, Large Capitalization Stocks Overpriced? Financial Analysts Journal, 41, pp.70-71.
  • [30] Fama, E.F., & French, K.R. (1992). The Cross-section of Expected Stock Returns. Journal of Finance, 47, pp.427- 466.
  • [31] Roll, R. (1977). A Critique of the Asset Pricing Theories’ Tests, Part 1: On Past and Potential Testability of the Theory. Journal of Financial Economics, 4, pp.129-176.
  • [32] Chan, K.C., Chen, N.F., & Hsieh, D.A. (1985). An Exploratory Investigation of the Firm Size Effect. Journal of Financial Economics, 14, s.451-471.
  • [33] Burmeister, E., & Wall, K.D. (1986). The Arbitrage Pricing Theory and Macroeconomic Factor Measures. The financial review, 21, pp.l-20.
  • [34] Beenstock, M., & Chan, K.F. (1988). Economic Forces in the London Stock Market. Oxford Büfletin of Economics and Statistics, 50, pp.27-39.
  • [35] Chang, E.C., & Pinegar, J.M. (1990). Stock Market Seasonals and Prespecified Multifactor Pricing Relations. Journal of Financial and Quantitative Analysis, 25, pp.517- 533.
  • [36] Kryzanowski, L., & Zang, H. (1992). Economic Forces and Seasonality in Security Returns. Review of Quantitative Finance and Accouııting, 2, pp.227-244.
  • [37] Chen, S.J., & Jordan, B.D. (1993). Some Empirical Tests of the Arbitrage Pricing Theory: Macro variables vs. Derived Factors. Journal of Banking and Finance, 17, pp.65-89.
  • [38] Rahman, S., Coggin, T.D., & Lee, C.F. (1998). Some Tests of the Risk-Return Relationship Using Alternative Pricing Models and Observed Expected Returns. Review of Finance and Accouııting, 11, pp.69-91.
  • [39] Roll, R., & Ross, S.A. (1980). An Empirical Investigation of the Arbitrage Pricing Theory. The Journal of Finance, 35, pp. 1073-1103.
  • [40] Dhrymes, P.J., Friend, I., Gültekin, M.N., & Gültekin, N.B. (1985). New Tests of the APT and Their Implications. The Journal of Finance, 40, pp.659-675.
  • [41] Winkelmann, M. (1984), Aktieııbewertung in Deutschland. Königstein/Ts: Hain.
  • [42] Peters, H.W. (1987). Kapitalmarkttheorie und Aktienmarktanalyse, Frankfurt: Peter Lang.
  • [43] Frantzman, H.J. (1989). Saisoııalitaten und Bewertung an Deutschen Aktien- uııd Rentenmarkt. Frankfurt: Fritz Knapp Verlag.
  • [44] Verlerger, A. (1993), Risikostrukturen anı Deutschen Aktienmarkt. Münster: Lit Verlag.
  • [45] Sauer, A. (1994), Faktormodelle und Bewertung aın Deutschen Aktienmarkt. Frankfurt: Fritz Knapp Verlag.
  • [46] Adelberger.O.L., & Lockert G. (1999). An Investigation into the Number of Factors Generating German Stock Returns. Empirical Research on the German Capital Market. (Eds.: Wolfgang, B., Hax, H., & Schmidt, R.). Heidelberg: Physica-Verlag.
  • [47] Özcam, M. (1997). Varlik Fiyatlama Modelleri Aracılığıyla Dinamik Portföy Yönetimi. Sermaye Piyasası Yayın Kurulu Yayın No: 104. Ankara
  • [48] Altay, E. (2001). Varlık Fiyatlama Modelleri: FVFM ve APT ve İMKB’de Uygulaması. İstanbul University, Social Sciences Institute. Unpublished Doctorate Thesis.
  • [49] Cheng, A.C.S. (1995). The UK Stock Market and Economic Factors: A New Approach. Journal of Business, Finance and Accounting, 22, pp.l29-142.
  • [50] Fama, E.F., & MacBeth, J.D. (1973). Risk, Return and Equilibrium: Empirical Tests. Journal of Political Economy,.81, pp.607-636.
  • [51] Connor, G. (1984). A Unified Beta Pricing Theory. Journal of Economic Theory, 34, pp. 13-31.
  • [52] Connor,G., & Korajczk, R.A. (1988). Risk and Return in an Equilibrium APT: Application of a New Test Methodology. Journal of Financial Economics, 21, pp.255-289.
  • [53] McCulloch, R., & Rossi, P.E. (1990). Posterior, Predictive and Utility-based Approaches to Testing the Arbitrage Pricing Theory. Journal of Financial Economics, 28, pp.7- 38.
  • [54] Ferson, W.E., & Korajczk, R.A. (1995). Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? Journal of Business, 68, pp.309-349.
  • [55] Elton, E. (1999). Expected Return, Realized Return, and Asset Pricing Tests. The Journal ofFirıance, 54, pp.l 199- 1220.
  • [56] Pastor, L., & Stambaugh, R. (1999). Cost of Equity Capital and Model Mispricing. The Journal of Finance, 54, pp.67-121.
  • [57] Jagannathan, R., & Ma, T. (2001). Risk Reduction in Large Portfolios: A Role for Portfolio Weight Constraints. Unpublished Workiııg Paper.
  • [58] Shanken, J. (1992). On the Estimation of Beta-Pricing Models. Review of Financial Studies, 5, pp.1-34.
  • [59] Artis, M., Banerjee, A. & Marcellino, M. (2001). Factor Forecasts for the UK. Unpublished Working Paper.
  • [60] Cagnetti, A. (2002). Capital Asset Pricing Model and Arbitrage Pricing Theory in the Italian Stock Market: An Empirical Study. Unpublished Working Paper.

THE EFFECT OF MACROECONOMIC FACTORS ON ASSET RETURNS: A COMPARATIVE ANALYSIS OF THE GERMAN AND THE TURKISH STOCK MARKETS IN AN APT FRAMEVVORK FAKTÖRLERİN VARLIK GETİRİ ORANLARI ÜZERİNDEKİ ETKİSİ: AFT ÇERÇEVESİNDE ALMAN ve TÜRK SERMAYE PİYASALARININ KARŞILAŞTIRMALI ANALİZİ

Year 2005, Volume: 6 Issue: 23, 217 - 237, 10.01.2005

Abstract

This paper uses factor analytic techniques for deriviııg factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of macroeconomic factors on asset retunıs in an APT framework. The factor structure of the German economy yields four factors, whereas the Turkish economy has only three factors even though the same economic indicators are employed in the factor analysis and principle compoııents analysis procedures. In order to test the effect of factors on asset returns, factor beta coefficients are estimated. We found some evidence of the unexpected interest rate factor beta coefficient and the unexpected inflation factor beta coefficient haviııg statistically significant effects on asset returns of the German Stock Market. But we were not able to find any uııexpected macroeconomic factor beta with a significant iııfluence on asset returns in the Turkish Stock Market.Bu çalışmada, Alman ve Türk sermaye piyasalarında makroekonomik faktörlerin varlık getiri oranları üzerindeki etkisi Arbitraj Fiyatlama Teorisi çerçevesinde karşılaştırmalı olarak incelenmiş ve test edilmiştir. Söz konusu makroekonomik faktörlerin türetilmesinde faktör analizi teknikleri kullanılmıştır. Her iki ülke için de aynı ekonomik göstergeler asal bileşenler ve maksimum olabilirlik faktör analizlerine tabi tutulduğu halde bu değişkenlerden türetilen faktörlerin sayısı Alman ekonomisi için dört, Türk ekonomisi için ise üç olarak tespit edilmiştir. Bu faktörlerin varlık fiyatları üzerindeki etkilerinin test edilmesi için tahmin edilen faktör betalarından elde edilen sonuçlar ise Alman sermaye piyasasında beklenmeyen faiz oranı ve beklenmeyen enflasyon faktörlerine ait beta katsayılarının varlık getiri oranları üzerinde istatistiksel olarak anlamlı etkilerinin olduğunu göstermektedir. Buna karşın Türk sermaye piyasasında böyle bir etkiye rastlanamamıştır.

References

  • [1] Ross.S. (1976). The Arbitrage Theory of Capital Market Asset Pricing. Journal of Econonıic Theory, 13, pp.341- 360.
  • [2] Ross,S. (1977). Risk, Return and Arbitrage. Risk and Return in Finance I. (Eds. Friend, I., & Bicksler, J.). Cambridge: Balliner.
  • [3] Sharpe, W.F. (1964). Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk. Journal of Finance, 19, pp.425-442.
  • [4] Lintner, J. (1965). The Valuation of Risk Assets and Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47, pp. 13-37.
  • [5] Mossin, J. (1966). Equilibrium in a Capital Market. Econometrica, 34, pp.768-783.
  • [6] Huberman, G. (1982). A Simple Approach to Arbitrage Pricing Theory. Journal of Economic Theory, 28, pp. 183- 191.
  • [7] Chamberlain, G., & Rothschild, M. (1983). Arbitrage, Factor Structure, Mean-Variance Analysis and Large Asset Market. Econometrica, 51, pp.1281-1304.
  • [8] Reinganum, M. (1981). The Arbitrage Pricing Theory: Some Empirical Results. The Journal of Finance, 37, pp.1037-1042.
  • [9] Jobson, O.J. (1982). A Multivariate Linear Regression Test for The Arbitrage Pricing Theory. The Journal of Finance, 37, pp. 1037-1042.
  • [10] Shanken, J. (1982). The Arbitrage Pricing Theory: Is It Testable? The Journal of Finance, 37, pp.77-102.
  • [11] Brown, S.J., & Weinstein, M.I. (1983). A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm. The Journal of Finance, 38, pp.711-744.
  • [12] Chamberlain, G. (1983). Funds, Factors and Diversifıcation in Arbitrage Pricing Models. Econometrica, 51, pp. 1305-1323.
  • [13] Chen, N. (1983). Some Empirical Tests of the Theory of Arbitrage Pricing. The Journal of Finance, 38, pp.l 393- 1414.
  • [14] Stambaugh, R.F. (1983). Arbitrage Pricing with information. Journal of Financial Economics, 12, pp.357- 370.
  • [15] Dhrymes, P.J., Friend, I., & Gultekin, N.B. (1984). A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory. The Journal of Finance, 39, pp.323-346.
  • [16] Cho, D.C., Elton, E.J., & Gruber, M.J. (1984). On the Robustness of the Roll and Ross Arbitrage Pricing Theory. Journal of Financial and Quantitative Analysis, 19, pp.l- 10.
  • [17] Ingersoll, J.E. (1984). Some Results in the Theory of Arbitrage Pricing. The Journal of Finance, 39, pp.1021- 1039.
  • [18] Chen, N.F., Roll, R., & Ross, S. (1986). Economic Forces and the Stock Market. Journal of Business, 59, pp.383- 403.
  • [19] Connor, G., & Korajczk, R.A. (1986). Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis. Journal of Financial Economics, 15, pp.373-394.
  • [20] Burmeister, E., & McElroy, M.B. (1988). Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory, The Journal of Finance, 43, pp.721-735.
  • [21] Tiemann, J. (1988). Exact Arbitrage Pricing and The Minimum-Variance Frontier. The Journal of Finance, 43, pp.327-338.
  • [22] Lehman, B.N., & Modest, D.M. (1988). The Empirical Foundations of the Arbitrage Pricing Theory. Journal of Financial Economics, 21, pp.213-254.
  • [23] Ferson, W.E., & Harvey, C.R. (1991).The Variation of Economic Risk Premiums. Journal of Political Economy, 99, pp.385-415.
  • [24] Meı, J. (1993). A Semıautoregression Approach to the Arbitrage Pricing Theory. The Journal of Finance, 48, pp.599-620.
  • [25] Brennan, M., Chordia, T., & Subrahmanyam, A. (1998). Alternative Factor Specifıcations, Security Characteristics and the Cross-section of Expected Stock Returns. Journal of Financial Economics, 49, pp.345-373.
  • [26] Gibbons, M.R. (1982). Multivariate Tests of Financial Models. Journal of Financial Economics, 10, pp.3-27.
  • [27] MacKinlay, A.C. (1987). On Multivariate Tests of the CAPM. Journal of Financial Economics, 18, pp.341-371.
  • [28] Lakonishok, J., & Shapiro, A.C. (1986). Systematic Risk, Total Risk and Size as Determinants of Stock Market Returns. Journal of Banking and Finance, 10, pp.l 15-132.
  • [29] Coggin, T.D., & Hunter, J.E. (1985). Are High-Beta, Large Capitalization Stocks Overpriced? Financial Analysts Journal, 41, pp.70-71.
  • [30] Fama, E.F., & French, K.R. (1992). The Cross-section of Expected Stock Returns. Journal of Finance, 47, pp.427- 466.
  • [31] Roll, R. (1977). A Critique of the Asset Pricing Theories’ Tests, Part 1: On Past and Potential Testability of the Theory. Journal of Financial Economics, 4, pp.129-176.
  • [32] Chan, K.C., Chen, N.F., & Hsieh, D.A. (1985). An Exploratory Investigation of the Firm Size Effect. Journal of Financial Economics, 14, s.451-471.
  • [33] Burmeister, E., & Wall, K.D. (1986). The Arbitrage Pricing Theory and Macroeconomic Factor Measures. The financial review, 21, pp.l-20.
  • [34] Beenstock, M., & Chan, K.F. (1988). Economic Forces in the London Stock Market. Oxford Büfletin of Economics and Statistics, 50, pp.27-39.
  • [35] Chang, E.C., & Pinegar, J.M. (1990). Stock Market Seasonals and Prespecified Multifactor Pricing Relations. Journal of Financial and Quantitative Analysis, 25, pp.517- 533.
  • [36] Kryzanowski, L., & Zang, H. (1992). Economic Forces and Seasonality in Security Returns. Review of Quantitative Finance and Accouııting, 2, pp.227-244.
  • [37] Chen, S.J., & Jordan, B.D. (1993). Some Empirical Tests of the Arbitrage Pricing Theory: Macro variables vs. Derived Factors. Journal of Banking and Finance, 17, pp.65-89.
  • [38] Rahman, S., Coggin, T.D., & Lee, C.F. (1998). Some Tests of the Risk-Return Relationship Using Alternative Pricing Models and Observed Expected Returns. Review of Finance and Accouııting, 11, pp.69-91.
  • [39] Roll, R., & Ross, S.A. (1980). An Empirical Investigation of the Arbitrage Pricing Theory. The Journal of Finance, 35, pp. 1073-1103.
  • [40] Dhrymes, P.J., Friend, I., Gültekin, M.N., & Gültekin, N.B. (1985). New Tests of the APT and Their Implications. The Journal of Finance, 40, pp.659-675.
  • [41] Winkelmann, M. (1984), Aktieııbewertung in Deutschland. Königstein/Ts: Hain.
  • [42] Peters, H.W. (1987). Kapitalmarkttheorie und Aktienmarktanalyse, Frankfurt: Peter Lang.
  • [43] Frantzman, H.J. (1989). Saisoııalitaten und Bewertung an Deutschen Aktien- uııd Rentenmarkt. Frankfurt: Fritz Knapp Verlag.
  • [44] Verlerger, A. (1993), Risikostrukturen anı Deutschen Aktienmarkt. Münster: Lit Verlag.
  • [45] Sauer, A. (1994), Faktormodelle und Bewertung aın Deutschen Aktienmarkt. Frankfurt: Fritz Knapp Verlag.
  • [46] Adelberger.O.L., & Lockert G. (1999). An Investigation into the Number of Factors Generating German Stock Returns. Empirical Research on the German Capital Market. (Eds.: Wolfgang, B., Hax, H., & Schmidt, R.). Heidelberg: Physica-Verlag.
  • [47] Özcam, M. (1997). Varlik Fiyatlama Modelleri Aracılığıyla Dinamik Portföy Yönetimi. Sermaye Piyasası Yayın Kurulu Yayın No: 104. Ankara
  • [48] Altay, E. (2001). Varlık Fiyatlama Modelleri: FVFM ve APT ve İMKB’de Uygulaması. İstanbul University, Social Sciences Institute. Unpublished Doctorate Thesis.
  • [49] Cheng, A.C.S. (1995). The UK Stock Market and Economic Factors: A New Approach. Journal of Business, Finance and Accounting, 22, pp.l29-142.
  • [50] Fama, E.F., & MacBeth, J.D. (1973). Risk, Return and Equilibrium: Empirical Tests. Journal of Political Economy,.81, pp.607-636.
  • [51] Connor, G. (1984). A Unified Beta Pricing Theory. Journal of Economic Theory, 34, pp. 13-31.
  • [52] Connor,G., & Korajczk, R.A. (1988). Risk and Return in an Equilibrium APT: Application of a New Test Methodology. Journal of Financial Economics, 21, pp.255-289.
  • [53] McCulloch, R., & Rossi, P.E. (1990). Posterior, Predictive and Utility-based Approaches to Testing the Arbitrage Pricing Theory. Journal of Financial Economics, 28, pp.7- 38.
  • [54] Ferson, W.E., & Korajczk, R.A. (1995). Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? Journal of Business, 68, pp.309-349.
  • [55] Elton, E. (1999). Expected Return, Realized Return, and Asset Pricing Tests. The Journal ofFirıance, 54, pp.l 199- 1220.
  • [56] Pastor, L., & Stambaugh, R. (1999). Cost of Equity Capital and Model Mispricing. The Journal of Finance, 54, pp.67-121.
  • [57] Jagannathan, R., & Ma, T. (2001). Risk Reduction in Large Portfolios: A Role for Portfolio Weight Constraints. Unpublished Workiııg Paper.
  • [58] Shanken, J. (1992). On the Estimation of Beta-Pricing Models. Review of Financial Studies, 5, pp.1-34.
  • [59] Artis, M., Banerjee, A. & Marcellino, M. (2001). Factor Forecasts for the UK. Unpublished Working Paper.
  • [60] Cagnetti, A. (2002). Capital Asset Pricing Model and Arbitrage Pricing Theory in the Italian Stock Market: An Empirical Study. Unpublished Working Paper.
There are 60 citations in total.

Details

Primary Language English
Journal Section Eski Sayılar
Authors

Erdinç Altay This is me

Publication Date January 10, 2005
Published in Issue Year 2005 Volume: 6 Issue: 23

Cite

APA Altay, E. (2005). THE EFFECT OF MACROECONOMIC FACTORS ON ASSET RETURNS: A COMPARATIVE ANALYSIS OF THE GERMAN AND THE TURKISH STOCK MARKETS IN AN APT FRAMEVVORK. Öneri Dergisi, 6(23), 217-237.

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Öneri

Marmara UniversityInstitute of Social Sciences

Göztepe Kampüsü Enstitüler Binası Kat:5 34722  Kadıköy/İstanbul

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