Did 2008 Crisis Affect Systematic Risks of the Sectors? The Case of Turkey
Abstract
This study examines the effects of the 2008 financial crisis on the betas of four sectors in Borsa Istanbul (BIST) separately as pre-crisis, crisis and post-crisis period. Systematic risks (betas) of these four sectors are calculated through CAPM model with the dummy variable, which includes crisis information exogenously. Afterwards, CAPM was estimated separately for three periods (pre-financial crisis, crisis period and post-crisis) and time varying betas were obtained. Thus, it was determined which sector stocks were perceived as more risky/reliable in crisis period by financial investors. Findings show that service sector stocks are perceived as more reliable and financial sector stocks are perceived riskier by financial investors in crisis period with a decrease in risk appetite.
Keywords
Investor Behaviour,Financial Crisis,CAPM with Dummy Variable
References
- Abiyev, V. (2015). Time-Varying Beta Risk and Its Modeling Techniques for Turkish Industry Portfolios. Economics, Business and Finance, 30 (352), 79-108.
- Celik, S. (2013). Testing the Stability of Beta: A Sectoral Analysis in Turkish Stock Market. Journal of Economics and Behavioral Studies, 5(1), 18.
- Choudhry, T. (2005). Time-varying beta and the Asian financial crisis: Evidence from Malaysian and Taiwanese firms. Pacific-Basin Finance Journal, 13(1), 93-118.
- Hammoudeh, S., & Al-Gudhea, S. (2006). Pricing Risk, Oil and Financial Factors in Saudi Sector Index Returns, Topics in Middle Eastern and North African Economies, Loyola University Chicago Loyola eCommons.
- Gujarati, D. N. (2011). Econometrics by example/Damodar Gujarati (No. 330.015195 G84.).
- Kaderli, Y., Petek, A., Doğaner, M., & Babayiğit, G. (2013). The Sensitivity to Market Index and Non-Systematic Risk Measurement of Sector Indices in Borsa İstanbul. Anadolu University Journal of Social Sciences, Vol.: 13 (3), pp. 55-64.
- Kalafatcilar, K., & Keles, G. (2011). Risk Appetite Indices and Their Expressions. Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Kumar, Manmohan S. and Persaud, A. (2002). Pure Contagion and Investors’ Shifting Risk Appetite: Analytical Issues and Empirical Evidence, International Finance, 5 (3), pp. 401–436.
- Masset, P., & Weisskopf, J. P. (2010). Raise Your Glass: Wine Investment and The Financial Crisis. American Association of Wine Economists, Aawe Working Paper, No.57. www.wine-economics.org, Access: 02.08.2019.
- Mirza, N., & Simatupang, D. D. (2004). Comparative Systematic Risk Analysis: Evidence on the Banking Sector in the United States, Western Europe and South East Asia. The Lahore Journal of Economics, Vol. 9 (1), pp. 149-173.