Estimating Systematic Risk: Case For Borsa Istanbul
Abstract
The structure of the data set has a great impact on the estimation results. Especially the methods, which are affected by outliers like Ordinary Least Squares OLS , will lead to biased results. For this reason robust estimation techniques are required. To investigate this structure, 237 stocks in Borsa Istanbul BIST is estimated using OLS and Least Median Squares LMS method between the years of 2001-2004. Beta coefficients are computed based on OLS and LMS methods using market model. It was found that LMS produce robust results in the presence of multivariate outliers. Especially, in case of the volatile stocks, LMS is one of the appropriate techniques to get robust results
Keywords
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