Business Commons^™

Essays On The Dynamics Of Stock Returns In Emerging Markets: Roles Of Volatility And Sentiment In Turkey, Sidika Gülfem Bayram

Theses and Dissertations - UTB/UTPA

Emerging stock markets play an important role in portfolio diversification. Accurate depiction of their status is essential for potential investment assessment. This dissertation focuses on two important aspects of emerging markets using Istanbul Stock Exchange (“ISE”) as an example: modeling stock return volatility as a measure of risk and exploring potential interaction between stock returns and consumer/business sentiments. ISE is selected as it has no entry restrictions and offers great investment potential with 65% foreign participation.

The first essay focuses on stock return volatility. Potential asymmetric behavior is investigated by looking into how the ISE National-100 Index prices evolve over …

Monthly Seasonality In Emerging Market: Evidence From Bangladesh, Lutfur Rahman, Abu S. Amin

WCBT Faculty Publications

The presence of the seasonal anomaly in stock returns has been reported extensively in finance literature. This paper examines the presence of monthly anomaly in Dhaka Stock Exchange (DSE), the premier stock exchange of Bangladesh. Data used in the study include daily closing prices of DSE indices such as DSE all share prices index (DSI), DSE general index (DGEN) and DSE 20 index for a period of 01.01.2001-30.06.2010. Several hypotheses have been formulated; those hypotheses have been tested and dummy variable regression was used in the study. The result indicates that May and June returns are positive and statistically significant. …