Date of Award
1993
Document Type
Dissertation
Degree Name
Doctor of Philosophy (PhD)
First Advisor
Geoffrey Booth
Abstract
This dissertation investigates an emerging stock market: Istanbul Stock Exchange. First the organizational properties and the history of the exchange are presented. The dissertation then provides an extensive statistical study of the time series properties of the Turkish stock prices. It shows that the Turkish stocks are nonnormal and highly leptokurtic. Absolute value of the stocks show significant dependence. The dissertation examines the effects of Decree No. 32 of August 11, 1989 on the stock distributions. After this date the stock market removed the restrictions on foreign investors. It is shown that the mean of stock price changes has stayed the same, but the variances changed significantly with this government decision. The variances of the majority of the stock prices (36 out of 56) increased after August 11, 1989. And lastly, it examines the diversification with Turkish stocks by forming portfolios. It is shown that with portfolios of 10-15 stocks 80% of the variance of the unexpected prices can be diversified.
Recommended Citation
Yuce, Ayse, "An Examination of an Emerging Stock Exchange: The Case of Turkish Stock Market." (1993). LSU Historical Dissertations and Theses. 5683.
https://repository.lsu.edu/gradschool_disstheses/5683
Pages
246
DOI
10.31390/gradschool_disstheses.5683