Turkey and the International Monetary Fund (IMF) agreed to a stand-by arrangement at the outset of 2000. Consequently, Turkey implemented an exchange-rate based stabilization program to combat its high inflation. However, two financial crises followed; one in November, 2000 and the other in...

In this study, a financial performance index is calculated for the 1989-1998 period in order to analyze the profit generating capability of Turkish commercial banks, observe the effect of scale and mode of ownership on bank behavior and therefore bank performance. Another purpose of the study is...

This study applies the Markowitz analysis to the Istanbul Stock Exchange and empirically investigates the performance of this tool in an emerging market setting. The results show that during the early years of establishment of an emerging stock exchange, an active strategy of mean variance...

We examine whether there is a relationship between foreign equity trading and average total volatility, measured as the value-weighted average of stock-return variances in the Istanbul Stock Exchange. We employ foreign equity purchase and sale data to track changes in foreign equity trading,...

This study investigates excess stock price volatility using the variance bound framework of LeRoy and Porter (1981) and of Schiller (1981). The conditional variance bound relationship is examined using cross-sectional data simulated from the general equilibrium asset pricing model of Brock...

Although there is a consensus about time variation in market betas, it is not clear how this variation should be captured. Several researchers continue to analyze different versions of the conditional CAPM. However, Ghysels (1998) shows that these conditional CAPM models fail to capture the...

This paper analyzes the time-series variation in the return volatility of non-US stocks from emerging markets that are cross-listed on US exchanges. Unlike previous studies in the cross-listing literature, return volatility is modeled using conditional heteroscedas-ticity models. We find that...