In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated...

In this study, we address whether the degree of financial liberalization affects the aggregated total volatility of stock returns by considering the time-varying nature of financial liberalization. We also explore channels through which the degree of financial liberalization impacts aggregated...

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 article investigates the validity of the credit view hypothesis in eleven OECD (Organization for Economic Cooperation and Development) countries over the period 1987:QI to 2003:QIII. The existence of a long-run relationship between the banking sector and the real sector is supported by...

Bu çalışmada 1990-2000 döneminde İMKB’nda işlem gören hisse senetlerini kullanarak oluşturulan çeşitlendirilmiş portföylerin yatırım vadelerinin incelenmesi amaçlanmaktadır. Fama (1976) metodolojisi kullanılarak önce piyasa riskine yaklaşan portföyü oluşturmak için...