Arşiv ve Dokümantasyon Merkezi
Dijital Arşivi

On properties of return distributions in İstanbul Stock Exchange

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dc.contributor Graduate Program in Economics.
dc.contributor.advisor Akgiray, Vedat.
dc.contributor.advisor Sağlam, İsmail.
dc.contributor.author Karahan, Mehmet Oğuz.
dc.date.accessioned 2023-03-16T12:00:24Z
dc.date.available 2023-03-16T12:00:24Z
dc.date.issued 2004.
dc.identifier.other EC 2004 K37
dc.identifier.uri http://digitalarchive.boun.edu.tr/handle/123456789/16373
dc.description.abstract In this thesis study, the distributional behavior of return series of Istanbul StockExchange (ISE) stocks and some ISE indices are analyzed. Normality tests are conducted by employing Kolmogorov-Smirnov and Jarque-Bera statistics, it is shown that the normality of ISE indices and most stock returns are rejected by both statistics for daily data. The stability of these series is also investigated by using different characteristic exponent estimation techniques. Estimated parameters are significantly larger than that are implied by the stable Paretian laws. To explore portfolio normality, a simulation experiment is conducted by generating random portfolios. It is observed that normal return series are dominated by the non-normal ones, resulting in increased deviation from normality as the number of firms in the portfolio increases.
dc.format.extent 30cm.
dc.publisher Thesis (M.A.)-Bogazici University. Institute for Graduate Studies in Social Sciences, 2004.
dc.relation Includes appendices.
dc.relation Includes appendices.
dc.subject.lcsh Finance -- Turkey.
dc.subject.lcsh Stock exchanges -- Turkey.
dc.title On properties of return distributions in İstanbul Stock Exchange
dc.format.pages viii, 47 leaves;


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