Return inverval and investment horizon on Istanbul Stock Exchange

Gumrah U., DEMİRCİ E.

ISTANBUL UNIVERSITY JOURNAL OF THE SCHOOL OF BUSINESS, cilt.38, sa.2, ss.184-196, 2009 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 38 Sayı: 2
  • Basım Tarihi: 2009
  • Dergi Adı: ISTANBUL UNIVERSITY JOURNAL OF THE SCHOOL OF BUSINESS
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.184-196
  • Anahtar Kelimeler: Beta, return interval, investment horizon
  • İstanbul Üniversitesi Adresli: Evet

Özet

The main purpose of this study is to investigate the effects of return interval and investment horizon under the adjustment techniques of both Blume and Vasicek on ISE. By using daily, weekly, two weeks and monthly return intervals and one, two, three and four period investment horizons, beta regressions are estimated. Generally, as the return interval decreases from monthly to daily period, MSE decreases. Generally, as the investment horizon increases, MSE decreases. Results suggest that daily return intervals and four years investment horizon are the best for beta estimation. These results are similar to findings of Daves, Ehrhardt and Kunkel (2000)