Banking Sector Stock Price Synchronicity and Relationships between Returns of Stock Market Index in Turkey: Borsa Istanbul Evidence

International Journal of Economics and Management Studies

© 2018 by SSRG - IJEMS Journal

Volume 5 Issue 12

Year of Publication : 2018

Authors : Dr. Alp POLAT

10.14445/23939125/IJEMS-V5I12P107

How to Cite?

Dr. Alp POLAT, "Banking Sector Stock Price Synchronicity and Relationships between Returns of Stock Market Index in Turkey: Borsa Istanbul Evidence," SSRG International Journal of Economics and Management Studies, vol. 5,  no. 12, pp. 18-42, 2018. Crossref, https://doi.org/10.14445/23939125/IJEMS-V5I12P107

Abstract:

The aim of the study is to determine stock price synchronicity in Turkish banking sector and explain relationships between the synchronicity and stock market returns. It is expected that stock market synchronicity has an effect upon to stock market returns. Financials index and general market index of Turkey is examined with banking sector synchronicity due to the fact that banks have prominent role in these indexes. Banking sector synchronicity has 0.78 average value in the research period. This indicates highly synchronous stock prices in banking sector of Turkey. However, synchronicity is highly volatile and changes during research period. The findings of the study show that banking sector synchronicity affect financial index and general market index returns. Stock market returns can be predicted by banking sector synchronicity.

Keywords:

Stock pricesynchronicity, Borsa Istanbul, stock market returns, R square, firm specific variations

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