This paper considers the relationship between traded volume and volatility. We employ short sales data to discriminate between transactions that close existing long positions and transactions that establish new short positions. We test for, and where appropriate, incorporate non-linearity and asymmetry into the modelling process. The evidence supports a non-linear, bi-directional relationship between volume and volatility. The results suggest (i) that the market displays greater volatility following a period of short selling and (ii) that asymmetric responses to positive and negative innovations to returns appear to be exacerbated by short selling.
{"title":"The Impact of Short Selling on the Price-Volume Relationship: Evidence from Hong Kong","authors":"M. Mckenzie, Ó. Henry","doi":"10.2139/ssrn.407711","DOIUrl":"https://doi.org/10.2139/ssrn.407711","url":null,"abstract":"This paper considers the relationship between traded volume and volatility. We employ short sales data to discriminate between transactions that close existing long positions and transactions that establish new short positions. We test for, and where appropriate, incorporate non-linearity and asymmetry into the modelling process. The evidence supports a non-linear, bi-directional relationship between volume and volatility. The results suggest (i) that the market displays greater volatility following a period of short selling and (ii) that asymmetric responses to positive and negative innovations to returns appear to be exacerbated by short selling.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130114677","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper provides new evidence on the pricing of exchange risk in global stock markets. We conduct empirical tests in a conditional setting with a multivariate GARCH-in-Mean specification and time-varying prices of risk for the US and nine emerging markets to determine whether exchange risk is priced under alternative model specifications and exchange rate measures. Since inflation rates in emerging markets are high and volatile, we argue that the use of real exchange rates offer a better proxy for risk stemming from purchasing power parity deviations. In addition to using real exchange rates, the empirical model allows for partial integration by including a time-varying price of local risk. Our main results support the hypothesis of significant exchange risk premia related to both emerging and developed markets. The price of exchange risk is also significantly time-varying consistent with previous evidence for major developed markets. The empirical evidence also suggests that there is variation across countries and over time in the relative importance of exchange risk premia. However, currency risk remains an important global risk factor even after accounting for local risk.
{"title":"Global Price of Foreign Exchange Risk and the Local Factor","authors":"F. Carrieri, V. Errunza, Basma Majerbi","doi":"10.2139/ssrn.391991","DOIUrl":"https://doi.org/10.2139/ssrn.391991","url":null,"abstract":"This paper provides new evidence on the pricing of exchange risk in global stock markets. We conduct empirical tests in a conditional setting with a multivariate GARCH-in-Mean specification and time-varying prices of risk for the US and nine emerging markets to determine whether exchange risk is priced under alternative model specifications and exchange rate measures. Since inflation rates in emerging markets are high and volatile, we argue that the use of real exchange rates offer a better proxy for risk stemming from purchasing power parity deviations. In addition to using real exchange rates, the empirical model allows for partial integration by including a time-varying price of local risk. Our main results support the hypothesis of significant exchange risk premia related to both emerging and developed markets. The price of exchange risk is also significantly time-varying consistent with previous evidence for major developed markets. The empirical evidence also suggests that there is variation across countries and over time in the relative importance of exchange risk premia. However, currency risk remains an important global risk factor even after accounting for local risk.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126640680","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study applies linear and nonlinear Granger causality tests to examine the dynamic relation between London Metal Exchange (LME) cash prices and three possible predictors. The analysis uses matched quarterly inventory, UK Treasury bill interest rates, futures prices and cash prices for the commodity lead traded on the LME. The effects of cointegration on both linear and nonlinear Granger causality tests is also examined. When cointegration is not modelled, evidence is found of both linear and nonlinear causality between cash prices and analysed predictor variables. However, after controlling for cointegration, evidence of significant nonlinear causality is no longer found. These results contribute to the empirical literature on commodity price forecasting by highlighting the relationship between cointegration and detectable linear and nonlinear causality. The importance of interest rate and inventory as well as futures price in forecasting cash prices is also illustrated. Failure to detect significant nonlinearity after controlling for cointegration may also go some way to explaining the reason for the disappointing forecasting performances of many nonlinear models in the general finance literature. It may be that the variables are correct, but the functional form is overly complex and a standard VAR or VECM may often apply.
{"title":"Cointegration and Detectable Linear and Nonlinear Causality: Analysis Using the London Metal Exchange Lead Contract","authors":"An-Sing Chen","doi":"10.2139/ssrn.392025","DOIUrl":"https://doi.org/10.2139/ssrn.392025","url":null,"abstract":"This study applies linear and nonlinear Granger causality tests to examine the dynamic relation between London Metal Exchange (LME) cash prices and three possible predictors. The analysis uses matched quarterly inventory, UK Treasury bill interest rates, futures prices and cash prices for the commodity lead traded on the LME. The effects of cointegration on both linear and nonlinear Granger causality tests is also examined. When cointegration is not modelled, evidence is found of both linear and nonlinear causality between cash prices and analysed predictor variables. However, after controlling for cointegration, evidence of significant nonlinear causality is no longer found. These results contribute to the empirical literature on commodity price forecasting by highlighting the relationship between cointegration and detectable linear and nonlinear causality. The importance of interest rate and inventory as well as futures price in forecasting cash prices is also illustrated. Failure to detect significant nonlinearity after controlling for cointegration may also go some way to explaining the reason for the disappointing forecasting performances of many nonlinear models in the general finance literature. It may be that the variables are correct, but the functional form is overly complex and a standard VAR or VECM may often apply.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125293591","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The purpose of this paper is to derive and test several hypotheses on the characteristics of Danish acquisitions during the period from 1993 to 1996, and to try to estimate a statistical model for prediction of acquisition targets. We use binary and multinomial logit models, with variables expressed on firm and industry level. The sample covers a broad cross section of firms of different sizes and in different industries. In the period from 1993 to 1996 our results characterize targets as poor performing and financially distressed units when compared to their industry average, and to the control group of non merging companies. The findings are in support of the inefficient management hypothesis and to the more general view that acquisitions can serve as the managerial discipline device. These findings shed also some lights on the possibility of considering mergers and acquisitions as an alternative for bankruptcy avoidance. Acquirers are identified as companies in need for growth opportunities and better profitability. The models are tested for prediction accuracy on a holdout sample of firms in year 1997.
{"title":"Characteristics and Predictability of Companies' Acquisitions; Empirical Evidence from Denmark 1993-1996","authors":"C. Gioia","doi":"10.2139/ssrn.406692","DOIUrl":"https://doi.org/10.2139/ssrn.406692","url":null,"abstract":"The purpose of this paper is to derive and test several hypotheses on the characteristics of Danish acquisitions during the period from 1993 to 1996, and to try to estimate a statistical model for prediction of acquisition targets. We use binary and multinomial logit models, with variables expressed on firm and industry level. The sample covers a broad cross section of firms of different sizes and in different industries. In the period from 1993 to 1996 our results characterize targets as poor performing and financially distressed units when compared to their industry average, and to the control group of non merging companies. The findings are in support of the inefficient management hypothesis and to the more general view that acquisitions can serve as the managerial discipline device. These findings shed also some lights on the possibility of considering mergers and acquisitions as an alternative for bankruptcy avoidance. Acquirers are identified as companies in need for growth opportunities and better profitability. The models are tested for prediction accuracy on a holdout sample of firms in year 1997.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"155 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116408644","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study investigates the presence of exchange rate exposure of stock returns in sector based portfolios of the Finnish stock market. The traditional exposure model is extended to allow for the possibility of asymmetric behavior in the exposure pattern as well as the presence of second moment exposure, i.e., the impact of second moment foreign exchange volatility on stock returns. The investigation covers daily stock returns over the period 1992-2000 for nine Finnish sectors namely, basic materials, cyclical consumer, energy, financial, industrial, non-cyclical consumer, technology, utilities, and other. In all instances exposure is assessed with respect to the U.S. dollar.
{"title":"Exchange Rate Exposure: Evidence from Finnish Stock Returns","authors":"G. Koutmos, J. Knif","doi":"10.2139/ssrn.407845","DOIUrl":"https://doi.org/10.2139/ssrn.407845","url":null,"abstract":"This study investigates the presence of exchange rate exposure of stock returns in sector based portfolios of the Finnish stock market. The traditional exposure model is extended to allow for the possibility of asymmetric behavior in the exposure pattern as well as the presence of second moment exposure, i.e., the impact of second moment foreign exchange volatility on stock returns. The investigation covers daily stock returns over the period 1992-2000 for nine Finnish sectors namely, basic materials, cyclical consumer, energy, financial, industrial, non-cyclical consumer, technology, utilities, and other. In all instances exposure is assessed with respect to the U.S. dollar.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"131 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114547535","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Researchers have recently devoted their attention to the relationship between corporate and securities laws and the development of stock markets, claiming that high quality regulation, by reducing private benefits of control, stimulates broader and deeper capital markets. This paper tries to assess the impact of changes in Italian corporate law on private benefits during the twelve-year period 1989-2000. In this period, the Italian legislator introduced the mandatory bid rule (law 149/1992) and moved towards a higher protection of minority shareholders (through the legislative decree 58/1998). The paper focuses on these regulatory changes by analysing the evolution of the so-called voting premium, i.e. the price differential between voting and non-voting stocks, which might be regarded as a good proxy of private benefits of control. The analysis involves 80 publicly traded firms and supports the hypothesis that, along with the company's ownership structure, the liquidity and the fiscal treatment of non voting stocks as well as market factors (such as interest rates and traded volumes), the institutional framework matters. In particular, the estimation results show that the voting premium increased by about 2 percentage points after the introduction of the mandatory bid rule in 1992 and drop by about 7 percentage points following the enactment of the new corporate governance rules in 1998. The behaviour of voting and non-voting share prices during the period is thus consistent with the hypothesis that the expropriation of minority shareholders decreased after 1998.
{"title":"Non-Voting Shares and the Value of Control: The Impact of Corporate Regulation in Italy","authors":"N. Linciano","doi":"10.2139/ssrn.410191","DOIUrl":"https://doi.org/10.2139/ssrn.410191","url":null,"abstract":"Researchers have recently devoted their attention to the relationship between corporate and securities laws and the development of stock markets, claiming that high quality regulation, by reducing private benefits of control, stimulates broader and deeper capital markets. This paper tries to assess the impact of changes in Italian corporate law on private benefits during the twelve-year period 1989-2000. In this period, the Italian legislator introduced the mandatory bid rule (law 149/1992) and moved towards a higher protection of minority shareholders (through the legislative decree 58/1998). The paper focuses on these regulatory changes by analysing the evolution of the so-called voting premium, i.e. the price differential between voting and non-voting stocks, which might be regarded as a good proxy of private benefits of control. The analysis involves 80 publicly traded firms and supports the hypothesis that, along with the company's ownership structure, the liquidity and the fiscal treatment of non voting stocks as well as market factors (such as interest rates and traded volumes), the institutional framework matters. In particular, the estimation results show that the voting premium increased by about 2 percentage points after the introduction of the mandatory bid rule in 1992 and drop by about 7 percentage points following the enactment of the new corporate governance rules in 1998. The behaviour of voting and non-voting share prices during the period is thus consistent with the hypothesis that the expropriation of minority shareholders decreased after 1998.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116192846","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper examines the relation between the expected return and the conditional variance using three conditional error distributions 1) the conditional normal error distribution, 2) the Generalized Error Distribution, and 3) the skewed student's t-distribution. Using a GARCH-M model modified by allowing skewness in mean, we find support for a significant and positive mean/variance relation when the skewed student's t-distribution is used. Our results show that the time variations in conditional skewness influence the dynamics of the conditional mean and conditional variance, as reflected by the reduced volatility persistence and a significant mean/variance relationship. This further stresses the point that there is an intimate relation between return, volatility and skewness; within the GARCH-M framework, conditional skewness plays a role analogous to heteroskedasticity by smoothing out the conditional mean and conditional variance process.
{"title":"Mean/Variance Relation and the Conditional Distribution","authors":"Hongzhu Li","doi":"10.2139/ssrn.407722","DOIUrl":"https://doi.org/10.2139/ssrn.407722","url":null,"abstract":"This paper examines the relation between the expected return and the conditional variance using three conditional error distributions 1) the conditional normal error distribution, 2) the Generalized Error Distribution, and 3) the skewed student's t-distribution. Using a GARCH-M model modified by allowing skewness in mean, we find support for a significant and positive mean/variance relation when the skewed student's t-distribution is used. Our results show that the time variations in conditional skewness influence the dynamics of the conditional mean and conditional variance, as reflected by the reduced volatility persistence and a significant mean/variance relationship. This further stresses the point that there is an intimate relation between return, volatility and skewness; within the GARCH-M framework, conditional skewness plays a role analogous to heteroskedasticity by smoothing out the conditional mean and conditional variance process.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124846605","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper deals with the concentration of corporate bank debt. In an economy with asymmetric information, we show that the bank debt concentration with a main bank possessing informational monopoly is a reliable signal of the firm's quality for the secondary banks. Precisely, the firm's choice of the parts lent by the main bank and the secondary banks allows use of the main bank's market power to signal its quality to the secondary banks. We establish a positive relationship between the amount lent by the main bank and the firm's quality.
{"title":"The Informative Contents of Bank Debt Concentration","authors":"Frédéric Lobez, Jean-Christophe Statnik","doi":"10.2139/ssrn.410195","DOIUrl":"https://doi.org/10.2139/ssrn.410195","url":null,"abstract":"This paper deals with the concentration of corporate bank debt. In an economy with asymmetric information, we show that the bank debt concentration with a main bank possessing informational monopoly is a reliable signal of the firm's quality for the secondary banks. Precisely, the firm's choice of the parts lent by the main bank and the secondary banks allows use of the main bank's market power to signal its quality to the secondary banks. We establish a positive relationship between the amount lent by the main bank and the firm's quality.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123340806","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The aim of this study is to measure and characterize one-day and one-week volatility and correlation on a number of German equities. For this purpose we measure the realized volatility from tick-by-tick data by summing up short term squared returns. Volume weighted average prices are used to filter the price series. The distributional properties of returns standardized by realized volatility are shown to be gaussian or close to gaussian. In accordance with the literature we also find that weekly returns are more normally distributed than daily returns. Also, weekly returns standardized by realized volatilities are found to be more normally distributed than daily standardized returns. In comparison to similar studies on U.S. equity data we can conclude that the distributional properties of returns and realized volatilities are alike. After examining the memory of realized volatility we find that it is highly unstable implying poor forecasting performance of parametric volatility models.
{"title":"Properties of Realized Volatility and Correlation","authors":"Daniel Djupsjobacka","doi":"10.2139/ssrn.393469","DOIUrl":"https://doi.org/10.2139/ssrn.393469","url":null,"abstract":"The aim of this study is to measure and characterize one-day and one-week volatility and correlation on a number of German equities. For this purpose we measure the realized volatility from tick-by-tick data by summing up short term squared returns. Volume weighted average prices are used to filter the price series. The distributional properties of returns standardized by realized volatility are shown to be gaussian or close to gaussian. In accordance with the literature we also find that weekly returns are more normally distributed than daily returns. Also, weekly returns standardized by realized volatilities are found to be more normally distributed than daily standardized returns. In comparison to similar studies on U.S. equity data we can conclude that the distributional properties of returns and realized volatilities are alike. After examining the memory of realized volatility we find that it is highly unstable implying poor forecasting performance of parametric volatility models.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124849970","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
There is no doubt that there are various events effecting the performance of the stock markets. These may be completely specific to the country where the stock market is located but it is also certain that there is a correlation between the stock markets of the world. Especially, in recent years, as a result of the high speed of information flow and ease of trading in different stock markets this indicated relation increased considerably. One may think that since exporting firms have more contact with the rest of the world their performances may be more sensitive to the events occurring in different stock markets so they may behave in a different way than the non-exporting firms. In a more general context, there is also the possibility that different sectors can react in different ways to the crises. In this study, the validity of these two possiblities on Istanbul Stock Exchange is questioned in a combined way. Firstly, five different sectors, namely, glass and ceramic, chemicals, automotive industry, textile and tourism, are selected from the Istanbul Stock Exchange. These sectors, except tourism, are the ones where Turkey is relatively more powerful. Tourism is also included to the study because of its being a very special sector which is very much sensitive to both events of the world and the country. Then as a second step, for each of the five sectors, exporting firms are determined. Thirdly, in order to be able to make a comparison, the firms which have activity completely in the borders of Turkey are also determined. For this comparison, a need to calculate a special index for each of the sectors arised so this calculation is made in TL. basis in the study. By investigating these indices it became possible to illuminate on the sector specific effects and the role of exportation. It is found that for some of the events exporting firms behaved in a different way than the other firms but for some other events or periods the behaviour of all firms are in the same way. Since 28th February 2001 is a very special day in Turkish economy where a sudden devaluation of 27% took place, it is thought that it might be useful to make a test of structural change. For this aim, in the study we applied Chow (1960) test. The results showed that except tourism sector and ISE non-exporting firms index, there are structural changes at this very specific date.
{"title":"Are They Immune to Financial Crises? An Empirical Study on Financial Crises on the Stock Prices of Exporting Firms on Istanbul Stock Exchange","authors":"Berna Kocaman","doi":"10.2139/ssrn.406800","DOIUrl":"https://doi.org/10.2139/ssrn.406800","url":null,"abstract":"There is no doubt that there are various events effecting the performance of the stock markets. These may be completely specific to the country where the stock market is located but it is also certain that there is a correlation between the stock markets of the world. Especially, in recent years, as a result of the high speed of information flow and ease of trading in different stock markets this indicated relation increased considerably. One may think that since exporting firms have more contact with the rest of the world their performances may be more sensitive to the events occurring in different stock markets so they may behave in a different way than the non-exporting firms. In a more general context, there is also the possibility that different sectors can react in different ways to the crises. In this study, the validity of these two possiblities on Istanbul Stock Exchange is questioned in a combined way. Firstly, five different sectors, namely, glass and ceramic, chemicals, automotive industry, textile and tourism, are selected from the Istanbul Stock Exchange. These sectors, except tourism, are the ones where Turkey is relatively more powerful. Tourism is also included to the study because of its being a very special sector which is very much sensitive to both events of the world and the country. Then as a second step, for each of the five sectors, exporting firms are determined. Thirdly, in order to be able to make a comparison, the firms which have activity completely in the borders of Turkey are also determined. For this comparison, a need to calculate a special index for each of the sectors arised so this calculation is made in TL. basis in the study. By investigating these indices it became possible to illuminate on the sector specific effects and the role of exportation. It is found that for some of the events exporting firms behaved in a different way than the other firms but for some other events or periods the behaviour of all firms are in the same way. Since 28th February 2001 is a very special day in Turkish economy where a sudden devaluation of 27% took place, it is thought that it might be useful to make a test of structural change. For this aim, in the study we applied Chow (1960) test. The results showed that except tourism sector and ISE non-exporting firms index, there are structural changes at this very specific date.","PeriodicalId":183987,"journal":{"name":"EFMA 2003 Helsinki Meetings (Archive)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2003-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115754655","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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