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Comprehensive sector-level models for stock fluctuations

Comprehensive sector-level models for stock fluctuations This research is motivated to extensively evaluate the influencing factors of stock movements through a comprehensive study by which the strongest microeconomic (company fundamentals) and macroeconomic (national and international) factors are identified under three steps. As the final part of this project, this study includes all identified significant factors in first three steps and detects the strongest factors for 48 companies in 11 different sectors (electric, food, communication, paper, chemistry, metal-main, metalproduct, stone, textile, commerce and transportation) in Borsa Istanbul for the data between the second quarter of 2005 and the third quarter of 2012. The revealed sector level models are successful in that they almost fully explain the behaviour of the stocks. According to the results, the most powerful internal determinant is Company Book Values. Sector Indices and BIST are the most influencing macroeconomic factor in national setting. The influences of international macroeconomic factors vary in considered sectors. Keywords: stock movements; microeconomic factors; macroeconomic factors; Borsa Istanbul; sector-level study. Reference to this paper should be made as follows: Özlen, . (2015) `Comprehensive sector-level models for stock fluctuations', American J. Finance and Accounting, Vol. 4, No. 2, pp.129­150. Biographical notes: erife Özlen, PhD, is a Lecturer in Finance/Accounting http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png American Journal of Finance and Accounting Inderscience Publishers

Comprehensive sector-level models for stock fluctuations

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Publisher
Inderscience Publishers
Copyright
Copyright © 2015 Inderscience Enterprises Ltd.
ISSN
1752-7767
eISSN
1752-7775
DOI
10.1504/AJFA.2015.072593
Publisher site
See Article on Publisher Site

Abstract

This research is motivated to extensively evaluate the influencing factors of stock movements through a comprehensive study by which the strongest microeconomic (company fundamentals) and macroeconomic (national and international) factors are identified under three steps. As the final part of this project, this study includes all identified significant factors in first three steps and detects the strongest factors for 48 companies in 11 different sectors (electric, food, communication, paper, chemistry, metal-main, metalproduct, stone, textile, commerce and transportation) in Borsa Istanbul for the data between the second quarter of 2005 and the third quarter of 2012. The revealed sector level models are successful in that they almost fully explain the behaviour of the stocks. According to the results, the most powerful internal determinant is Company Book Values. Sector Indices and BIST are the most influencing macroeconomic factor in national setting. The influences of international macroeconomic factors vary in considered sectors. Keywords: stock movements; microeconomic factors; macroeconomic factors; Borsa Istanbul; sector-level study. Reference to this paper should be made as follows: Özlen, . (2015) `Comprehensive sector-level models for stock fluctuations', American J. Finance and Accounting, Vol. 4, No. 2, pp.129­150. Biographical notes: erife Özlen, PhD, is a Lecturer in Finance/Accounting

Journal

American Journal of Finance and Accounting – Inderscience Publishers

Published: Jan 1, 2015

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