Department
Department of Financial and Accounting Sciences
Research Interests
Specialized in Department of Financial and Accounting Sciences . Focused on academic and scientific development.
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Recent Publications
Impact of Interest Rate Fluctuations and Exchange Rate Volatility on the Stock Returns of Turkey: An Investigation from BIST-100 index
Abstract
This study investigates the impact of interest rate fluctuation and exchange rate volatility on the
stock market returns of Turkey and determines whether market returns are significantly affected
by the interest rates and exchange rates using System GMM estimation method. The analysis is
carried out for top firms listed at BIST-100 index over the period January 2015 – December 2021.
We find that the overall stocks trading in BIST-100 are significantly affected by the interest rates
and exchange rate. Further, the BIST-100 returns index are positively affected by the changes in
the interest rate, however; negatively affected by the exchange rate volatility in the Turkish
emerging market.
Keywords: BIST-100 index, Interest Rate; Exchange Rate, Volatility; Turkish emerging
market
JEL Classification: C22, C32, G15
Citation
M. ASMA Aib, aaib@ankara.edu.tr, , (2022-05-12), "Impact of Interest Rate Fluctuations and Exchange Rate Volatility on the Stock Returns of Turkey: An Investigation from BIST-100 index", [international] Gelisim-UWE 6th The International Conference on Economics and Finance , Istanbul, Turkey
IMPACT OF COVID-19 CRISIS ON ILLIQUIDITY PRICING AND STOCK RETURNS: AN EMPIRICAL EXAMINATION USING SYSTEM GMM
Abstract
This study aims to empirically investigate the impact of Covid-19 on illiquidity pricing and stock returns in Turkey and determine
whether the Covid-19 outbreak has a significant effect on illiquidity premium using System GMM estimation method. The analysis is
carried out for top firms listed at BIST-100 over the period January 2011 – December 2020. We find that Covid-19 outbreak has a
significant positive impact on illiquidity pricing and stock returns in the Turkish equity market. Also that equity associated with
illiquidity yield a positive amount of return premium during the period of Covid-19 outbreak.
Keywords: Illiquidity; Risk Premium; Capital Asset Pricing Model; Covid-19; Turkish emerging market
Citation
M. ASMA Aib, asmaaib2016@gmail.com, , (2021-10-23), "IMPACT OF COVID-19 CRISIS ON ILLIQUIDITY PRICING AND STOCK RETURNS: AN EMPIRICAL EXAMINATION USING SYSTEM GMM", [international] The '24th Finance Symposium' - SAKARYA UNIVERSITY, Sakarya-Turkey. , SAKARYA UNIVERSITY, Sakarya-Turkey.
Liquidity Risk and Asset Pricing in Pakistan Stock Exchange
ABSTRACT
This paper empirically investigates the impact of liquidity risk on stock returns in Pakistan and determines investors’ attitude under bull and bear market conditions.Specifically, the liquidity adjusted capital asset pricing model(CAPM) is modified by including the interaction between the liquidity risk and the indicators of bull- and bear-market periods to investigate whether the pricing of liquidity risk differs in both upward and downward market trends.The analysis is carried out for a large panel of Pakistani manufacturing firms listed at the Pakistan Stock Exchange for the period January 2000 – December 2015. We use alternative liquidity risk measures to check the robustness of the liquidity risk effect. We observe that higher liquidity risk yields higher excess stock returns, implying pricing of liquidity risk during the examined period. The results also reveal that the liquidity risk is positively and significantly related to excess returns in the high-liquidity-risk beta portfolios, whereas it is negatively or insignificantly related to excess returns of low-liquidity-risk beta portfolios. The results also provide evidence that stocks affected by liquidity risk yield positive expected returns in both bull and bear market conditions. However, we find significant differences in the pricing of liquidity risk under upward and downward market trends. The robustness check confirms that the findings on the pricing of liquidity risk are not driven by any specific measure of liquidity.
JEL Classification: G11, G12, G15
Keywords: Asset Pricing Models; Bull and Bear Markets; Liquidity Risk; Risk Premium; Transaction Cost Theory
Citation
M. ASMA Aib, (2021-06-30), "Liquidity Risk and Asset Pricing in Pakistan Stock Exchange", [national] JISR management and social sciences & economics , Academic Resources Index, EconPapers, EBSCO, DOAJ, KEYWORDS