| Despite the increasing publicity and recognition that the emerging equity markets received during the second half of the 1980s and 1990s, the lack of information about the characteristics of these markets serve as a serious deterrent for both the domestic investors, policy makers and the international portfolio managers. This study aims to focus on the return behavior and characteristics of the security returns in the Turkish equity market. First, the descriptive characteristics of the returns were documented and validity of some assumptions, which are safely adopted in the developed country context, were explored. Second, the existence of patterns in the return series and their efficiency implications were analyzed. Third, the nature of the volume-price change relationship were explored. Some linkages between the equity markets and alternative financial markets, such as money markets and foreign exchange markets, were analyzed. Finally, as an emerging market the diversification value of the Turkish equity market were studied from the perspective of a dollar denominated portfolio manager.;The study results indicate that the assumption of normality is not a safe assumption for daily and weekly return series in the Turkish context. The return distributions are leptokurtic and reveal significant deviations from normality. Second, the empirical results do not support the existence of day of the week anomaly in the Istanbul Stock Exchange. The existence of serial dependency has been verified for majority of the series analyzed. On the other hand, significant first order serial dependencies indicate a slow price adjustment process across the market. The serial correlations can not be explained by trading volume and the size of the companies. Also it was documented that intertemporal behavior of the returns do not change over time. It was shown that the price changes can be explained to some extent by the volume. Interestingly, lagged volume proved to be effective in the determination of the price changes. The analysis of the linkage between the for-ex market and the stock market indicates that the changes in the for-ex rates do not significantly affect the stock market in the analysis period. On the other hand, the linkage between interbank money market the stock market proves to significant. This analysis indicates that the stock market is very sensitive to the liquidity shortages in the economy. Finally, it is documented that the Turkish equity market is uncorrelated to major regional and national equity markets. The implication of this result is that Turkish market can be used as an attractive diversification tool for international portfolio managers. |
