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DOI :10.26650/ISTJECON2020-0013   IUP :10.26650/ISTJECON2020-0013    Tam Metin (PDF)

The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies

İsmail Erkan Çelik

This study examines the impact of exchange rate and interest changes on stock returns and volatility of Turkish insurance companies using the EGARCH model for the period of 01/01/2009 to 15/04/2020. The results show: (i) while interest rate has a negative and significant effect on the conditional stock return, its effect on the volatility of stock returns of insurance companies is limited; (ii) however, the exact opposite is true for the exchange rate risk. The exchange rate risk exerts an important impact on the volatility of insurance stock returns but it has no effect on the mean stock returns of insurance companies; (iii) the findings also indicate that the volatility of insurance stock returns are highly persistent over time and they are more sensitive to old news than recent surprises; (iv) positive and negative news have an asymmetric effect on volatility implying that positive innovations (good news such as a market) have a larger impact on current conditional variance (current volatility of returns) than negative innovations (bad news such as market stagnation) of the same magnitude; (v) finally, the volatility of insurance portfolio’s and insurance companies’ stock returns has risen significantly during the financial crisis of 2008 compared to the rest of the sample period.

JEL Classification : D51 , F3 , G32

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DIŞA AKTAR



APA

Çelik, İ.E. (2020). The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies. İstanbul İktisat Dergisi, 70(1), 141-161. https://doi.org/10.26650/ISTJECON2020-0013


AMA

Çelik İ E. The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies. İstanbul İktisat Dergisi. 2020;70(1):141-161. https://doi.org/10.26650/ISTJECON2020-0013


ABNT

Çelik, İ.E. The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies. İstanbul İktisat Dergisi, [Publisher Location], v. 70, n. 1, p. 141-161, 2020.


Chicago: Author-Date Style

Çelik, İsmail Erkan,. 2020. “The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies.” İstanbul İktisat Dergisi 70, no. 1: 141-161. https://doi.org/10.26650/ISTJECON2020-0013


Chicago: Humanities Style

Çelik, İsmail Erkan,. The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies.” İstanbul İktisat Dergisi 70, no. 1 (Dec. 2024): 141-161. https://doi.org/10.26650/ISTJECON2020-0013


Harvard: Australian Style

Çelik, İE 2020, 'The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies', İstanbul İktisat Dergisi, vol. 70, no. 1, pp. 141-161, viewed 14 Dec. 2024, https://doi.org/10.26650/ISTJECON2020-0013


Harvard: Author-Date Style

Çelik, İ.E. (2020) ‘The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies’, İstanbul İktisat Dergisi, 70(1), pp. 141-161. https://doi.org/10.26650/ISTJECON2020-0013 (14 Dec. 2024).


MLA

Çelik, İsmail Erkan,. The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies.” İstanbul İktisat Dergisi, vol. 70, no. 1, 2020, pp. 141-161. [Database Container], https://doi.org/10.26650/ISTJECON2020-0013


Vancouver

Çelik İE. The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies. İstanbul İktisat Dergisi [Internet]. 14 Dec. 2024 [cited 14 Dec. 2024];70(1):141-161. Available from: https://doi.org/10.26650/ISTJECON2020-0013 doi: 10.26650/ISTJECON2020-0013


ISNAD

Çelik, İsmailErkan. The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies”. İstanbul İktisat Dergisi 70/1 (Dec. 2024): 141-161. https://doi.org/10.26650/ISTJECON2020-0013



ZAMAN ÇİZELGESİ


Gönderim02.05.2020
Kabul09.05.2020
Çevrimiçi Yayınlanma30.06.2020

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