Time-Varying Betas and Effects of Data Frequency and Estimation Window Preferences: Case of Istanbul Stock Exchange

OVALI M., KAYALIDERE U. A. K.

EGE ACADEMIC REVIEW, cilt.25, sa.3, ss.609-626, 2025 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 25 Sayı: 3
  • Basım Tarihi: 2025
  • Doi Numarası: 10.21121/eab.20250310
  • Dergi Adı: EGE ACADEMIC REVIEW
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI)
  • Sayfa Sayıları: ss.609-626
  • Manisa Celal Bayar Üniversitesi Adresli: Evet

Özet

In this study, we analyzed the changes in Beta over time for the leading indexes of Borsa Istanbul (XU100, XUHIZ, XUMAL, methods to estimate the fluctuations in Beta over time and compared the performance of these estimation techniques. To evaluate the effect of the estimation window length on Beta, we incorporated daily and weekly estimation windows of various using daily and weekly datasets. Our analysis showed that the Rolling regression method consistently outperformed the forecast performance. We also found that a 126-day window is the most effective length for the estimation window.