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, vol.25, no.3, pp.609-626, 2025 (ESCI) identifier

  • Publication Type: Article / Article
  • Volume: 25 Issue: 3
  • Publication Date: 2025
  • Doi Number: 10.21121/eab.20250310
  • Journal Name: EGE ACADEMIC REVIEW
  • Journal Indexes: Emerging Sources Citation Index (ESCI)
  • Page Numbers: pp.609-626
  • Manisa Celal Bayar University Affiliated: Yes

Abstract

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.