Title: Comprehensive sector-level models for stock fluctuations

Authors: Şerife Özlen

Addresses: International Trade and Logistics Department, College of Applied Sciences, Pamukkale University, Denizli, Turkey

Abstract: This research is motivated to extensively evaluate the influencing factors of stock movements through a comprehensive study by which the strongest microeconomic (company fundamentals) and macroeconomic (national and international) factors are identified under three steps. As the final part of this project, this study includes all identified significant factors in first three steps and detects the strongest factors for 48 companies in 11 different sectors (electric, food, communication, paper, chemistry, metal-main, metal-product, stone, textile, commerce and transportation) in Borsa Istanbul for the data between the second quarter of 2005 and the third quarter of 2012. The revealed sector level models are successful in that they almost fully explain the behaviour of the stocks. According to the results, the most powerful internal determinant is Company Book Values. Sector Indices and BIST are the most influencing macroeconomic factor in national setting. The influences of international macroeconomic factors vary in considered sectors.

Keywords: stock movements; microeconomic factors; macroeconomic factors; Borsa Istanbul; sector-level study; stock fluctuations; Turkey; book value; sector indices; BIST.

DOI: 10.1504/AJFA.2015.072593

American Journal of Finance and Accounting, 2015 Vol.4 No.2, pp.129 - 150

Received: 20 Apr 2015
Accepted: 20 Jul 2015
Published online: 21 Oct 2015 *

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