The Geography of Borsa Istanbul Stock Returns

Özet

This paper examines the relationship between firm location and monthly return correlations of Borsa Istanbul’s stocks during the period between January 2005 and September 2011. These firms are also included in Borsa Istanbul (BIST) City Indices. Following Pirinsky and Wang (2006) model, we find similar results which show that stock returns of firms show a strong degree of co-movement with stock returns of other firms located in the same city. In our analysis, we also try to explain local comovement with financial sophistication and foreign investors. As the ratio of equity investors to…

Özetin tamamı ve makalenin metni yayıncıda.