The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies
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 st...
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| Format: | Article |
| Language: | English |
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Istanbul University Press
2020-06-01
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| Series: | İstanbul İktisat Dergisi |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/istjecon/issue/55681/761445?publisher=istanbul |
| _version_ | 1797923963400093696 |
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| author | İ̇smail Erkan Çeli̇k |
| author_facet | İ̇smail Erkan Çeli̇k |
| author_sort | İ̇smail Erkan Çeli̇k |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-10T14:54:18Z |
| format | Article |
| id | doaj.art-4a9a2ccaa9a34707a7067e22e11e28bd |
| institution | Directory Open Access Journal |
| issn | 2602-4152 2602-3954 |
| language | English |
| last_indexed | 2024-04-10T14:54:18Z |
| publishDate | 2020-06-01 |
| publisher | Istanbul University Press |
| record_format | Article |
| series | İstanbul İktisat Dergisi |
| spelling | doaj.art-4a9a2ccaa9a34707a7067e22e11e28bd2023-02-15T16:07:25ZengIstanbul University Pressİstanbul İktisat Dergisi2602-41522602-39542020-06-0170114116110.26650/ISTJECON2020-00134The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companiesİ̇smail Erkan Çeli̇kThis 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.https://dergipark.org.tr/tr/pub/istjecon/issue/55681/761445?publisher=istanbulvolatilityinsurance companiesegarch model,volatilityinsurance companiesegarch modelexchange rate riskinterest rate risk |
| spellingShingle | İ̇smail Erkan Çeli̇k The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies İstanbul İktisat Dergisi volatility insurance companies egarch model, volatility insurance companies egarch model exchange rate risk interest rate risk |
| title | The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies |
| title_full | The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies |
| title_fullStr | The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies |
| title_full_unstemmed | The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies |
| title_short | The Effects of Exchange Rate and Interest Rate Exposure on the Stock Returns and Volatility of Turkish Insurance Companies |
| title_sort | effects of exchange rate and interest rate exposure on the stock returns and volatility of turkish insurance companies |
| topic | volatility insurance companies egarch model, volatility insurance companies egarch model exchange rate risk interest rate risk |
| url | https://dergipark.org.tr/tr/pub/istjecon/issue/55681/761445?publisher=istanbul |
| work_keys_str_mv | AT ismailerkancelik theeffectsofexchangerateandinterestrateexposureonthestockreturnsandvolatilityofturkishinsurancecompanies AT ismailerkancelik effectsofexchangerateandinterestrateexposureonthestockreturnsandvolatilityofturkishinsurancecompanies |