This PhD dissertation research primarily aims to empirically investigate three major, yet distinct and stand alone, financial topics using data from Turkey. These are (i) analysis of effects of financial statements on stock returns and their conditional volatility using an event study methodology; (ii) analysis of relationship between credit rating and firm-specific characteristics in a cross-section framework; and (iii) analysis of credit ratings and stock market performance using both firm-specific characteristics and selected macroeconomic variables in a panel data framework. My contribution remains as a pioneering effort to analyse these issues at least in the context of Turkey. The first empirical work, based on event study methodology employing a modified asymmetric time-varying volatility model, concludes that there are significant return and volatility effects stemming from announcement of audited semi-annual financial statements. This conclusion is also valid for the pre-announcements and postannouncement dates. It should be noted that event study methodology is a test of the informational efficiency subject to the joint hypothesis problem. My results can be considered as evidence against the informational efficiency of the Turkish stock market. The second area of research is on the relationships between corporate credit ratings and firm-specific characteristics. This investigation is based on a cross-sectional regression analysis. It concluded that size, sector, systemic risk and volatility are important factors on credit ratings and stock returns. The third empirical work employs panel data methodology to analyse the relationship between corporate credit rating and stock market performance indicators. It is found that both firm-specific characteristics and macroeconomic variables have significant effects on stock returns.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:715442 |
| Date | January 2016 |
| Creators | KaragoĢl, Rafi |
| Publisher | University of Aberdeen |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Source | http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=231786 |
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