Testing the Stability of Beta: A Sectoral Analysis in Turkish Stock Market

Abstract

The paper aims to test the stability of sector betas (systematic risk) in Turkish Stock Market for the period 03.01.2005-31.12.2009. We use rolling regression and recursive regression methods to test the stability of beta and two sub-samples to examine the impact of structural breaks on the beta behaviour, considering the 2007-2009 Global crisis. The findings support the instability of beta for most of the sectors and the results are robust when taking into account structural breaks. The paper is different from other studies in the Turkish literature because it uses different methodology, takes into account the crisis effect and focuses on the all sector betas.