[Turkmath:9025] Galatasaray Üniversitesi Matematik Bölümü Seminer 22 Mayıs Evrim Hilal Erdamar

[Susumu Tanabe]

Değerli Liste Üyeleri;
 Galatasaray Üniversitesi Matematik Bölümü Seminerleri kapsamında 22 Mayıs  (çarşamba günü) Evrim Hilal Erdamar (Sermaye Piyasası Kurulu) konuşmacı olacaktır. Konuşma ile ilgili detaylı bilgi aşağıdadır:
   Saygılarımla;
     Susumu Tanabé

 

Date/ gün: 22 Mayıs (çarşamba) 15:00 

Lieu /yer: Galatasaray Üniversitesi FEF 10.
Speaker /konuşmacı: Evrim Hilal Erdamar (Sermaye Piyasası Kurulu) 

Title/ başlık: Comovement between stock and bond return in Turkey.
 
“We try to determine the relation between stock returns and changes in interest rates and attribute this relation to one of two competing hypotheses: similarity in valuation methods implying a negative relation and need for a portfolio reallocation implying a positive correlation. We find a negative correlation (-0.33), hence support the first hypothesis. However, this correlation has weakened in the period after the subprime crisis of 2007 (-0.37 vs. -0.28). Interestingly, sharp decreases in interest rates are associated with high positive correlations while sharp increases are associated with high negative correlations. This reveals an asymmetry in the relation between stock and bond returns. We also find that some sectorial indices have different sensitivities to interest rate changes.” 		 	   		  
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