How did the 2007-2008 Financial Crisis Influence Turkish Firms

Emine Ebru AKSOY, Erginbay UĞURLU


Abstract. This paper investigates whether 2007-2008 global financial crisis hadan effecton Turkish firms. For this purpose, we investigated the firm-specific factors affecting the stock returns of firms in the BIST-XU100 in the 2004-2009 periods. The period was divided into two sub-samples, namely pre-crisisand during-crisis periods. Moreover, the effects of firm size, market-to-book ratio (MB), and price-to-earnings (PE) ratio on stock return were examined using feasible generalized least-squares (FGLS) and panel-corrected standard errors (PCSE) models. In the literature, the US subprime mortgage crisis meltdown and spillover effects were studied on different countries and different stock markets. In this study, not only crisis effects but also effects of firm-specific factors were considered. Integration levels of the series were investigated by panel unit root tests. The models were used for both sub-samples, and the results of the two models werecompared. The results showed that. Size and MB variables were significant in all the periods and had positive effects on the stock return of the firms, and the global financial crisis hada significant but weak effect on Turkish firms.

Keywords.Financial Crisis, Stock Market, FGLS, PCSE.

JEL.C23, G01, G20.


Financial Crisis, Stock Market, FGLS, PCSE

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