Return inverval and investment horizon on Istanbul Stock Exchange

Abstract

The main purpose of this study is to investigate the effects of return interval and investment horizon under the adjustment techniques of both Blume and Vasicek on ISE. By using daily, weekly, two weeks and monthly return intervals and one, two, three and four period investment horizons, beta regressions are estimated. Generally, as the return interval decreases from monthly to daily period, MSE decreases. Generally, as the investment horizon increases, MSE decreases. Results suggest that daily return intervals and four years investment horizon are the best for beta estimation. These results are similar to findings of Daves, Ehrhardt and Kunkel (2000)