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This paper investigates the effect of the 2007-2008 global financial crisis on the Turkish firms. For this purpose, we investigate the firm-specific factors affecting the stock returns of firms in the Istanbul Stock Exchange-XU100 for 2003-2012 period. The period is divided into two sub-samples which are pre-crisis and post-crisis. Moreover, the effect of firm size, market to book ratio, momentum and price to earnings ratio on stock return is examined through panel data model. In the literature, the US subprime mortgage crisis meltdown and spillover effects are studied on different countries and different stock markets. In this study, not only crisis effects but also firm-specific factors effects is considered. Integration levels of the series are investigated by panel unit root tests and panel data methodology is used for both two sub-sample and the results of two models are compared. The results show that the coefficients differ for the sub-samples. |
