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Volatility in Istanbul Stock Exchange

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  • Zafer Yavan
  • C.Bulent Aybar

Abstract

Since economic agents make the decisions based on the perceived distribution of the random variables in the future, assessment and measurement of the variance has a significant impact on their course of action. Therefore, market participants’ ability to accurately measure and predict the stock market volatility has wide spread implications. This capability has a particular importance in an environment, where the perception of high levels of volatility has the potential to erode the investor confidence and divert the capital inflows from equity markets. This is a particular concern for the emerging equity markets that lack the advanced institutional and informational infrastructures and which are very vulnerable to domestic and foreign capital flows. The purpose of this study is to determine the time-varying characteristics of volatility in an emerging stock market by utilizing rich family of ARCH models. The primary focus of the study is to explore the nature of volatility in the ISE.

Suggested Citation

  • Zafer Yavan & C.Bulent Aybar, 1998. "Volatility in Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 2(6), pages 35-48.
    • Handle: RePEc:bor:iserev:v:2:y:1998:i:6:p:35-48
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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_06.pdf
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    Cited by:

    1. Saadet Kirbas-Kasman & Adnan Kasman, 2003. "Volatility of ISE and Business Cycle," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 3(1), pages 67-84.

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