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Effect of the Subprime Crisis on Return and Volatility of the Turkish Stock Market

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  • Taner Sekmen

Abstract

The aim of this paper is to investigate the return and volatility behaviors of the Turkish Stock Exchange in response to the mortgage crisis using daily observations for the period June 2004 to June 2014. The data are divided into three sub-periods to allow for the investigation of the behavior of the stock market during each sub-period. We employ the GARCH, EGARCH and GARCH-M models to capture volatility. The results indicate that the subprime crisis both induced a notable increase in volatility and changed the relationship between risk and expected return on the Turkish Stock Exchange.

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  • Taner Sekmen, 2015. "Effect of the Subprime Crisis on Return and Volatility of the Turkish Stock Market," Journal of Economics and Behavioral Studies, AMH International, vol. 7(3), pages 23-29.
    • Handle: RePEc:rnd:arjebs:v:7:y:2015:i:3:p:23-29
    DOI: 10.22610/jebs.v7i3(J).579
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    1. Emine Ebru AKSOY & Erginbay UÐURLU, 2015. "How did the 2007-2008 Financial Crisis Influence Turkish Firms," Journal of Economics and Political Economy, KSP Journals, vol. 2(4), pages 494-506, December.

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