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Volatility of ISE and Business Cycle

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Author Info
Saadet Kirbas-Kasman
Adnan Kasman
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File URL: http://www.tcmb.gov.tr/research/cbreview/jan03-4.pdf
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Article provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its journal Central Bank Review.

Volume (Year): 3 (2003)
Issue (Month): 1 ()
Pages: 67-84
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Handle: RePEc:tcb:cebare:v:3:y:2003:i:1:p:67-84

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-53, December. [Downloadable!] (restricted)
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  2. John Y. Campbell, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, 02. [Downloadable!] (restricted)
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  3. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
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  4. James D. Hamilton & Gang Lin, 1996. "Stock Market Volatility and The Business Cycle," University of California at San Diego, Economics Working Paper Series 96-18, Department of Economics, UC San Diego. [Downloadable!]
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  5. Sequeira, John M. & Lan, Dong, 2003. "Does world-level volatility matter for the average firm in a global equity market?," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 341-357, December. [Downloadable!] (restricted)
  6. Harris, Richard D F & Kucukozmen, C Coskun, 2001. "The Empirical Distribution of Stock Returns: Evidence from an Emerging European Market," Applied Economics Letters, Taylor and Francis Journals, vol. 8(6), pages 367-71, June. [Downloadable!] (restricted)
  7. Campbell, John Y, 1991. "A Variance Decomposition for Stock Returns," Economic Journal, Royal Economic Society, vol. 101(405), pages 157-79, March. [Downloadable!] (restricted)
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  8. Newey, Whitney K & West, Kenneth D, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Blackwell Publishing, vol. 61(4), pages 631-53, October. [Downloadable!] (restricted)
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  9. Officer, R R, 1973. "The Variability of the Market Factor of the New York Stock Exchange," Journal of Business, University of Chicago Press, vol. 46(3), pages 434-53, July. [Downloadable!] (restricted)
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