Volatility of Stock Return in ISE in Political Instability Period: Regime-Switching AP-GARCH Test
AbstractIn this study, volatility of sock return behavior through a regime-Switching Asymmetric Power GARCH Model (RS-APGARCH) analyses in Istanbul Stock Exchange (ISE), Turkey, during the period of 1988-2006 and show that ISE's asymmetric response and the intensity of this response to good and/or bad news in context of political stability or instability and economic crisis is higher than the intensity of the volatility created by the events affecting the whole world. Said period is very important and sensitive in this respect.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Yildiz Technical University, Department of Economics in its series Working Papers with number 0010.
Length: 10 pages
Date of creation: Apr 2009
Date of revision: Apr 2009
ISE; Volatility; GARCH(1; 1); PGARCH(1; 1); AP-GARCH(1; 1); RSAPGARCH(1; 1);
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Seckin Sunal).
If references are entirely missing, you can add them using this form.