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Volatility of Stock Return in ISE in Political Instability Period: Regime-Switching AP-GARCH Test

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Author Info
Melike Bildirici () (Department of Economics, Yildiz Technical University)
Sadiye Oktay

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Abstract

In 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.

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File URL: http://www.ikt.yildiz.edu.tr/RePEc/yil/makaleler/bildirici0010.pdf
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Publisher Info
Paper provided by Yildiz Technical University, Department of Economics in its series Working Papers with number 0010.

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Length: 10 pages
Date of creation: Apr 2009
Date of revision: Apr 2009
Handle: RePEc:yil:wpaper:0010

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Related research
Keywords: ISE; Volatility; GARCH(1; 1); PGARCH(1; 1); AP-GARCH(1; 1); RSAPGARCH(1; 1);

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Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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

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    Other versions:
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    Other versions:
  5. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
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  8. Shiqing Ling & Michael McAleer, 2001. "On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors," ISER Discussion Paper 0548, Institute of Social and Economic Research, Osaka University. [Downloadable!]
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  11. Koutmos, Gregory, 1998. "Asymmetries in the Conditional Mean and the Conditional Variance: Evidence From Nine Stock Markets," Journal of Economics and Business, Elsevier, vol. 50(3), pages 277-290, May. [Downloadable!] (restricted)
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