IDEAS home Printed from https://ideas.repec.org/a/bor/iserev/v1y1997i3p25-42.html
   My bibliography  Save this article

Stock Market Volatility and Its Term Structure: Empirical Evidence From the Turkish Market

Author

Listed:
  • Mustafa Kemal Yilmaz

Abstract

This paper focuses on the informational efficiency of an emerging stock market of a developing country, namely Turkey and also on stock market volatility from two different, but complementary perspective. In the first part, the volatility trend and its term structure throughout the time is analysed. In this context, the realised volatility and the expected volatility are calculated and compared under the random walk theory by using the relevant ISE Composite Index closing values ranging between 4 January 1988 and 27 December 1996. In the second part, the structure of the stock market volatility in Turkey has been investigated both for the 1988-1996 period as a whole and on a year basis so as to come up with some conclusion about one of the main parameters used in option pricing, namely volatility. Moreover, in this part, the volatility, starting from January 2, 1997 when two digits has been removed from the index, is analysed by using ISE-100 and ISE-30 Composite Index closing values realised between the period 2 January 1997 - 18 June 1997.

Suggested Citation

  • Mustafa Kemal Yilmaz, 1997. "Stock Market Volatility and Its Term Structure: Empirical Evidence From the Turkish Market," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 1(3), pages 25-42.
    • Handle: RePEc:bor:iserev:v:1:y:1997:i:3:p:25-42
    as

    Download full text from publisher

    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_03.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bor:iserev:v:1:y:1997:i:3:p:25-42. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ahmet Palu (email available below). General contact details of provider: https://edirc.repec.org/data/rdisetr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.