IDEAS home Printed from
   My bibliography  Save this article

Volatility of ISE and Business Cycle


  • Saadet Kirbas-Kasman
  • Adnan Kasman


In this paper, we use a disaggregated approach suggested in (Campbell et al. 2001) to study the volatility of a typical stock in the Istanbul Stock Exchange (ISE) at the market, industry, and firm levels over the period 1992-1999. The aim of study is to examine the link between these three disaggregated volatility measures and selected macroeconomic variables. The chosen macroeconomic variables are GDP growth, industrial production, inflation rate and exchange rate. The results indicate that market level volatility accounts for the greatest share of the total firm volatility on average. The results further suggest that market and firm level volatility have positive correlation with leads and lags of exchange rate while industry level volatility has positive correlation with inflation rate. The results also suggest that all the components of volatility do not exhibit counter-cyclical behavior with respect to GDP growth and industrial production.

Suggested Citation

  • 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.
  • Handle: RePEc:tcb:cebare:v:3:y:2003:i:1:p:67-84

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. 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, February.
    2. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Oxford University Press, vol. 61(4), pages 631-653.
    3. Campbell, John Y, 1991. "A Variance Decomposition for Stock Returns," Economic Journal, Royal Economic Society, vol. 101(405), pages 157-179, March.
    4. 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.
    5. Hamilton, James D & Gang, Lin, 1996. "Stock Market Volatility and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 573-593, Sept.-Oct.
    6. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    7. Richard Harris & C. Coskun Kucukozmen, 2001. "The empirical distribution of stock returns: evidence from an emerging European market," Applied Economics Letters, Taylor & Francis Journals, vol. 8(6), pages 367-371.
    8. Schwert, G William, 1989. " Why Does Stock Market Volatility Change over Time?," Journal of Finance, American Finance Association, vol. 44(5), pages 1115-1153, December.
    9. Zafer Yavan & C.Bulent Aybar, 1998. "Volatility in Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 2(6), pages 35-48.
    10. Officer, R R, 1973. "The Variability of the Market Factor of the New York Stock Exchange," The Journal of Business, University of Chicago Press, vol. 46(3), pages 434-453, July.
    11. Cem Payaslioglu, 2001. "Testing Volatility Asymmetry in Istanbul Stock Exchange," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(18), pages 1-12.
    12. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
    13. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item


    Firm-level volatility; Industry-level volatility; ISE; Business cycle;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


    Access and download statistics


    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:tcb:cebare:v:3:y:2003:i:1:p:67-84. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: () or () or (). General contact details of provider: .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.