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

Author

Listed:
  • Melike Bildirici

    () (Department of Economics, Yildiz Technical University)

  • Sadiye Oktay

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.

Suggested Citation

  • Melike Bildirici & Sadiye Oktay, 2009. "Volatility of Stock Return in ISE in Political Instability Period: Regime-Switching AP-GARCH Test," Working Papers 0010, Yildiz Technical University, Department of Economics, revised Apr 2009.
  • Handle: RePEc:yil:wpaper:0010
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    File URL: http://www.ikt.yildiz.edu.tr/RePEc/yil/makaleler/bildirici0010.pdf
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    More about this item

    Keywords

    ISE; Volatility; GARCH(1; 1); PGARCH(1; 1); AP-GARCH(1; 1); RSAPGARCH(1; 1);

    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

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