Daily Volatility analysis of ISE
Başlık çevirisi mevcut değil.
- Tez No: 102329
- Danışmanlar: DOÇ. DR. OSMAN GÜRBÜZ
- Tez Türü: Yüksek Lisans
- Konular: İşletme, Business Administration
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 2000
- Dil: İngilizce
- Üniversite: Marmara Üniversitesi
- Enstitü: Sosyal Bilimler Enstitüsü
- Ana Bilim Dalı: İşletme Ana Bilim Dalı
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 79
Özet
Özet yok.
Özet (Çeviri)
ABSTRACT It is generally accepted that financial market volatility is a very important criterion in investment decisions. Besides, it is also accepted that Turkey is one of the most important emerging countries throughout the world economy. When these two facts came together, they constructed the main aim of this study. This study aims to analyze the daily return volatility of ISE in TL and US $. By doing so, we try to find the most efficient econometric technique in modeling daily return volatility of ISE/TL, and ISE/$. In addition to this, the impacts of political, natural, and macroeconomic news effects are also analyzed. In daily level, ISE return volatility may be influenced by public announcements, i.e. monthly inflation rate announcements by SIS, political events, i.e. elections, and natural events, i.e. earthquake. 3131 observations for ISE/TL, and 3107 observations for ISE/$ between the dates of 26/10/1987 and 1/6/2000 are used in order to estimate the daily return volatility of ISE. This study reveals three important findings. First, ISE daily return volatility exhibits conditional heteroskedasticity which is estimated by Arch-type models. Second, there is no asymmetric news effects. This means that the hypothesis that bad news have a greater impact on volatility than good news is not acceptable. And finally, expected news arrivals like public announcements are much more effective than the unexpected news arrivals like natural events. VI
Benzer Tezler
- BİST'teki endekslerin volatilitelerinin karşılaştırmalı analizi: BİST kurumsal yönetim, BİST 100, BİST 50 ve BİST 30 Endeksleri üzerinde bir uygulama
Comparative analysis of the volatility of the indexes in ISE; an application on BIST corporate governance, BIST 100, BIST 50 and BIST 30
ÖZKAN ŞAHİN
- Dolar kuru ve petrol fiyatları ile seçili BIST endeksleri arasındaki volatilite yayılımının DCC-GARCH modeli ile analizi
Analysis of volatility spread between dollar rate and oil prices and selected BIST indices using DCC-GARCH model
AYYÜCE BERİN BOSTANCI
Yüksek Lisans
Türkçe
2022
İşletmeBurdur Mehmet Akif Ersoy ÜniversitesiMuhasebe ve Finansal Yönetim Ana Bilim Dalı
DR. ÖĞR. ÜYESİ ERCÜMENT DOĞRU
- Kripto para piyasasındaki volatilitenin davranışsal finans teorisi açısından incelenmesi
An analysis of volatility in the cryptocurrency market in terms of behavioral finance theory
İBRAHİM KORKMAZ KAHRAMAN
- Analysis of volatility transmission mechanism across equity markets
Hisse senedi piyasalarında oynaklık geçişliliği mekanizmasının analizi
PINAR KAYA
Doktora
İngilizce
2017
Ekonometriİstanbul Teknik Üniversitesiİktisat Ana Bilim Dalı
PROF. DR. BÜLENT GÜLOĞLU
- Finansal zaman serilerindeki oynaklığın çok değişkenli GARCH modelleri ile analizi
Analysis of the volatility in financial time series using multivariate GARCH models
MEHMET OZAN ÖZDEMİR