Modeling the Turkish stock market volatility using macroeconomic variables withvarious GARCH and OLS models
Başlık çevirisi mevcut değil.
- Tez No: 757457
- Danışmanlar: Belirtilmemiş.
- Tez Türü: Yüksek Lisans
- Konular: Ekonomi, Maliye, Economics, Finance
- Anahtar Kelimeler: Belirtilmemiş.
- Yıl: 2020
- Dil: İngilizce
- Üniversite: University of Bradford
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: 99
Özet
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Özet (Çeviri)
This dissertation contains a series of quantitative analyses of symmetric and asymmetric GARCH models in order to examine the volatility clustering behavior in the Borsa Istanbul (BIST) between 2011 and 2019. The GARCH models are a major representative model in finance literature. Recently asymmetric and symmetric GARCH models have been popularized primarily because they can capture the dynamic structure of volatility and asymmetric behaviors. This body of work compares and assesses the different GARCH approaches and developments based upon literature originating from Engle's 1982. The sample period is divided into two subperiods to allow the comparison between behavior of the two periods when the political, governmental, and economical indicators have changed within Turkey. In two different periods, macroeconomic variables do not show a significant difference. Stock market volatility has been affected by the fluctuations of gold, exchange rate, government bond, and crude oil. The impacts are predominantly negative for crude oil but positive for government bond volatilities on the market and sectoral indices. The stock market exhibits asymmetric and leverage effects for the selected sample period. Asymmetric GARCH models surpass symmetric model in explaning the financial time– series. The results detail that investors who wish to diversify their investments should take note of dynamic volatility so as to maximize their returns and minimize risk
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