DAILY VOLATILITY ANALYSIS OF BIST 100 CONSTITUENTS BETWEEN 2018-2020

Cavit PAKEL; Kadir ÖZEN

doi:https://doi.org/10.14780/muiibd.854509

Makale detayları

DAILY VOLATILITY ANALYSIS OF BIST 100 CONSTITUENTS BETWEEN 2018-2020

Yazarlar:

Cavit PAKEL | Kadir ÖZEN

Yayıncı:

Marmara University

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

Marmara University Journal of Economic and Administrative Sciences 2020 Vol.42 Issue 2, pp.340-360

Belge Tipi:

Makale

Yayın Tarihi:

12/2020

Belge Dili:

İngilizce

Document ID (Org No.):

2000535490

Sıklık:

İki Yıllık

pISSN:

2587-2672

DOI:

https://doi.org/10.14780/muiibd.854509

Özet:

 

The Turkish economy has experienced two important shocks in the recent past. The first is a currency shock
which occurred in August 2018. A second, substantially more impactful, shock is the COVID-19 pandemic,
which began in early 2020 and is still in progress. An interesting question from the perspectives of both
policy makers and practitioners is whether significant changes in key economic and financial variables
have been observed in the period marked by these two shocks. We investigate this question for the volatility
of the daily returns on BIST 100 constituent equities, using a novel panel GARCH modelling approach.
We find that during the periods associated with the two shocks, the stock market volatility has increase
substantially. Importantly, this increase has been greater and more persistent during the pandemic period.
Moreover, our analysis of sector-specific volatilities also reveals that this period of two shocks has witnessed
a uniform increase in the average volatilities of all sectors, compared to the period before.

Makale detayları

DAILY VOLATILITY ANALYSIS OF BIST 100 CONSTITUENTS BETWEEN 2018-2020

Yazarlar: Cavit PAKEL | Kadir ÖZEN

Yayıncı: Marmara University

Ana Başlıklar: Ekonomi ve Maliye

Dergi: Marmara University Journal of Economic and Administrative Sciences 2020 Vol.42 Issue 2, pp.340-360

Belge Tipi: Makale

Yayın Tarihi: 12/2020

Belge Dili: İngilizce

Document ID (Org No.): 2000535490

Sıklık: İki Yıllık

pISSN: 2587-2672

DOI: https://doi.org/10.14780/muiibd.854509

Sayı

Yazarlar:

Cavit PAKEL | Kadir ÖZEN

Yayıncı:

Marmara University

Ana Başlıklar:

Ekonomi ve Maliye

Dergi:

Marmara University Journal of Economic and Administrative Sciences 2020 Vol.42 Issue 2, pp.340-360

Belge Tipi:

Makale

Yayın Tarihi:

12/2020

Belge Dili:

İngilizce

Document ID (Org No.):

2000535490

Sıklık:

İki Yıllık

pISSN:

2587-2672

DOI:

https://doi.org/10.14780/muiibd.854509