Year 2010,
Volume: 9 Issue: 33, 122 - 140, 01.07.2010
Abstract
This paper detects the sudden volatility shifts in Turkish banking stock returns following the process of Iterated Cumulative Squared Returns (ICSS) and investigates both the local and global causes of volatility shifts. The results indicate that examined banking sector returns have exposed to fifteen volatility shifts, which have significant impact on volatility persistence. Overall, the results provide evidence that banking sector returns of Turkey is highly affected by both local and global political, economic, and social events.
Keywords
References
- BRADLEY T. E.; MALIK F.. (2005). Re-Examining The Asymmetric Predictability Of Conditional Variances: The Role Of Sudden Changes In Variance, Journal of Banking & Finance 29 2655–2673
- FERNANDEZ V.. (2006). “The Impact Of Major Global Events On Volatility Shifts: Evidence From The Asian Crisis And 9/11”, Economic Systems 30 79–97
- GUILLERMO C., EWING B. T., SCOTT E. HEIN, M. A. (2006). T., Modeling Volatility Changes İn The 10-Year Treasury, Physica A 369 737–744
- HAMMOUDEH S., HUIMIN L., (2008). Sudden Changes In Volatility In Emerging Markets: The Case Of Gulf Arab Stock Markets, International Review of Financial Analysis 17 47–63
- INCLAN, C., TIAO G. C. (1994). Use Of Cumulative Sums Of Squares For Retrospective Detection Of Changes Of Variance, Journal of the American Statistical Association 89, 913–923
- KORKMAZ T., ÇEVİK E. İ., ÖZATAÇ N., (2009). “Testing For Long Memory In ISE Using ARFIMA-FIGARCH Model And Structural Break Test”, International Research Journal of Finance and Economics, ISSN 1450–2887 Issue 26, 186– 191
- KUAN M. W.; THANH B. NGUYEN T.. (2007). Testing For Contagion Under Asymmetric Dynamics: Evidence From The Stock Markets Between US And Taiwan, Physica A 376, 422–432
- MALIK F. (2003). Sudden Changes In Variance And Volatility Persistence In Foreign Exchange Markets, Journal of Multinational Financial Management 13: 217-230
- MALIK F., EWING B. T., PAYNE J. E., (2005). Measuring Volatility Persistence In The Presence Of Sudden Changes In The Variance Of Canadian Stock Returns, Canadian Journal of Economics / Revue canadienne d’Economique, 38, (3), Printed in Canada / Imprime´ au Canada
- MALIK F., HASSAN S. A., (2004). Modeling Volatility In Sector Index Returns With GARCH Models Using An Iterated Algorithm, Journal of Economıcs And Fınance, Volume 28, Number 2, Summer
- MARCELO J. L. M., QUIR´OS J. Luis Miralles, QUIR´OS M. D. M. M., (2008). Asymmetric Variance And Spillover Effects Regime Shifts In The Spanish Stock Market, International. Financial Markets, Institutions and Money 18: 1–15
- NEWEY, W. K., WEST, K. D. (1994), Automatic Lag Selection In Covariance Matrix Estimation, Review of Economic Studies, 61: 631 – 654.
- PING W. (2009). Tomoe Moore, Sudden Changes ın volatility: The Case Of Five Central European Stock Markets, International Financial Markets, Institution. And Money 19, 33–46
- RICHARD G., PATRICK W., RALF Z. (2006). Structural Breaks And Diversification: The İmpact Of The 1997 Asian Financial Crisis On The İntegration Of Asia-Pacific Real Estate Markets, Journal of International Money and Finance 25 974e991
- SANG H. K., HWAN-G. C., SEONG-M. Y., (2009). Modeling Sudden Volatility Changes: Evidence From Japanese And Korean Stock Markets, Physica A, 388 3543-3550
- SANSÓ A., ARAGÓ V., CARRION J. L., (2004). Testing For Changes In The Unconditional Variance Of Financial Time Series, Revista de Economía financiera, , 1-24
- TUNAY B. K., (2009). Türk Bankacılık Sektöründe Rekabet ve Kırılganlık, Bankacılar Dergisi, Sayı 68,
- VICENT A. M., MARIA A. FERNANDEZ-I., (2007). Influence Of Structural Changes In Transmission Of Information Between Stock Markets: A European Empirical Study, Journal. of Multinational Financial Management,. 17 112–124
- VIVIANA F. (2008). The War On Terror And Its Impact On The Long-Term Volatility Of Financial Markets, International Review of Financial Analysis 17, 1–26
Year 2010,
Volume: 9 Issue: 33, 122 - 140, 01.07.2010
Abstract
Bu çalışma Türk bankalarına ait hisse senetlerine ilişkin getirilerde meydana gelen ani oynaklık değişimlerini Yinelenen Birikimli Kareler yöntemi aracılığıyla belirlemekte ve söz konusu kırılmaların olası yerel ve küresel nedenlerini incelemektedir. Sonuçlar bankacılık sektörüne ait hisse senetleri getiri serilerinde on beş adet ani oynaklık kırılması meydana geldiğini göstermiştir. Çalışma sonucunda, Türk bankacılık sektör hisse senedi getirilerinin yerel ve küresel nitelikteki siyasi ve ekonomik olaylardan etkilendiği saptanmıştır.
References
- BRADLEY T. E.; MALIK F.. (2005). Re-Examining The Asymmetric Predictability Of Conditional Variances: The Role Of Sudden Changes In Variance, Journal of Banking & Finance 29 2655–2673
- FERNANDEZ V.. (2006). “The Impact Of Major Global Events On Volatility Shifts: Evidence From The Asian Crisis And 9/11”, Economic Systems 30 79–97
- GUILLERMO C., EWING B. T., SCOTT E. HEIN, M. A. (2006). T., Modeling Volatility Changes İn The 10-Year Treasury, Physica A 369 737–744
- HAMMOUDEH S., HUIMIN L., (2008). Sudden Changes In Volatility In Emerging Markets: The Case Of Gulf Arab Stock Markets, International Review of Financial Analysis 17 47–63
- INCLAN, C., TIAO G. C. (1994). Use Of Cumulative Sums Of Squares For Retrospective Detection Of Changes Of Variance, Journal of the American Statistical Association 89, 913–923
- KORKMAZ T., ÇEVİK E. İ., ÖZATAÇ N., (2009). “Testing For Long Memory In ISE Using ARFIMA-FIGARCH Model And Structural Break Test”, International Research Journal of Finance and Economics, ISSN 1450–2887 Issue 26, 186– 191
- KUAN M. W.; THANH B. NGUYEN T.. (2007). Testing For Contagion Under Asymmetric Dynamics: Evidence From The Stock Markets Between US And Taiwan, Physica A 376, 422–432
- MALIK F. (2003). Sudden Changes In Variance And Volatility Persistence In Foreign Exchange Markets, Journal of Multinational Financial Management 13: 217-230
- MALIK F., EWING B. T., PAYNE J. E., (2005). Measuring Volatility Persistence In The Presence Of Sudden Changes In The Variance Of Canadian Stock Returns, Canadian Journal of Economics / Revue canadienne d’Economique, 38, (3), Printed in Canada / Imprime´ au Canada
- MALIK F., HASSAN S. A., (2004). Modeling Volatility In Sector Index Returns With GARCH Models Using An Iterated Algorithm, Journal of Economıcs And Fınance, Volume 28, Number 2, Summer
- MARCELO J. L. M., QUIR´OS J. Luis Miralles, QUIR´OS M. D. M. M., (2008). Asymmetric Variance And Spillover Effects Regime Shifts In The Spanish Stock Market, International. Financial Markets, Institutions and Money 18: 1–15
- NEWEY, W. K., WEST, K. D. (1994), Automatic Lag Selection In Covariance Matrix Estimation, Review of Economic Studies, 61: 631 – 654.
- PING W. (2009). Tomoe Moore, Sudden Changes ın volatility: The Case Of Five Central European Stock Markets, International Financial Markets, Institution. And Money 19, 33–46
- RICHARD G., PATRICK W., RALF Z. (2006). Structural Breaks And Diversification: The İmpact Of The 1997 Asian Financial Crisis On The İntegration Of Asia-Pacific Real Estate Markets, Journal of International Money and Finance 25 974e991
- SANG H. K., HWAN-G. C., SEONG-M. Y., (2009). Modeling Sudden Volatility Changes: Evidence From Japanese And Korean Stock Markets, Physica A, 388 3543-3550
- SANSÓ A., ARAGÓ V., CARRION J. L., (2004). Testing For Changes In The Unconditional Variance Of Financial Time Series, Revista de Economía financiera, , 1-24
- TUNAY B. K., (2009). Türk Bankacılık Sektöründe Rekabet ve Kırılganlık, Bankacılar Dergisi, Sayı 68,
- VICENT A. M., MARIA A. FERNANDEZ-I., (2007). Influence Of Structural Changes In Transmission Of Information Between Stock Markets: A European Empirical Study, Journal. of Multinational Financial Management,. 17 112–124
- VIVIANA F. (2008). The War On Terror And Its Impact On The Long-Term Volatility Of Financial Markets, International Review of Financial Analysis 17, 1–26
There are 19 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Articles |
| Authors | |
| Publication Date | July 1, 2010 |
| Submission Date | September 10, 2014 |
| Published in Issue | Year 2010 Volume: 9 Issue: 33 |
Elektronik Sosyal Bilimler Dergisi (Electronic Journal of Social Sciences), Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı ile lisanslanmıştır.
ESBD Elektronik Sosyal Bilimler Dergisi (Electronic Journal of Social Sciences), Türk Patent ve Marka Kurumu tarafından tescil edilmiştir. Marka No:2011/119849.