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57
İndirme
35
The aim of this study is to show Conditional Heteroskedastic Autoregressive Moving Average (CHARMA) model can be used modeling volatility in emerging markets. Turkish Stock market data is used in the study. Seasonal anomalies, economic crises (1994 crisis, Russia crisis, 2001 crisis) and trading volume change are also considered in the study. The results show that while returns are high on Friday and low on Monday, volatility is high on Monday and in crises periods but it is low in summer time. Trading volume change affects both returns and volatility positively. Results also show that volatility of stock returns in Istan-bul Stock Exchange (ISE) depends on interactions between first two lagged deviations from average return.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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