Özet:

This paper examines the volatility of Borsa Istanbul Tourism Index by means of the two stage Markov-Switching Autoregressive Conditional Heteroskedasticity Model. The estimation of stock price volatility is critical importance for investors to make the right investment decision. Especially such as Borsa İstanbul where high volatility is experienced the right estimation of volatility is vital.  It is suggested in the literature that consideration of regime switching in estimation of volatility is necessary for consistent estimation. This study examine in three periods from 05/02/2003 to 09/14/2018; before the 2008 financial crisis, during the crisis and after the crisis.  According to these results by the Markov-Switching Autoregressive Conditional Heteroskedasticity Model the tourism index volatility could not return to pre-crisis levels.  It was determined that the volatility of the Tourism Index permanent in three periods and the volatility much higher after the crisis due to the global crisis.

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