Özet:

The main hypothesis of this study, which is “The volatility of the ISE Corporate Governance Index that consists of stocks of firms to adopt and implement the principles of corporate governance, is lower than the volatility of ISE 100, ISE 50 and ISE 30 indexes”, was analyzed by using ARCH, GARCH, EGARCH and TGARCH model by E-Views. Between 31.08.2007 – 31.12.2013, 1592 daily datas that belong to Corporate Governance and ISE100 indexes were used for analysing. According to results, volatility clustering has been observed in both indexes. Half-life of volatility experienced in ISE 100 Index is lower than Corporate Govarnence Index. As a result; the volatility of the Corporate Governance Index that consists of stocks of firms to adopt and implement the principles of corporate governance, is lower than the volatility of ISE 100 has been reached

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