Stock Returns and Volatility: Some Evidence from Istanbul Stock Exchange

Bu çalışmada, hisse senedi getirileriyle bu getirilerin tahminî değişkenlikleri arasmdaki ilişki, İMKB Hisse Senetleri Piyasası için firma ve portföy düzeyinde araştırılmıştır. Beklenen değişkenlik değerleri, simetrik ve asimetrik koşullu değişkenlik modelleri olan ARCH(p), GARCH(1,1), EGARCH(1,1) ve GJR-GARCH(U) ile hesaplanmıştır. Ocak 1991 - Aralık 2006 dönemi için yapılan çalışmada, aylık beklenen değişkenlik değerleri örneklem-dışı tahmin değerlerinin bir göstergesi olarak kullanılmıştır. Beklenen ve beklenmeyen değişkenlikler ile getiriler arasmda pozitif veya negatif ilişkinin olduğu durum sayısı oldukça azdır ve R2 değerleri düşük düzeylerdedir. Bu çalışmanın sonuçlarına göre, İMKB'de getiri ve risk arasında anlamlı düzeyde bir ilişki bulunmamaktadır.

Hisse Senedi Getirileri ve Değişkenlik: İMKB Üzerine Bir Çalışma

This paper investigates the firm-level and portfolio-level relationships between stock market returns and their forecast volatilities in Istanbul Stock Exchange (ISE). Expected volatility is derived from symmetric and asymmetric conditional volatility models: ARCH(p), GARCH(1,1), EGARCH(1,1) and GJR-GARCH(1,1). The out-of-sample forecasts are used as a proxy for monthly expected volatilities over the period of January 1991 to December 2006. Expected and unexpected volatilities are found to have a positive or negative effect in a few cases with low R2 values. The results of this study do not provide any support for a relationship between stock returns and volatility in ISE.

PDF

___

BAILLIE, RICHARD T. AND DEGENNARO, RAMON P., JUNE 1990, "STOCK RETURNS AND VOLATILITY", JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, VOL: 25, NO: 2, P: 203-214.
BALABAN, ERCAN, BAYAR, ASLI AND KAN, OZGUR B., 2001, "STOCK RETURNS, SEASONALITY AND ASYMMETRIC CONDITIONAL VOLATILITY IN WORLD EQUITY MARKETS", APPLIED ECONOMICS LETTERS, 8, P: 263-268.
BREEN, WILLIAM, GLOSTEN, LAWRENCE R. AND JAGANNATHAN RAVI, DECEMBER 1989, "ECONOMIC SIGNIFICANCE OF PREDICTABLE VARIATIONS IN STOCK INDEX RETURNS", THE JOURNAL OF FINANCE, VOL: 44, NO: 5, P: 1177-1189.
CAMPBELL, JOHN Y. AND HENTSCHEL, LUNDE, 1992, "NO NEWS IS GOOD NEWS: AN ASYMMETRIC MODEL OF CHANGING VOLATILITY IN STOCK RETURNS", JOURNAL OF FINANCIAL ECONOMICS, 31, P: 281-318.
CAO, RICARDO, HERAS, ALICIA DE LAS AND SAAVEDRA ANGELAS, 2004, "THE UNCERTAINTIES ABOUT THE RELATIONSHIPS RISK-RETURN- VOLATILITY IN THE SPANISH STOCK MARKET", http://WWW.UDC.es/DEP/MATE/RICAR DO/ARCHIVOS/RISK-RETURN- VOLATILITY.PDF
CHAN, K.C., KAROLYI, G.A. AND STULZ, R., 1992, "GLOBAL FINANCIAL MARKETS AND THE RISK PREMIUM ON US EQUITY JOURNAL OF FINANCIAL ECONOMICS, 32, P: 137-167.
CHEUNG, YIN-WONG AND NG, LILIAN K., DECEMBER 1992, "STOCK PRICE DYNAMICS AND FIRM SIZE: AN EMPIRICAL INVESTIGATION", THE JOURNAL OF FINANCE, VOL: 47, NO: 5 P: 1985-1997.
CHOU, RAY. Y., OCT.-DEC.1988, "VOLATILITY PERSISTENCE AND STOCK VALUATIONS: SOME EMPIRICAL EVIDENCE USING GARCH", JOURNAL OF APPLIED ECONOMETRICS, VOL: 3, NO: 4, P: 279-294.
FRENCH, KENNETH R., SCHWERT, G.WILLIAM AND STAMBAUGH, ROBERT S., 1987, "EXPECTED STOCK RETURNS AND VOLATILITY', JOURNAL OF FINANCIAL ECONOMICS, 19, P: 3-29.
GIRARD, ERIC, RAHMAN, HAMID AND ZAHER, TAREK, 2001, "INTERTEMPORAL RISK-RETURN RELATIONSHIP IN THE ASIAN MARKETS AROUND THE ASIAN CRISES", FINANCIAL SERVICES REVIEW, 10, P. 249-72.
GLOSTEN LAWRENCE R., JAGANNATHAN RAVI AND RUNKLE DAVID E., DECEMBER 1993, "ON THE RELATION BETWEEN THE EXPECTED VALUE AND THE VOLATILITY OF THE NOMINAL EXCESS RETURN ON STOCKS", THE JOURNAL OF FINANCE, VOL: 48, NO: 5, P: 1779-1801.
HARRISON, PAUL AND ZHANG, HAROLD H., AUGUST 1999, "AN INVESTIGATION OF THE RISK AND RETURN RELATION AT LONG HORIZONS", THE REVIEW OF ECONOMICS AND STATISTICS, VOL: 81, NO: 3; P: 399-408.
KOULAKIOTIS, ATHANASIOS, PAPASYRIOPOULOS, NICHOLAS AND MOLYNEUX, PHIL, 2006, "MORE EVIDENCE ON THE RELATIONSHIP BETWEEN STOCK PRICE RETURNS AND VOLATILITY: A NOTE", INTERNATIONAL RESEARCH JOURNAL OF FINANCE AND ECONOMICS, ISSUE: 1, P: 21-8.
LEON, A, NAVE, J. AND RUBIO G., 2007, "THE RELATIONSHIP BETWEEN RISK AND EXPECTED RETURN IN EUROPE", JOURNAL OF BANKING AND FINANCE, 31, P: 495-512.
MOUGONE AND WHYTE, 1996, "STOCKRETURNS AND VOLATILITY: AN EMPIRICAL INVESTIGATION OF THE GERMAN AND FRENCH EQUITY MARKETS", GLOBAL FINANCE JOURNAL, 7, P: 253-263
NELSON, DANIEL B., MARCH 1991, "CONDITIONAL HETEROSCEDASTICITY IN ASSET RETURNS: A NEW APPROACH", ECONOMETRICA, VOL: 59, NO: 2, P: 347-370.
PINDYCK, ROBERT S, JUNE 1984, "RISK, INFLATION AND THE STOCK MARKET", AMERICAN ECONOMIC REVIEW, VOL: 74, NO: 3, P: 335-351.
POON, S.H. AND TAYLOR, S.J., 1992, "STOCK RETURNS AND VOLATILITY: AN EMPIRICAL STUDY OF THE UK STOCK MARKET", JOURNAL OF BANKING AND FINANCE, 16, P: 37-59.
SALMAN, FERHAN, 1999, "RISK-RETURN- VOLUME RELATIONSHIP IN AN EMERGING MARKET", HTTP:/AVWW.TCMB.GOV.TR/RESEARCH/ DISCUS/DPAPER1 .PDF
SCRUGGS, JOHN T., APRIL 1998, "RESOLVING THE PUZZLING INTERTEMPORAL RELATION BETWEEN THE MARKET RISK PREMIUM AND CONDITIONAL MARKET VARIANCE: A TWO-FACTOR APPROACH", THE JOURNAL OF FINANCE, VOL: 53, NO: 2, P: 575-603.
THEODOSSIOU, PANAYIOTIS AND LEE, UNRO, MARCH 1995,"RELATIONSHIP BETWEEN VOLATILITY AND EXPECTED RETURNS ACROSS INTERNATIONAL STOCK MARKETS", JOURNAL OF BUSINESS FINANCE AND ACCOUNTING, VOL:22, NO:2, P:289-300.