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Investigating leverage effect on Turkish stock market with ARCH models within two sub-groups

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dc.contributor.authorDemir, Ibrahim
dc.contributor.authorCene, Erhan
dc.date.accessioned2026-06-27T13:15:43Z
dc.date.issued2012
dc.description.abstractPredicting the stock market movements have always been a very interesting subject to study. The most important concept that is related with stock market movements is volatility which is a measure of mobility at the market. In this study, by using IMKB indexes closing values at the period of 04.11.2002 - 25.11.2011, two sub-periods are defined and with the help of different ARCH models, it is tried to find any structural differences between these sub-periods with the help of leverage effect.en
dc.identifier.endpage226
dc.identifier.issn1303-1732
dc.identifier.issue2
dc.identifier.startpage214
dc.identifier.urihttps://hdl.handle.net/20.500.14981/51173
dc.identifier.volume41
dc.identifier.wos000409801300004
dc.language.isotur
dc.publisherISTANBUL UNIV
dc.relation.ispartofISTANBUL UNIVERSITY JOURNAL OF THE SCHOOL OF BUSINESS
dc.subjectVolatility
dc.subjectARCH
dc.subjectLeverage Effect
dc.subjectBusiness & Economics
dc.titleInvestigating leverage effect on Turkish stock market with ARCH models within two sub-groups
dc.typeArticle
dspace.entity.typePublication
local.import.sourceWOS

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