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Exploring the characteristics of risk at the Istanbul Stock Exchange

Title: Exploring the characteristics of risk at the Istanbul Stock Exchange

Research Paper (postgraduate) , 2010 , 10 Pages , Grade: none

Autor:in: Samir Huseynov (Author)

Economics - Finance
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Summary Excerpt Details

Financial markets became indivisible part of global economy in 20th century. Their importance is still a growing process. The great depression was triggered by stock market crash in US and similarly current crises took its origin from financial markets. So, stock markets and the risk in these markets are economic phenomena which need to be studied a lot. This paper focuses on the characteristics of the risk at the Istanbul Stock Exchange(IMKB) and uses GARCH/ARCH framework for economic analysis. There are a lot of papers on this kind of markets, but they mainly investigate the risk in mature economies. The similar researches should be done for emerging markets as in nowadays their importance and influence is increasing. Hopefully this paper will be pharos for similar investigations

Excerpt


Inhaltsverzeichnis (Table of Contents)

  • Motivation
  • Data
  • Estimation

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

This paper investigates the characteristics of risk at the Istanbul Stock Exchange (IMKB) using the GARCH/ARCH framework for economic analysis. The study aims to contribute to the understanding of risk in emerging markets, where their importance and influence are increasingly significant.

  • Risk characteristics at the Istanbul Stock Exchange (IMKB)
  • GARCH/ARCH framework for economic analysis
  • Comparison of risk in mature and emerging markets
  • Importance and influence of emerging markets
  • Application of statistical modeling to analyze financial market data

Zusammenfassung der Kapitel (Chapter Summaries)

  • Motivation: This section introduces the importance of financial markets in the global economy, highlighting the significant role they play in both economic growth and crises. It emphasizes the need for studying stock markets and the risks associated with them, particularly in emerging markets like Turkey.
  • Data: This section describes the data used in the analysis, including variables representing the Istanbul Stock Market (IMKB) and major world markets, such as the DAX, DJIA, FTSE, and NASDAQ. The process of obtaining and correcting the data is explained, focusing on daily closing indices and the calculation of returns.
  • Estimation: This section delves into the statistical analysis, starting with a basic regression to identify relationships between the Turkish stock exchange and other world markets. The paper explores the lack of significant relationships, potentially attributed to Turkey's unique economic experiences in the past two decades. The analysis then focuses on the relationship between RIMKB (Istanbul Stock Market) and its own past performance, utilizing a GARCH (1, 1) model to capture volatility. The section examines the residuals, correlograms, and the distribution of the data, highlighting the presence of volatility clustering and the need to address potential abnormalities.

Schlüsselwörter (Keywords)

This paper focuses on the characteristics of risk at the Istanbul Stock Exchange (IMKB), using the GARCH/ARCH framework for economic analysis. Key concepts include emerging markets, volatility clustering, standardized residuals, conditional variance, and the importance of considering economic and political factors in financial market analysis.

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Details

Title
Exploring the characteristics of risk at the Istanbul Stock Exchange
College
Central European University Budapest
Course
Applied Econometrics
Grade
none
Author
Samir Huseynov (Author)
Publication Year
2010
Pages
10
Catalog Number
V188823
ISBN (eBook)
9783656126034
ISBN (Book)
9783656126560
Language
English
Tags
Applied Econometrics ARCH GARCH Istanbul Stock Echange IMKB Istanbul Turkey
Product Safety
GRIN Publishing GmbH
Quote paper
Samir Huseynov (Author), 2010, Exploring the characteristics of risk at the Istanbul Stock Exchange, Munich, GRIN Verlag, https://www.grin.com/document/188823
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