Browsing by Subject "Istanbul Securities Exchange (ISE)"

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    GARCH models and an application to stock return volatility with the effect of daily trading volume in Istanbul Securities Exchange
    (1995) Ünal, ATolga
    In this study, the effect of daily trading volume on stock return volatility is analyzed using the data from Istanbul Securities Exchange (ISE). Generalized Autoregressive Conditional Heteroscedasticity (GARCH) process is employed to model the persistence in volatility of daily returns and to capture the relation between daily price increments and the trading volume. Results approve the consistency of GARCH process in modeling stock returns and indicate positive relation between the volatility of daily returns and trading volume. Also, a reduction of persistence in volatility is observed with the inclusion of trading volume in the model.
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    Prediction of Istanbul Securities Exchange composite index
    (1993) Timur, Murat
    This study presents a software developed by using Nested Generalized Exemplars, for predicting Istanbul Securities Exchange Composite Index. Information reflected in the past values of frequently used monetary variables are used to predict stock returns. Daily returns of the composite index are predicted by using: Central Bank effective selling price of US Dollar and Deutsche Mark, Istanbul Tahtakale closing selling price of Turkish Republic gold coin and one ounce of gold, Commercial Banks (İş Bank, Akbank, Yapı Kredi Bank, and Ziraat Bank) 3-month average deposit rate and 3-month Government bond interest rates. Data prior to the dates on which the predictions are made are used to learn the forecasting power of variables on composite index and to generate the appropriate rules. The results reveal that the information reflected in the past prices of the variables have significant effects on the ISE composite index.
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    Stock return and monetary variables in Istanbul Securities Exchange: a cointegration analysis
    (1995) Argaç, A. Reha
    This study investigates the long run relationship between stock prices and monetary variables and examines the different aspects of the relation for the period between 1988 and 1995, and for three subperiods within this range using daily data. The discrimination between the periods are made due to the strict changes in the volume of trade in ISE which indicate us a structural change.A recently developed statistical theory, i.e. the cointegration theory, which is based on the use of time series regressions and permits us to study the long-run relations of the nonstationary time series, is used for examining the relation.The results show that especially in last five years, there is a tendency to weaken the relation between monetary variables and the stock prices in Turkish stock market. This tendency can be explained by the rapid increase in the volume of trade causing an increase in the number of investors utilizing the same set of information.