Analyzing the idiosyncratic volatility character of emerging markets: A post crisis investigation on istanbul stock exchange

GÖKGÖZ F., Altintaş İ.

2012 World Congress on Engineering, WCE 2012, London, Birleşik Krallık, 4 - 06 Temmuz 2012, cilt.2197, ss.475-480 identifier

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Cilt numarası: 2197
  • Basıldığı Şehir: London
  • Basıldığı Ülke: Birleşik Krallık
  • Sayfa Sayıları: ss.475-480
  • Anahtar Kelimeler: Firm specific risk, Idiosyncratic volatility, Turkey, Volatility
  • Ankara Üniversitesi Adresli: Evet

Özet

© 2012 Newswood Limited. All rights reserved.In this study, we aim to introduce behavior of idiosyncratic volatility and its forecasting ability in prediction of future return in Istanbul Stock Exchange (ISE) as an emerging market stock exchange, over the post World Economic Crisis in 2008. We measure equally weighted idiosyncratic volatility by following the Campbell’s (2001) Indirect Method, by considering market size and weekly basis in the period of 2009:01 to 2011:12. Our results reveal that idiosyncratic volatility is the biggest component of total volatility and show no trend, although market volatility has a slow decreasing trend in this period. We also find that small size stocks have slightly higher volatility than the big size stocks but both portfolios have similar idiosyncratic risk behavior. Finally, the study found that idiosyncratic risk and systematic risk are jointly used in forecasting of subsequent returns.