Stock Volatility Modeling in Health Enterprises: An Econometric Survey in The Human Health and Social Services Sector

Tuğba Nur Topaloğlu () and Erol Köycü
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Tuğba Nur Topaloğlu: Sirnak University
Erol Köycü: Sirnak University

Bulletin of Economic Theory and Analysis, 2020, vol. 5, issue 1, 87-107

Abstract: The aim of the study is to estimate the volatility of the share return by using daily data of Lokman Hekim and MLP health services companies operating in Borsa Istanbul human health and social services sector for the period 14.02.2018 - 6.03.2020. In the study, symmetric and asymmetric varying variance models have been used to estimate share return volatility. Accordingly, the most suitable model for the Lokman Hekim series have been identified as TGARCH(1,1) and for the MLP health services series as GARCH(1,1). According to the analysis results, approximately 18% of shocks affecting the MPL health services series have been caused by past period shocks, while 55% have been caused by previous period shocks. On the other hand, it has been determined that approximately 10% of the shocks affecting the Lokman Hekim series have been caused by past period shocks and 21% of the current period shocks have been caused by previous period shocks. Furthermore, in the Lokman Hekim series, the effect of negative news on volatility can be said to be more than positive news. It has been found that the effect of positive news on volatility has approximately 10% and the effect of negative news on volatility has approximately 32%. In addition, HL (halflife) measure calculations have been showed that the effect of a shock to MPL health services series lasted approximately 2 days, while the effect of a shock to Lokman Hekim series lasted less than one day.

Keywords: Volatility; Istanbul Stock Exchange; Health Organizations (search for similar items in EconPapers)
JEL-codes: G10 G17 I11 (search for similar items in EconPapers)
Date: 2020
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