Volatility of BIST 100 Returns After 2020, Calendar Anomalies and COVID-19 Effect

Ali Celýk

Journal of BRSA Banking and Financial Markets, 2021, vol. 15, issue 1, 61-81

Abstract: Market actors define the volatility in financial markets as a measure of risk. This study aims to investigate the volatility movements in the return series calculated on the closing values of the BIST 100 index between 01.Jan.2020-11.Feb.2021. In addition, the days of the week anomaly, the dates of public holiday, and COVID-19 pandemic effect were used as dummy variable in the econometric model. The findings showed that the EGARCH (3,3) model is to be the best performing model. Accordingly, Friday’s anomaly, Public Holidays, and the COVID-19 pandemic create negative shocks on the volatility movements of the return series, increase the volatility movements, and consequently, asymmetric and leverage effect emerged.

Keywords: Volatility of BIST 100 returns; EGARCH; Calendar anomalies; COVID-19 (search for similar items in EconPapers)
JEL-codes: G1 G11 G17 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:bdd:journl:v:15:y:2021:i:1:p:61-81

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