Stock Market Volatility and Its Term Structure: Empirical Evidence From the Turkish Market

Mustafa Yılmaz

Istanbul Stock Exchange Review, 1997, vol. 1, issue 3, 25-42

Abstract: This paper focuses on the informational efficiency of an emerging stock market of a developing country, namely Turkey and also on stock market volatility from two different, but complementary perspective. In the first part, the volatility trend and its term structure throughout the time is analysed. In this context, the realised volatility and the expected volatility are calculated and compared under the random walk theory by using the relevant ISE Composite Index closing values ranging between 4 January 1988 and 27 December 1996. In the second part, the structure of the stock market volatility in Turkey has been investigated both for the 1988-1996 period as a whole and on a year basis so as to come up with some conclusion about one of the main parameters used in option pricing, namely volatility. Moreover, in this part, the volatility, starting from January 2, 1997 when two digits has been removed from the index, is analysed by using ISE-100 and ISE-30 Composite Index closing values realised between the period 2 January 1997 - 18 June 1997.

Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:1:y:1997:i:3:p:25-42

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