Volatility In The Turkish Stock Market: An Industry-Level Analysis

Saadet KIRBAS Kasman () and Adnan Kasman ()
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Saadet KIRBAS Kasman: Dokuz Eylül Üniversitesi, Isletme Fakültesi, Iktisat Bölümü
Adnan Kasman: Dokuz Eylül Üniversitesi, Isletme Fakültesi, Iktisat Bölümü

Ege Academic Review, 2002, vol. 2, issue 2, 29-41

Abstract: This paper examines the volatility of Turkish stock market at the industry level over the period 1992- 1999. Since the nature and composition of the industries are not the same, we study the volatility of each industry separately. Individual firms are aggregated into 15 industries according to the industry classification of ISE. The volatility series at the level of each industry are constructed. The results indicate that large industries, such as, Chemical, Banking, and Metal products, machinery, tend to have high-level volatility. The results also indicate that two of the large industries in our sample, Chemicals and Banking, have an industry-beta higher than 1.0. Other industries, however, have a substantially low industry beta. The time series behavior of volatility series is also analyzed. The results suggest that Food, Investment Trust, FerrouMetals and Insurance industries exhibit significant positive trend and Metal products, machinery exhibit significant negative trend. The cyclical behavior of volatility series in industries belong to manufacture sector is also checked. The results indicate that the volatility series have no forecasting power for future output growth in that industry.

Date: 2002
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