TY  - JOUR
TI  - Volatility of BIST 100 Returns After 2020, Calendar Anomalies and COVID-19 Effect
AB  - 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 clos- ing 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.
AU  - celik, ali
DO  - 10.46520/bddkdergisi.986643
PY  - 2021
JO  - BDDK Bankacılık ve Finansal Piyasalar Dergisi
VL  - 15
IS  - 1
SN  - 1307-945X
SP  - 61
EP  - 81
DB  - TRDizin
UR  - http://search/yayin/detay/506819
ER  -