The performance of the istanbul stock exchange during the Russian crisis

Emerging Markets Finance and Trade

Volumn 38, Issue 6, 2002, Pages 78-99

  Yüksel, Aydin ^a  

^a BILKENT UNIVERSITY   (Turkey)

Author keywords

GARCH; Impact of trading; Structural change

Indexed keywords

EID: 0242305251     PISSN: 1540496X     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (18)

1. Akgiray, V. 1989. "Conditional Heteroskedasticity in Time Series of Stock Returns: Evidence and Forecasts." Journal of Business 62, no. 1:55-80.
2. Bollerslev, T. 1986. "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics 31, no. 3: 307-327.
3. _. 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return." Review of Economics and Statistics 69, no. 3: 542-547.
4. Engle, R. 1982. "Autoagressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation." Econometrica 50, no. 4: 987-1008.
5. Epps, T.W. 1975. "Security Price Changes and Transaction Volumes: Theory and Evidence." American Economic Review 65, no. 4: 586-597.
6. Foster, A.J. 1995. "Volume-Volatility Relationships for Crude Oil Futures Markets." Journal of Futures Markets 15, no. 8: 929-951.
7. Granger, C.W.J., and O. Morgenstern. 1963. "Spectral Analysis of New York Stock Market Prices." Kyklos 16, no. 1: 1-27.
8. Istanbul Stock Exchange. 2000. ISE Companies - Capital, Dividend and Monthly Price Data. Istanbul: Istanbul Stock Exchange.
9. Jain, P.C., and G.-H. Joh. 1988. "The Dependence Between Hourly Prices and Trading Volume." Journal of Financial and Quantitative Analysis 23, no. 3: 269-283.
10. Karpoff, J.M. 1986. "A Theory of Trading Volume." Journal of Finance 41, no. 5:1069-1087.
11. _. 1987. "The Relation Between Price Changes and Trading Volume: A Survey." Journal of Financial and Quantitative Analysis 22, no. 1: 109-126.
12. Kiefer, N., and M. Salmon. 1983. "Testing Normality in Econometric Models." Economics Letters 11, nos. 1-2: 123-127.
13. Lamoureux, C.G., and W.D. Lastrapes. 1990a. "Heteroskedasticity in Stock Return Data: Volume Versus GARCH Effects." Journal of Finance 45, no. 1: 221-229.
14. _. 1990b. "Persistence in Variance, Structural Change, and the GARCH Model." Journal of Business and Economic Statistics 8, no. 2: 225-234.
15. Ljung, G.M., and G.E. Box. 1978. "On a Measure of Lack of Fit in Time Series Models." Biometrica 65, no. 2: 297-303.
16. Najand, M., and K. Yung. 1991. "A GARCH Examination of the Relationship Between Volume and Price Variability in Futures Markets." Journal of Futures Markets 11, no. 5: 613-621.
17. Newey, W., and K. West. 1987. "A Simple Positive and Semi-Definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix." Econometrica 55, no. 3: 703-708.
18. Palm, F.C. 1996. "Garch Models of Volatility." In Handbook of Statistics, ed. G.S. Maddala and C.R. Rao, pp. 209-240. Amsterdam: Elsevier Science B.V.