A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is application/pdf.
Effect of the Subprime Crisis on Return and Volatility of the Turkish Stock Market
2015
Journal of Economics and Behavioral Studies
Preserved Fulltext
The aim of this paper is to investigate the return and volatility behaviors of the Turkish Stock Exchange in response to the mortgage crisis using daily observations for the period June 2004 to June 2014. The data are divided into three sub-periods to allow for the investigation of the behavior of the stock market during each sub-period. We employ the GARCH, EGARCH and GARCH-M models to capture volatility. The results indicate that the subprime crisis both induced a notable increase in
doi:10.22610/jebs.v7i3(j).579
fatcat:4cg7fdmvfvfx7onkt6cuywap54