In this study, we aim to introduce behavior of idiosyncratic volatility and its forecasting ability in prediction of future return in Istanbul Stock Exchange (ISE) as an emerging market stock exchange, over the post World Economic Crisis in 2008. We measure equally weighted idiosyncratic volatility by following the Campbell's (2001) Indirect Method, by considering market size and weekly basis in the period of 2009:01 to 2011:12. Our results reveal that idiosyncratic volatility is the biggest

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... ponent of total volatility and show no trend, although market volatility has a slow decreasing trend in this period. We also find that small size stocks have slightly higher volatility than the big size stocks but both portfolios have similar idiosyncratic risk behavior. Finally, the study found that idiosyncratic risk and systematic risk are jointly used in forecasting of subsequent returns.