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The volatility observed in securities markets has an important influence on the decision making processes of stock market stakeholders. In this study, the volatilities in BIST100 index which represents Borsa Istanbul was analyzed. For this purpose, BIST100 index closing data for the period of 03.01.1988-20.04.2018 was used in the study. The BIST100 index was analyzed by Markov regime switching GARCH (MS-GARCH) with three regimes, standard, high and low volatility regimes. As a result of the triple regime MS-GARCH intensive analysis, the existence of endogenous regimens was determined, in which the regime coefficients considered for the index were statistically significant. When the possibilities of regime transitions are analyzed, it is determined that the probability of continuing the standard volatility regime is 0.62, the probability of transition to low volatility regime is 0.23 and the probability of transition to high volatility regime is 0.145. Moreover, it was determined that the possibilities of regime passage in 5 and 20 days are very close to each other.

Bu makale, ilgili literatürün gözden geçirilmesini takiben ve çeşitlendirme, nedenleri ve beklenen etkileri içeren teorik bir arka plan ortaya koyarak, hisse senedi fiyatlarındaki oynaklık ile Borsa İstanbul'da (BIST) ve BIST Holding ve Yatırım Şirketleri endeksinde işlem gören firmaların faaliyet alanlarının çeşitlendirilmesi arasındaki ilişkiyi ortaya koymayı amaçlamaktadır. 2009-2016 yılları arasında 29 farklı şirket için yıllık konsolide finansal tablolar kullanılmaktadır. Sonuçlara göre, faaliyet alanlarının sayısı ile hisse senedi değerlerinin yıllık ortalama oynaklığı arasında negatif bir ilişki gözlemlenmiştir. Türkiye gibi gelişmekte olan piyasalarda görece yüksek piyasa riskleri göz önüne alındığında, çeşitliliğin oynaklığın azaltılmasında yararlı bir araç olmaya devam edeceği söylenebilir.

The purpose of this study is to determine the effects wheather and lunar cycle anomalies on the volatility and return in the BIST. Within the scope of this research, daily closing data of BIST 100, BIST Financial, BIST Service, BIST Industrial and BIST Technology indices which were generated between 2002 and 2016 were used in order to investigate the anomalies and volatility and these data were analyzed by ARCH-GARCH methods. In addition, the study was investigated into two periods named as crisis and non-crisis periods in order to demonstrate the impact of the 2008 Global Crisis. Within this framework, the crisis period was determined between 02.01.2008 and 30.08.2009. As a result of this study, the impact of wheather and lunar cycle anomalies on volatility and return in the BIST were determined during crisis and non-crisis periods. In terms of return, except for the crisis in the BIST Financial index, full moon effect which gives a positive return in the period and new moon anomalies which cause negative effect in the crisis period have been determined. The weather effect is determined on volatility, which does not cause an anomaly in terms of return. [ABSTRACT FROM AUTHOR]

The purpose of this study is to determine the effects of day of the week and holiday anomalies on the volatility and return in the BIST. Within the scope of this research, daily closing data of BIST 100, BIST Financial, BIST Service, BIST Industrial and BIST Technology indices which were generated between 2002 and 2016 were used in order to investigate the anomalies and volatility and these data were analyzed by ARCH-GARCH methods. In addition, the study was investigated into two periods named as crisis and non-crisis periods in order to demonstrate the impact of the 2008 Global Crisis. Within this framework, the crisis period was determined between 02.01.2008 and 30.08.2009. As a result of this study, the impact of day of the week and holiday anomalies on volatility and return in the BIST were determined during crisis and non-crisis periods. At the same time, the findings show that the all 5 BIST indices had negative return on Mondays and positive returns on Wednesday, except for the BIST Sinai index. [ABSTRACT FROM AUTHOR]