TAILIEUCHUNG - Asymmetry and leverage effect of political risk on volatility: The case of BIST sub-sector

Modelling volatility in financial asset prices is very important for investment decisions and risk management. It is known that, political risk has a negative effect on stock returns. Especially, markets in which political risk increased, investment decisions change based on the changes that occur in financial asset returns. On the other hand, investors react more to negative shocks than to positive shocks. In this context, for a healthy investment policy, it is very important to make decisions having regard to the variance breaks that occur because of the political risk. In the study, firstly, breaks in unconditional variance of Borsa Istanbul (BIST) sub-sector index returns are detected with Modified Iterated Cumulative Sums of Squares Method. In the sequel, political events are determined among all the events that cause breaks in variance. Finally, by using threshold autoregressive conditional heteroskedasticity (TARCH) model, it is tested that if political events that cause breaks in variance, cause asymmetry and leverage effect in volatility of sub-sector returns or not. According to the results, it is concluded that political risks that cause breaks in variance, cause asymmetry and leverage effect on return volatility of XKAGT, XTAST, XMANA and XMESY sub-sectors. | Asymmetry and leverage effect of political risk on volatility: The case of BIST sub-sector

• Đầu tư Chứng khoán
• Political risk
• Variance break
• Tarch model
• Borsa istanbul
• BIST sub sector
• world
• investment
• justice
• series
• law
• development
• corporate
• political
• risk
• trends
• perspectives
• Political risk on FDI
• Simple linear regression
• Nigeria’s risk environment
• New empirical evidence
• Foreign direct investment
• Fuzzy best worst method
• Offshore project and risk weighting
• Offshore oil projects
• Technical Risk and Project Execution
• Political Risk and Sanctions
• Essentials of Investments
• International Investing
• Risk Factors in International Investing
• Exchange Rate Risk
• Hedging Exchange Rate Risk
• Closing Costs
• Refinancing
• Clinical Course
• Survival
• Endoscopic Management
• Palliative Therapy
• political critiques
• Feminist critiques
• health promotion
• promotion strategies
• market critiques
• dedifferentiation of health
• Public and Pediatrics
• Paediatrics
• People and Politicians
• Spain – History
• Reality and Future
• Altered Connective
• Pelvic Floor Symptoms
• Epidemiology
• Urinary Incontinence
• Pregnancy and Postpartum
• Stian Langeland
• International management
• Managing political risk
• Government relations
• Management decision
• Motivation across cultures
• Leadership across cultures
• Human resource selection
• Merger and acquisition activity
• Vector error correction model
• Institutional and regulatory factors
• Acquisition activity in Vietnam
• Ebook Climate change
• Adaptation to climate change
• Adaptation as urban risk discourse
• National political response to disaster
• The urban governance
• The national polity
• Lecture Management of financial institution
• Bài giảng Quản lý tổ chức tài chính
• Management of financial institution
• Insurance companies
• Political risk insurance
• Financial loss insurance