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- W2899164576 abstract "This paper investigates the response of stock market volatility to CBRT’s and FED’s interest rate increase and reduction decisions in Turkey over the period of 02.01.2004-31.01.2017. For this purpose, we used APARCH, FIAPARCH-CHUNG, FIAPARCH-BMM models. The results of analysis indicated presence of long memory in the conditional variance and FIAPARCH-CHUNG is the most appropriate model according to Akaike and Schwarz information criteria. It was seen that interest rate decisions made by CBRT and FED haven’t any significant effect on stock market volatility. This situation means that expected interest rate decisions are priced by market participants and investors. Shocks to stock markets have persistent effect on volatility." @default.
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- W2899164576 date "2017-01-01" @default.
- W2899164576 modified "2023-09-23" @default.
- W2899164576 title "LONG MEMORY IN TURKISH STOCK MARKET AND EFFECTS OF CENTRAL BANKS’ ANNOUNCEMENTS" @default.
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