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- W2964441710 abstract "The aim of this study is to investigate the relationship between the slowly moving long-run component of daily volatility of Turkish stock market and a set of monthly macroeconomic variables. In the first stage, we estimate the long-term volatility of BIST100 index using GARCH-MIDAS (Mixed Data Sampling) method. Subsequently, we examine the relationship between the long-term volatility component and interest rate, USD/TL exchange rate, inflation rate, CDS premium, real sector confidence index and the volatility of S&P500 index using an autoregressive distributed lag (ARDL) model. Empirical results suggest that the most significant macroeconomic variable affecting the long-run volatility of BIST100 index is the exchange rate. Also, we show that the long-run volatility of BIST100 index is positively associated with both CDS premium and the volatility of S&P500. Finally, we find that an increase in real sector confidence index leads to a decrease in the long-run component of the BIST100 index volatility." @default.
- W2964441710 created "2019-08-13" @default.
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- W2964441710 date "2019-07-29" @default.
- W2964441710 modified "2023-09-26" @default.
- W2964441710 title "Türkiye Hisse Senedi Piyasa Volatilitesinin Makroekonomik Temelleri" @default.
- W2964441710 doi "https://doi.org/10.20409/berj.2019.203" @default.
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