Beyond GARCH: Intraday insights into the exchange rate and stock price volatility dynamics in Borsa Istanbul sectors

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dc.authorid0000-0002-7340-3551
dc.authorid0000-0002-5131-577X
dc.authorid0000-0002-0685-7641
dc.contributor.authorAbdul-Rahman, Mutawakil
dc.contributor.authorKhan, Asad ul Islam
dc.contributor.authorKaplan, Muhittin
dc.contributor.otherYönetim Bilimleri Fakültesi, İktisat Bölümü
dc.date.accessioned2024-11-25T09:26:01Z
dc.date.available2024-11-25T09:26:01Z
dc.date.issued2024
dc.departmentİHÜ, Lisansüstü Eğitim Enstitüsü, İktisat Ana Bilim Dalı
dc.departmentİHÜ, Lisansüstü Eğitim Enstitüsü, İktisat Ana Bilim Dalı
dc.description.abstractThis study investigated the impact of exchange rate volatility on sectoral stock volatility by employing the intraday volatility measure directly calculated from the original data, using daily data from 27 Borsa Istanbul sectors between April 29, 2003, and April 25, 2023. In the literature, GARCH models are commonly used to study the volatility spillovers between exchange rates and stock prices, typically using aggregate data. However, the GARCH family models provide inefficient and biased estimates if they are misspecified. Moreover, using aggregate-level data may lead to biased and misleading conclusions. The research used intraday volatility measures to overcome the shortcomings of GARCH models. The ordinary least squares (OLS), GARCH (1,1) methods, and Garman and Klass (1980) volatility estimator are used. The empirical results showed that the estimates from each method vary significantly, and these disparities in the results might be due to misspecification in GARCH (1,1) models. The intraday volatility model estimation results showed that although stock price volatilities in all sectors are positively and significantly affected by exchange rate volatility, their magnitudes vary significantly. Taken together, this implies the presence of vast heterogeneities in the responses of sectoral stock price volatilities to exchange rate volatility. The results encourage policymakers to pay special attention to these heterogeneities to prevent capital flights and underinvestment. Additionally, the findings assist investors in making more effective decisions by helping them adapt their investment strategies to factor in exchange rate fluctuations and mitigate the impact of unexpected events in the exchange rate market.
dc.identifier.citationAbdul-Rahman, M., Khan, A. I. ve Kaplan, M. (2024). Beyond GARCH: Intraday insights into the exchange rate and stock price volatility dynamics in Borsa Istanbul sectors. FWU Journal of Social Sciences, 18(3), 1-13. https://www.doi.org/10.51709/19951272/Fall2024/1
dc.identifier.doi10.51709/19951272/Fall2024/1
dc.identifier.endpage13
dc.identifier.issn1995-1272
dc.identifier.issue3
dc.identifier.scopus2-s2.0-85207474163
dc.identifier.scopusqualityQ2
dc.identifier.startpage1
dc.identifier.urihttps://www.doi.org/10.51709/19951272/Fall2024/1
dc.identifier.urihttps://hdl.handle.net/20.500.12154/3093
dc.identifier.volume18
dc.indekslendigikaynakScopus
dc.institutionauthorAbdul-Rahman, Mutawakil
dc.institutionauthorKhan, Asad ul Islam
dc.institutionauthorKaplan, Muhittin
dc.institutionauthorid0000-0002-7340-3551
dc.institutionauthorid0000-0002-5131-577X
dc.institutionauthorid0000-0002-0685-7641
dc.language.isoen
dc.publisherShaheed Benazir Bhutto Women University
dc.relation.ispartofFWU Journal of Social Sciences
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Öğrenci
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.relation.publicationcategoryÖğrenci
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectExchange Rate Volatility
dc.subjectGARCH
dc.subjectStock Prices
dc.subjectTürkiye
dc.titleBeyond GARCH: Intraday insights into the exchange rate and stock price volatility dynamics in Borsa Istanbul sectors
dc.typeArticle
dspace.entity.typePublication
relation.isAuthorOfPublication5d56d061-267c-4b33-8b78-b50e651ee5aa
relation.isAuthorOfPublication04e6333a-2ec2-4c28-a02b-c49e3f178e90
relation.isAuthorOfPublication.latestForDiscovery04e6333a-2ec2-4c28-a02b-c49e3f178e90
relation.isOrgUnitOfPublication9d1809d1-3541-41aa-94ed-639736b7e16f
relation.isOrgUnitOfPublication.latestForDiscovery9d1809d1-3541-41aa-94ed-639736b7e16f

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