ISE review

Istanbul Stock Exchange

Volume: 7 No: 27 July/August/September 2003

Subjects

· Abnormal Return Fluctuations in the ISE (Istanbul Stock Exchange) Before and After the General Elections in Turkey
Pınar Evrim Mandacı

· Forecasting the Volatilities and Covariances of ISE Government Debt Securities Indices
M. Mete Doğanay

· Financial Liberalisation and Economic Growth: A Panel Data Approach
Bülent Güloğlu

· Global Capital Markets

· ISE Market Indicators

· Book Reviews

· ISE Publication List

Abnormal Return Fluctuations In The Ise (Istanbul Stock Exchange) Before And After The General Elections In Turkey

Pınar Evrim MANDACI

Abstract
The aim of this study is to evaluate the impact of general elections in Turkey on the ISE-100 index return. Since the ISE started its activities, Turkey has undergone four general elections, in sequence, on 20 November 1991, 24 December 1995, 18 April 1999, and lastly 3 November 2002. It is observed that the investors have been in expectation of outstanding price fluctuations on the verge and in the wake of general elections. By moving from this fact, in this study the ISE-100 index returns fifteen days before and after the general elections are to be analyzed. It follows that it is possible to obtain statistically significant abnormal returns within the mentioned periods. For instance, abnormal returns were witnessed three days before and two days after the general elections on 18 April 1999. Besides, in the first, second and fourth day following the general elections on 3 November 2002 a similar trend resurfaced. However, for the majority of the days proceeding or following elections, a statistically meaningful abnormal return was not observed.

Forecasting The Volatilities And Covariances Of Ise Government Debt Securities Indices

M. Mete DOĞANAY

Abstract
Financial institutions should forecast the volatilities and correlations (thus covariances) of the financial instruments in their portfolios in order to calculate their market risk exposure correctly. This study examines the price volatility and covariance of interest related securities. In this study the volatilities and covariances of ISE GDS price indices returns, which are taken as proxy for returns of debt-related securities, are modeled by using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) and Exponentially Weighted Moving Average (EWMA) methods. The models having been estimated, out-of-sample forecasting performance of the models for the next day’s variance and covariance are analyzed. The analyses show that in general GARCH models are more efficient to forecast both next day’s variance and covariance. This result is in line with other studies in the literature which used different financial instruments.

Financial Liberalisation And Economic Growth: A Panel Data Approach

Bülent GÜLOĞLU

Abstract
The purpose of this paper is to examine the effects of financial development on economic growth before and after the implementation of financial reforms. Using panel data averaged on five years we have carried out an empirical study including initially 43 countries covering five years intervals period from 1970 to 1994. However, the estimations concerning this period have given contradictory results and turned out to be insufficient to explain the influence of financial development on economic growth. We think that these unexpected findings may be results of the mixing of the countries, which have repressed their financial sectors with those, which have implemented financial reforms over two decades. Therefore, we have analysed the influence of financial development on economic growth before and after the implementation of financial reforms. The results show that, financial reforms could have positive effect on financial development in some cases and hence accelerate the economic growth.