ISE review

Istanbul Stock Exchange

Volume: 8 No: 32

Subjects

· The Relationship Between Macroeconomic Volatility And Stock Market Volatility
Saadet KIRBAŞ KASMAN

· Measuring Default Risk In Turkey: Econometric Approach
Melike E. BİLDİRİCİ, Memet SALMAN

· The Effects Of G-7 Countries’ Stock Markets On The Istanbul Stock Exchange
Nildağ Başak CEYLAN

· Global Capital Markets

· ISE Market Indicators

· ISE Publication List

The Relationship Between Macroeconomic Volatility And Stock Market Volatility

Saadet KIRBAŞ KASMAN

Abstract
This paper attempts to determine the relationship between conditional stock market volatility and macroeconomic volatility using monthly data for Turkey from 1986 to 2003. The macroeconomic variables used include industrial production, the money supply M1, inflation, an exchange rate variable, namely the Turkish Lira / the US Dollar and oil prices. Conditional monthly volatility is measured from GARCH estimations. The results show that volatility of money supply has a strong predictive power for stock market volatility while stock market volatility has a predictive power for exchange rates and inflation volatility. Tests of joint and simultaneous explanatory power of macroeconomic volatilities indicate that only volatility of industrial production and exchange rates have significant effect on stock market volatility and 6% of the changes in aggregate stock volatility might be related to macroeconomic volatility.

Measuring Default Risk In Turkey: Econometric Approach

Melike E. BİLDİRİCİ
Memet SALMAN

Abstract
In this paper, empirical default risk scoring models are derived by using panel data probit methods with a database which is obtained from annual balance sheets and income statements of firms which are in non-financial sectors in IMKB. After that, these derived scoring models are used in default risk analysis of firms and compared with Z-Score and O-Score models.

The Effects Of G-7 Countries’ Stock Markets On The Istanbul Stock Exchange

Nildağ Başak CEYLAN

Abstract
In this paper, the effects of G-7 countries’ stock market indices, DAX (Germany), CAC 40 (France), FTSE (United Kingdom), S&P TSX Composite (Canada), NIKKEI 225 (Japan), S&P 500 (USA), DOW JONES (USA), NASDAQ (USA), and MIBTEL (Italy), on the stock market of Turkey, Istanbul Stock Exchange (ISE-100), have been examined by using a block recursive VAR model. The findings of the study suggest that all the indices except for NIKKEI 225, have positive and significant effects on the ISE-100. As a result of the analysis, it is reported that the effects of the other stock market indices on the ISE-100 have decreased for the period between 01.01.1995-31.10.2000 in which there exist no financial crisis for Turkey, however after September 11, as the effects of the globalization have increased, the effects of the stock market indices on the ISE-100 have increased.