THE IMPACT OF THE GULF CRISIS ON RISK-RETURN RELATIONSHIP AND VOLATILITY OF STOCKS IN ISTANBUL STOCK EXCHANGE

Date

1992

Author

ÖZER, Bengi
YAMAK, Sibel

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This paper analyzes the changes in stock return volatility in the Istanbul Stock Exchange (İSE) during the Gulf Crisis by comparing daily market index returns and weekly stock returns in the August 1990 - March 1991 period with those of January 1990 - July 1990 period. The findings show that the Gulf Crisis had a substantial impact on both returns and volatility in İSE. The major consequence of the crisis seems to be drastic declines in returns and the distortion of risk-return relationship. It was also observed that stocks from different industries responded in different ways in terms of volatility.

URI

https://hdl.handle.net/11511/110514

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Department of Business Administration, Article