Comparative analysis of the volatility of the indexes in ISE; an application on BIST corporate governance, BIST 100, BIST 50 and BIST 30

The main hypothesis of this study, which is "The volatility of the ISE Corporate Governance Index that consists of stocks of firms to adopt and implement the principles of corporate governance, is lower than the volatility of ISE 100, ISE 50 and ISE 30 indexes", was analyzed using ARCH, GARCH, EGARCH and TGARCH model by E-Views econometric modeling programs. Between 31.08.2007–31.12.2013, 1592 daily datas that belong to ISE Corporate Governance, ISE100, ISE50 and ISE30 indexes were used for analysing. According to obtained results, the volatility of ISE Corporate Govarnence Index (0.0004142119) is the lowest volatility against the other indexes. Thus the main hypothesis of the study, which is "The volatility of the ISE Corporate Governance Index that consists of stocks of firms to adopt and implement the principles of corporate governance, is lower than the volatility of ISE 100, ISE 50 and ISE 30 indexes", was confirmed. According to other results that obtained under study, ISE 30 index volatility has been identified as the highest volatility in the indexes that analyzed. According to "α" and "β" parameters, that obtained as a result of analysis, the persistence of shocks occuring in indexes takes for a while but not too long. Half-life of volatility experienced in the index is usually determined as 30 days. But the different half-life of volatility of indexes shows that there are arbitrage opportunities in stock markets. According to the analysis result, which allows financial investors to take investment decisions in more reliable conditions, were obtained. Thus, the results of this study will be a leading indicator for investors that wishing to invest in financial markets.