Page 204 - IJOCTA-15-1

H.H. Yildirim, A. Akusta / IJOCTA, Vol.15, No.1, pp.183-201 (2025)
In this study, companies included in the BIST100 [6] Akin, I., & Akin, M. (2024). Behavioral finance
index were selected as the sample. Future re- impacts on US stock market volatility: An analy-
search could consider different indices or mar- sis of market anomalies. Behavioural Public Pol-
kets to compare volatility determinants across icy, 1-25. https://doi.org/10.1017/bpp.2024
various contexts. Additionally, using quarterly .13
[7] Gahlot, P., Sachdeva, K., Agnihotri, S., & Giri,
data might provide more granular insights into
J. N. (2024). Influence of behavioral biases on
volatility patterns. Different independent vari-
investor decision-making in delhi-ncr. I¸cinde R.
ables, including other financial ratios or macroe-
Sharma & K. Mehta (Ed.), Deep Learning Tools
conomic variables, could also be incorporated to
for Predicting Stock Market Movements (1. bs, ss.
enhance the understanding of factors influencing 363-389). Wiley. https://doi.org/10.1002/97
stock price volatility. 81394214334.ch15
[8] Takahashi, H. (2013). Analyzing the influence
Acknowledgments of Value at Risk on financial markets through
agent-based modeling. International Journal of
None. Knowledge-based and Intelligent Engineering Sys-
tems, 17(4), 257-266. https://doi.org/10.323
Funding 3/KES-130276
[9] Zheng, Z., Qiao, Z., Takaishi, T., Stanley, H.
None. E., & Li, B. (2014). Realized volatility and ab-
solute return volatility: A comparison indicating
market risk. PLOS ONE, 9(7), e102940. https:
Conflict of interest
//doi.org/10.1371/journal.pone.0102940
[10] Huang, S., Liu, N., & Wang, Z. (2023). Empiri-
The author declares no conflict of interest.
cal analysis of SSE 50 index volatility based on
GARCH model. Fluctuation and Noise Letters,
Author contributions 24(4), 2440010. https://doi.org/10.1142/S0
219477524400108
Conceptualization: All authors
[11] Su, Z., Fang, T., & Yin, L. (2018). Does NVIX
Formal analysis: All authors matter for market volatility? Evidence from Asia-
Methodology: All authors Pacific markets. Physica A: Statistical Mechan-
Writing – original draft: All authors ics and Its Applications, 492, 506–516. https:
Writing – review & editing: All authors //doi.org/10.1016/j.physa.2017.10.025.
[12] Gabriel, V. (2015). Sensitivity, persistence and
Availability of data asymmetric effects in international stock market
volatility during the global financial crisis. Revista
All the data is included in the paper. de M´etodos Cuantitativos para la Econom´ıa y la
Empresa, 16, 42–65.
[13] Bhansali, V., & Harris, L. (2018). Everybody’s
References
doing it: Short volatility strategies and shadow
[1] Dixit, J., & Agrawal, V. (2019). Foresight for financial insurers. SSRN Electronic Journal. ht
stock market volatility – a study in the Indian tps://doi.org/10.2139/ssrn.3071457
perspective. Foresight, ahead-of-print. https:// [14] Naveen Kumar, P., & Minithra, R. (2021). Esti-
doi.org/10.1108/FS-05-2019-0040 mation of price volatility of Nifty 50 index us-
[2] Pl´ıhal, T. (2021). Scheduled macroeconomic news ing ADF and GARCH (1, 1). Indian Journal
announcements and Forex volatility forecasting. of Economics and Development, 17(2), 480–485.
Journal of Forecasting, 40(8), 1379–1397. https: https://doi.org/10.35716/IJED/20286
//doi.org/10.1002/FOR.2773 [15] Hewamana, R., Siriwardhane, D., & Rathnayake,
[3] Saad, S., Ahmad, N., & Maheran, M. J. (2017). A. (2022). Determinants of stock price volatility:
Assessing stock market volatility for different sec- A literature review. Sri Lanka Accounting Forum,
tors in Malaysia. Pertanika Journal of Science 2(1), 44. https://doi:10.4038/sajf.v2i1.44
and Technology, 25, 631–648. [16] Damiran, S., Dorjdagva, O., Sukhee, B., & Myag-
[4] Chung, K. H., & Chuwonganant, C. (2018). Mar- marsuren, T. (2022). Macroeconomic determi-
ket volatility and stock returns: The role of liquid- nants of stock market volatility: Evidence from
ity providers. Journal of Financial Markets, 37, post-socialist countries. Journal of Eastern Euro-
17–34. https://doi.org/10.1016/J.FINMAR.2 pean and Central Asian Research, 9(4), 569-580.
017.07.002 https://doi.org/10.15549/jeecar.v9i4.966
[5] Dichev, I. D., & Zheng, X. (2024). The volatil- [17] Ajao, M. G., Fredrick, E., & Robinson, F. (2022).
ity of stock investor returns. Journal of Financial Dividend policy determinants and stock price
Markets, 70, 100927. https://doi.org/10.101 volatility in selected African stock markets. In-
6/j.finmar.2024.100927 ternational Journal of Finance Research, 3(1),
198