The paper aims to suggest the best volatility forecasting model for stock markets in Turkey. The findings of this paper support the superiority of high frequency based volatility forecasting models over traditional GARCH models. MIDAS and HAR-RV-CJ models are found to be the best among high...

The paper tests the validty of life cycle theory of dividends in the Turkey by using the dataset of 146 ISE listed manufacturing firms for the period 2006-2011 and employing the logit and probit models. As a result we find the evidence supporting the life cycle theory of dividends in Turkey. In...

We examine whether real or spurious long memory characteristics of volatility are present in stock market data. We empirically distinguish between true and spurious long memory characteristics by analysing different types and measurements of volatility, utilising different sampling frequencies...

This paper examines herding behavior in investors in world stock markets including developed stock markets (United States (US), United Kingdom (UK), Germany, France, Netherlands, Austria and Hong Kong) and emerging stock markets (Brazil, Malaysia, Mexico, Argentina and Turkey). Using the...