Enflasyonun Finansal Piyasaların Volantilitesine Etkisi: Borsa İstanbul Üzerine Bir Uygulama
Impact of Inflation on Financial Markets Volatility: An Application on Borsa Istanbul

Summary/Abstract: The purposes of paper is to analyze the impact of inflation on stock market volatility in the contex of Turkey. We apply GARCH model to explore mentioned affect by using monthly data of BIST-100 index and CPI for the period 1986 to 2016. The data was divided into sub-periods to allow for the deeply investigation of inflation in higher price level and one-digit inflation periods. The findings demonstrate that inflation has increaed the volatility of stock market during the higher rate of inflation. On other hand we find insignificant relation between inflation and stock market volatility in price stable period. This results imply that inflation does not mean a risk factor in Turkish stock exchange anymore.

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