Volatility of Stock Return in ISE in Political Instability Period: Regime-Switching AP-GARCH Test

In this study, volatility of sock return behavior through a regime-Switching Asymmetric Power GARCH Model (RS-APGARCH) analyses in Istanbul Stock Exchange (ISE), Turkey, during the period of 1988-2006 and show that ISE's asymmetric response and the intensity of this response to good and/or bad news in context of political stability or instability and economic crisis is higher than the intensity of the volatility created by the events affecting the whole world. Said period is very important and sensitive in this respect.