Firmaya Özgü Getiri Değişkenliğinin Zaman İçindeki Davranışının ve Nedenlerinin Analiz Edilmesi
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The purpose of this study is to determine the behavior and causes of idiosyncratic volatility in Istanbul Stock Exchange (ISE). The monthly idiosyncratic volatility is measured from 1996 to 2010 using daily returns of listed stocks. As the causes of the volatility, the study investigates the corresponding firms’ characteristics which are proxied by the financial ratios based on quarterly financial statements. According to the results of the study, in which the panel data regression analyses were applied, the idiosyncratic volatility shows a significant downward trend in time. However, the downward trend is determined to weaken in recent years. In addition, the downward trend in the idiosynratic volatility is mostly accounted for by the firm size. Furthermore, the analyses reveal a significant relation between the idiosyncratic volatility and firm age, return on assets, book to market ratio and financial leverage. According to the results of subperiod analyses, however, this relation is found to be inconsistent between time periods.