After 1980s years, increasing globalization movements around the world brought up to apply financial liberalization policies and many countries decided to open financial markets to foreign investors. Financial liberalization policies include removing controls related to deposit and loan interest rates and credits, dissemination of private ownership in banking sector, easing entry in banking sector, opening stock market to foreign investors and liberalization of capital movements. Aforementioned applications could effect economy, investments, money and capital markets of the country positive or negative and create fluctations in stock markets. In this study, it is aimed to examinate the effects of financial liberalization movements on stock return volatility from the point of Turkey. As a result of study which was used ARCH-GARCH models for 07.02.1986 – 07.10.2016 period it was obtained some findings that there is no significant effect of stock market liberalization on stock return volatility.
Stock Market Liberalization, Stock Return Volatility, ARCH –GARCH Models