Volatility Dynamics of the BIST Corporate Governance Index: Evidence from a GARCH Approach
JOURNAL OF ORGANISATIONAL STUDIES AND INNOVATION, vol.13, no.2, pp.43-53, 2026 (ESCI)
- Publication Type: Article / Article
- Volume: 13 Issue: 2
- Publication Date: 2026
- Doi Number: 10.51659/josi.25.271
- Journal Name: JOURNAL OF ORGANISATIONAL STUDIES AND INNOVATION
- Journal Indexes: Emerging Sources Citation Index (ESCI)
- Page Numbers: pp.43-53
- Open Archive Collection: AVESIS Open Access Collection
- Istanbul University Affiliated: No
Abstract
This study examines the volatility dynamics of the Borsa Istanbul Corporate Governance Index (KURY) by focusing on the effects of political risk and investor sentiment. Using weekly data from November 2013 to March 2025, a GARCH(1,1) model evaluates how T & uuml;rkiye's five-year Credit Default Swap (CDS) spreads and the Risk Propensity Index (REKS) influence market behaviour. The results show that neither CDS nor REKS significantly affects average returns, but volatility is persistent and clearly clustered. CDS spreads have a strong positive impact on volatility, indicating that sovereign risk plays a central role in shaping uncertainty in governance-based equities. In contrast, REKS does not show a meaningful effect. These findings suggest that external risk perceptions are more influential than domestic sentiment in explaining volatility and provide useful insights for investors and policymakers concerned with financial stability