THE IMPACT OF THE GULF CRISIS ON RISK-RETURN RELATIONSHIP AND VOLATILITY OF STOCKS IN ISTANBUL STOCK EXCHANGE

This paper analyzes the changes in stock return volatility in the Istanbul\nStock Exchange (İSE) during the Gulf Crisis by comparing daily market index\nreturns and weekly stock returns in the August 1990 - March 1991 period\nwith those of January 1990 - July 1990 period. The findings show that the\nGulf Crisis had a substantial impact on both returns and volatility in İSE. The\nmajor consequence of the crisis seems to be drastic declines in returns and\nthe distortion of risk-return relationship. It was also observed that stocks from\ndifferent industries responded in different ways in terms of volatility.