BibTex RIS Kaynak Göster

An Empirical Analysis for Long Term-Dependence in the Return and Volatility of Turkish Stock Market

Yıl 2014, Cilt: 16 Sayı: 2, 281 - 302, 30.09.2014
https://doi.org/10.16953/deusbed.13704

Öz

Abstract

The study examines presence of dual long memory property in returns of Turkish Stock Market by using ARFIMA-FIGARCH model and, tests Weak Form Efficient Market Hypothesis. The data set consists of daily closing prices for the period 2010 to 2013 of Istanbul Stock Exchange. Firstly, long memory property in return and volatility has been investigated separately. FIGARCH model indicates statistically significant findings while the results of ARFIMA model display long memory dynamics in returns of BIST. Secondly, long memory in return and volatility has been evaluated simultaneously by using ARFIMA-FIGARCH model. Consequently, Turkish Stock Market is not Efficient Market because volatility shows forecastable structure while there have not been obtained any finding about presence of long memory in return .

Keywords: ARFIMA-FIGARCH, Dual Long Memory, Volatility, Structural Break, Efficient Market Hypothesis.

 

Kaynakça

  • Assaf, A. (2007). Fractional integration in the equity markets of MENA region. Applied Financial Economics, 17 (9): 709-723.
  • Baillie, R. T., Bollerslev, T. ve Mikkelson, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74 (1): 3-30.
  • Baillie, R. T. (1996). Long memory process and the fractional integration in econometrics. Journal of Econometrics, 73: 5-59.
  • Balaban, E. (1995). Some empirics of the Turkish stock market. Central Bank of Republic of Turkey Research Department, Discussion Paper No. 9508. http://www.tcmb.gov.tr/research/discus/9508eng.pdf
  • Barkoulas, J. T., Baum, C. F. ve Travlos, N. (2000). Long memory in the Greek stock market. Applied Financial Economics, 10 (2): 177-184.
  • Blasco, N. ve Santamaria, R. (1996). Testing memory patterns in the Spanish stock market. Applied Financial Economics, 6 (5): 401-411.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31 (3): 307-327. http://dx.doi.org/10.1016/0304-4076(86)90063-1
  • Cajueiro, D. O. ve Tabak, B. M. (2006). The long-range dependence phenomena in asset returns: The Chinese case. Applied Economics Letters, 13 (2): 131-133.
  • Caporale, G. M. ve Gil-Alana, L. A. (2004). Long range dependence in daily stock returns. Applied Financial Economics, 14 (6): 375-383.
  • Christodoulou-Volos, C. ve Siokis, F. M. (2006). Long range dependence in stock market returns. Applied Financial Economics, 16 (18): 1331-1338.
  • Çağlı, E. Ç., Mandacı, P. E. ve Kahyaoğlu, H. (2011). Volatility shifts and persistence in variance: Evidence from the sector indices of Istanbul stock exchange. International Journal of Economic Sciences and Applied Research, 4 (3): 119-140.
  • Çevik, E. İ. (2012). İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: Sektörel bazda bir inceleme. Yaşar Üniversitesi E-Dergisi, 7 (26): 4437-4454.
  • Çevik, E. İ. ve Erdoğan, S. (2009). Bankacılık sektörü hisse senedi piyasasının etkinliği: Yapısal kırılma ve güçlü hafıza. Doğuş Üniversitesi Dergisi, 10 (1): 26-40.
  • Disario, R., Saraoglu, H. ve McCarthy, J., ve Li, H. (2008). Long memory in the volatility of an emerging equity market: The case of Turkey. International Financial Markets, Institutions ve Money, 18 (5): 305-312.
  • Elder, J. ve Serletis, A. (2007). On fractional integrating dynamics in the US stock market. Chaos, Solitons and Fractals, 34 (3): 777-781.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50 (4): 987-1007.
  • Gil-Alana, L. (2006). Fractional integration in daily stock market indexes. Review of Financial Economics, 15 (1): 28-48.
  • Granger, C. W. J. (1980). Long memory relationships and the aggregation of dynamic models. Journal of Econometrics, 14 (2): 227-238.
  • -
  • Granger, C. W. J. ve Joyeux, R. (1980). An Introduction to long memory time series models and fractional differencing. Journal of Time Series Analysis, 1 (1): 15-29.
  • Hosking, J. R. M. (1981). Fractional differencing. Biometrica, 68 (1): 165-176.
  • Kang, S. H., Cheong, C. ve Yoon, S-M. (2010). Long memory volatility in Chinese stock markets. Physica A, 389: 1425-133.
  • Kasman, A., Kasman, S. ve Torun, E. (2009). Dual long memory property in returns and volatility: Evidence from the CEE countries’ stock markets. Emerging Market Review, 10 (2): 122-139. http://dx.doi.org /10.1016/j.ememar.2009.02.002
  • Kasman, A. ve Torun, E. (2007). Long memory in the Turkish stock market return and volatility. Central Bank Review, 7 (2): 13-27.
  • Kılıç, R. (2004). On the long memory properties of emerging capital markets: Evidence from Istanbul stock Exchange. Applied Financial Economics, 14 (13): 915-922.
  • Korkmaz, T., Çevik, E. İ. ve Özataç, N. (2009). Testing for long memory in ISE using ARFIMA-FIGARCH model and structural break test. International Research Journal of Finance and Economics, 26: 186-191.
  • Lux, T. ve Kaizoji, T. (2007). Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching. Journal of Economic Dynamics ve Control, 31 (6): 1808-1843.
  • Maheshchandra, J. P. (2012). Long memory property in return and volatility: Evidence from the Indian stock markets. Asian Journal of Finance & Accounting, 4 (2): 218-230.
  • McMillan, D. G. ve Thupayagale, P. (2008). Efficiency of the South African equity market. Applied Financial Economics Letters, 4 (5): 327-330.
  • Resende, M. ve Teixeira, N. (2002). Permanent structural changes in the Brazilian economy and long memory: A stock market perspective. Applied Economics Letter, 9 (6): 373-375.
  • Sansó, A., Arragó, V. ve Carrion, J. L. (2004). Testing for change in the unconditional variance of financial time series. Revista de Economiá Financiera, 4: 32-53.
  • Tolvi, J. (2003a). Long memory in a small stock market. Economics Bulletin, 7 (3): 1-13.
  • Tolvi, J. (2003b). Long memory and outliers in stock market returns, Applied Financial Economics, 13 (7): 495-502.
  • Ural, C. ve Küçüközmen, C. (2011). Analyzing the dual long memory in stock market returns. Ege Academic Review, 11 (Özel Sayı): 19-28. http://www.onlinedergi.com/makaledosyalari/51/pdf2011_5_3.pdf
  • Vats, A. (2011). Long memory in return and volatility: Evidence from foreign exchange market of Asian countries. The International of Applied Economics and Finance, 5 (4): 245-256.
  • Vougas, D. V. (2004). Analysing long memory and volatility of returns in the Athens stock exchange. Applied Financial Economics, 14 (6): 457-460.

Türkiye Hisse Senedi Piyasası Getiri ve Oynaklığındaki Uzun Dönem Bağımlılık İçin Ampirik Bir Analiz

Yıl 2014, Cilt: 16 Sayı: 2, 281 - 302, 30.09.2014
https://doi.org/10.16953/deusbed.13704

Öz

Öz

Çalışma ARFIMA-FIGARCH modelleri yardımıyla Türkiye hisse senedi piyasası getirilerinde ikili uzun hafıza özelliğinin varlığını incelemekte dolayısıyla zayıf formda etkin piyasa hipotezini test etmektedir. Bu amaçla kullanılan veri 2010-2013 dönemi Borsa İstanbul (BIST) için günlük hisse senedi kapanış fiyatlarını içermektedir. Öncelikle ortalama ve oynaklıktaki uzun hafızanın varlığı ayrı olarak incelenmiştir. ARFIMA modeli sonuçları BIST getirileri için ortalamada uzun hafıza özelliği gösterirken, getiri oynaklıklarındaki uzun hafızanın varlığı için FIGARCH modeli de istatistiksel olarak anlamlı sonuçlar vermiştir. İkinci olarak, ortalama ve oynaklıktaki birlikte uzun hafıza özelliği ARFIMA-FIGARCH modeli ile değerlendirilmiştir. Sonuç olarak, ortalamada uzun hafızanın varlığına dair bir bulgu elde edilemezken, oynaklığın öngörülebilir bir yapı gösterdiği Türkiye borsası etkin bir piyasa değildir.

Anahtar Kelimeler: ARFIMA-FIGARCH, İkili Uzun Hafıza, Oynaklık, Yapısal Kırılma, Etkin Piyasa Hipotezi.

Kaynakça

  • Assaf, A. (2007). Fractional integration in the equity markets of MENA region. Applied Financial Economics, 17 (9): 709-723.
  • Baillie, R. T., Bollerslev, T. ve Mikkelson, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74 (1): 3-30.
  • Baillie, R. T. (1996). Long memory process and the fractional integration in econometrics. Journal of Econometrics, 73: 5-59.
  • Balaban, E. (1995). Some empirics of the Turkish stock market. Central Bank of Republic of Turkey Research Department, Discussion Paper No. 9508. http://www.tcmb.gov.tr/research/discus/9508eng.pdf
  • Barkoulas, J. T., Baum, C. F. ve Travlos, N. (2000). Long memory in the Greek stock market. Applied Financial Economics, 10 (2): 177-184.
  • Blasco, N. ve Santamaria, R. (1996). Testing memory patterns in the Spanish stock market. Applied Financial Economics, 6 (5): 401-411.
  • Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31 (3): 307-327. http://dx.doi.org/10.1016/0304-4076(86)90063-1
  • Cajueiro, D. O. ve Tabak, B. M. (2006). The long-range dependence phenomena in asset returns: The Chinese case. Applied Economics Letters, 13 (2): 131-133.
  • Caporale, G. M. ve Gil-Alana, L. A. (2004). Long range dependence in daily stock returns. Applied Financial Economics, 14 (6): 375-383.
  • Christodoulou-Volos, C. ve Siokis, F. M. (2006). Long range dependence in stock market returns. Applied Financial Economics, 16 (18): 1331-1338.
  • Çağlı, E. Ç., Mandacı, P. E. ve Kahyaoğlu, H. (2011). Volatility shifts and persistence in variance: Evidence from the sector indices of Istanbul stock exchange. International Journal of Economic Sciences and Applied Research, 4 (3): 119-140.
  • Çevik, E. İ. (2012). İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: Sektörel bazda bir inceleme. Yaşar Üniversitesi E-Dergisi, 7 (26): 4437-4454.
  • Çevik, E. İ. ve Erdoğan, S. (2009). Bankacılık sektörü hisse senedi piyasasının etkinliği: Yapısal kırılma ve güçlü hafıza. Doğuş Üniversitesi Dergisi, 10 (1): 26-40.
  • Disario, R., Saraoglu, H. ve McCarthy, J., ve Li, H. (2008). Long memory in the volatility of an emerging equity market: The case of Turkey. International Financial Markets, Institutions ve Money, 18 (5): 305-312.
  • Elder, J. ve Serletis, A. (2007). On fractional integrating dynamics in the US stock market. Chaos, Solitons and Fractals, 34 (3): 777-781.
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50 (4): 987-1007.
  • Gil-Alana, L. (2006). Fractional integration in daily stock market indexes. Review of Financial Economics, 15 (1): 28-48.
  • Granger, C. W. J. (1980). Long memory relationships and the aggregation of dynamic models. Journal of Econometrics, 14 (2): 227-238.
  • -
  • Granger, C. W. J. ve Joyeux, R. (1980). An Introduction to long memory time series models and fractional differencing. Journal of Time Series Analysis, 1 (1): 15-29.
  • Hosking, J. R. M. (1981). Fractional differencing. Biometrica, 68 (1): 165-176.
  • Kang, S. H., Cheong, C. ve Yoon, S-M. (2010). Long memory volatility in Chinese stock markets. Physica A, 389: 1425-133.
  • Kasman, A., Kasman, S. ve Torun, E. (2009). Dual long memory property in returns and volatility: Evidence from the CEE countries’ stock markets. Emerging Market Review, 10 (2): 122-139. http://dx.doi.org /10.1016/j.ememar.2009.02.002
  • Kasman, A. ve Torun, E. (2007). Long memory in the Turkish stock market return and volatility. Central Bank Review, 7 (2): 13-27.
  • Kılıç, R. (2004). On the long memory properties of emerging capital markets: Evidence from Istanbul stock Exchange. Applied Financial Economics, 14 (13): 915-922.
  • Korkmaz, T., Çevik, E. İ. ve Özataç, N. (2009). Testing for long memory in ISE using ARFIMA-FIGARCH model and structural break test. International Research Journal of Finance and Economics, 26: 186-191.
  • Lux, T. ve Kaizoji, T. (2007). Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching. Journal of Economic Dynamics ve Control, 31 (6): 1808-1843.
  • Maheshchandra, J. P. (2012). Long memory property in return and volatility: Evidence from the Indian stock markets. Asian Journal of Finance & Accounting, 4 (2): 218-230.
  • McMillan, D. G. ve Thupayagale, P. (2008). Efficiency of the South African equity market. Applied Financial Economics Letters, 4 (5): 327-330.
  • Resende, M. ve Teixeira, N. (2002). Permanent structural changes in the Brazilian economy and long memory: A stock market perspective. Applied Economics Letter, 9 (6): 373-375.
  • Sansó, A., Arragó, V. ve Carrion, J. L. (2004). Testing for change in the unconditional variance of financial time series. Revista de Economiá Financiera, 4: 32-53.
  • Tolvi, J. (2003a). Long memory in a small stock market. Economics Bulletin, 7 (3): 1-13.
  • Tolvi, J. (2003b). Long memory and outliers in stock market returns, Applied Financial Economics, 13 (7): 495-502.
  • Ural, C. ve Küçüközmen, C. (2011). Analyzing the dual long memory in stock market returns. Ege Academic Review, 11 (Özel Sayı): 19-28. http://www.onlinedergi.com/makaledosyalari/51/pdf2011_5_3.pdf
  • Vats, A. (2011). Long memory in return and volatility: Evidence from foreign exchange market of Asian countries. The International of Applied Economics and Finance, 5 (4): 245-256.
  • Vougas, D. V. (2004). Analysing long memory and volatility of returns in the Athens stock exchange. Applied Financial Economics, 14 (6): 457-460.
Toplam 36 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Serpil Türkyılmaz

Mesut Balıbey Bu kişi benim

Yayımlanma Tarihi 30 Eylül 2014
Gönderilme Tarihi 21 Ocak 2015
Yayımlandığı Sayı Yıl 2014 Cilt: 16 Sayı: 2

Kaynak Göster

APA Türkyılmaz, S., & Balıbey, M. (2014). Türkiye Hisse Senedi Piyasası Getiri ve Oynaklığındaki Uzun Dönem Bağımlılık İçin Ampirik Bir Analiz. Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 16(2), 281-302. https://doi.org/10.16953/deusbed.13704