Author/Authors :
TÜRKYILMAZ, Serpil Bilecik Şeyh Edebali Üniversitesi - Fen-Edebiyat Fakültesi - Matematik Bölümü, Turkey , BALIBEY, Mesut Bilecik Şeyh Edebali Üniversitesi - Fen-Edebiyat Fakültesi - Matematik Bölümü, Turkey
Title Of Article :
AN EMPIRICAL ANALYSIS FOR LONG TERM-DEPENDENCE IN THE RETURN AND VOLATILITY OF TURKISH STOCK MARKET
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 ARFIMAFIGARCH 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
NaturalLanguageKeyword :
ARFIMA , FIGARCH , Dual Long Memory , Volatility , Structural Break , Efficient Market Hypothesis
JournalTitle :
dokuz eylul university the journal of graduate school of social sciences
