Research Article
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Long Memory Analysis in Euro/Dollar Parity

Year 2021, Volume: 9 Issue: 6, 1733 - 1746, 25.12.2021
https://doi.org/10.18506/anemon.888564

Abstract

The concept of long memory in financial markets means that very distant observations found in the past are still more associated with available observations. A good understanding of the long memory process plays a key role in determining optimum investment strategies and portfolio management, as it is related to market efficiency. The existence of long memory in asset returns contradicts the validity of the Efficient Market Hypothesis. Therefore, the study was conducted to investigate the presence of long memory in the return and volatility series of the Euro / Dollar parity between 1971 and 2021. ARFIMA model results show that there is long memory in return. The results of symmetrical and asymmetrical conditional variance model performed to detect the presence of long memory in the volatility series also reveal the presence of long memory. These results indicate that the return and volatility of the Euro / Dollar parity are predictable and there is no efficient market in weak form. FIAPARCH and FIEGARCH models state that there is no asymmetry effect on volatility.

References

  • Baillie, R. T., Bollerslev, T. & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3-30.
  • Bollerslev, T. & Mikkelsen, H. O. (1996). Modelling and pricing long memory in stock market volatility. Journal of Econometrics, 73 (1), 151–184.
  • Cagliesi, G., Della Bina, A. C. F. & Tivegna, M. (2014). Market response to news: rationality and conformism in an Euro-Dollar exchange rate model. Greenwich Papers in Political Economy 11195, University of Greenwich, Greenwich Political Economy Research Centre, 1-71.
  • Caporale, G. M. & Gil-Alana, L. A. (2010). Long memory and volatility dynamics in the US Dollar exchange rate. DIW Berlin Discussion Papers, 975, (1-37).
  • Chkili, W., Aloui, C., & Nguyen, D. K. (2012). Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates. Journal of International Financial Markets, Institutions & Money, 22, 738–757.
  • Çağlayan, E. & Dayıoğlu, T. (2009). Döviz kuru getiri volatilitesinin koşullu değişen varyans Modelleri ile Öngörüsü. Ekonometri ve İstatistik, (9), 1-16.
  • Dinler, Z. (2014). İktisada giriş. Bursa: Ekin.
  • El Abed, R. ve Maktouf, S. (2015). Long memory and asymmetric effects between exchange rates and stock returns. Advances in Management & Applied Economics, 5 (6), 45-78.
  • Emeç, H. & Özdemir, M. O. (2014). Türkiye'de döviz kuru oynaklığının otoregresif koşullu değişen varyans modelleri ile incelenmesi. Finans Politik & Ekonomik Yorumlar, 51 (596), 85-100.
  • Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical works. The Journal of Finance, 25(2), 383–417.
  • Floros, C. (2008). Long memory in exchange rates: International evidence. The International Journal of Business and Finance Research, 2 (1), 31-39.
  • Gil-Alana, L. A. & Carcel, H. (2020). A fractional cointegration var analysis of exchange rate Dynamics. North American Journal of Economics and Finance, 51 100848, 1-9.
  • Granger, C. W. J. (1980). Testing for causality: a personal viewpoint. Journal of Economic Dynamics and Control, 2 (1), 329-352.
  • Granger C. W. J. & Joyeux, R. (1980). An introduction to long-memory time models and fractional differencing. Journal of Time Series Analysis, 1(1), 15–29.
  • Güneş, H. (2020). İslami hisse senedi endeksleri volatilitesinde uzun hafızanın asimetrik model ile test edilmesi. International Journal of Islamic Economics and Finance Studies, 6(2), 180-196.
  • Han, Y. W. (2007). Poisson jumps and long memory volatility process in high frequency European exchange rates. Seoul Journal of Economics, 20(2), 201-222.
  • Hosking, J. R. M. (1981). Fractional fifferencing. Biometrika, 68, 165–176.
  • Hwang, Y. (2001). Asymmetric long memory GARCH in exchange return. Economics Letters, 73, 1–5.
  • Kasman, A. & Torun, E. (2007). Long memory in the Turkish stock market return and volatility. Central Bank Review, 7 (2), 13-27.
  • Ksaier, A. & Cristıani-D’ornano, I. (2010). Interdependence and forecasting of S&P500, oil, Euro / Dollar and 10-year U.S. interest rate markets: an attempt of modelling through the volatility. Review of Economic & Business Studies, 3 (2), 145-165.
  • Kumar, D. (2014). Long memory in the volatility of Indian financial market: an empirical analysis based on Indian data. Hamburg: Anchor Academic Publishing.
  • Kutlu, S. & Yurttagüler, İ. M. (2014). Türkiye’de reel döviz kurlarının uzun hafıza özellikleri: kesirli bütünleşme analizi. Marmara Üniversitesi İ.İ.B. Dergisi, 36(1), 373-389.
  • Laurini, M.P. & Portugal, M.S. (2004). Long memory in the R$ / US$ exchange rate: a robust analysis. Brazilian Review of Econometrics, 24 (1), 109-147.
  • McMillan, D. G. & Speight, A. E. H. (2010). Return and volatility spillovers in three euro exchange rates. Journal of Economics and Business, 62, 79–93.
  • Mensi, W., Hammoudeh, S. & Yoon, S-M. (2014). Structural breaks and long memory in modeling and Forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements. International Review of Economics and Finance, 30, 101–119.
  • Özdemir, A., Vergili, G. & Çelik, İ. (2018). Döviz piyasalarının etkinliği üzerinde uzun hafızanın rolü: Türk döviz piyasasında ampirik bir araştırma. BDDK Bankacılık ve Finansal Piyasalar, 12(1), 87-107.
  • Tse, Y.K. (1998). The conditional heteroscedasticity of the Yen-Dollar exchange rate. Journal of Applied Econometrics, 13(1), 49-55.
  • Ünsal, E. M. (2005). Uluslararası iktisat: teori, politika ve açık ekonomi makro iktisadı. Ankara: İmaj.
  • Vats, A. (2011). Long memory in returns and volatility: evidence from foreign exchange market of Asian Countries. The International Journal of Applied Economics and Finance. 5(4), 245-256.
  • Zhelyazkova, S. (2018). ARFIMA- FIGARCH, HYGARCH and FIAPARCH models of exchange rates. Economic Sciences Series, 7 (2), 142-153.

Euro/Dolar Paritesinde Uzun Hafıza Analizi

Year 2021, Volume: 9 Issue: 6, 1733 - 1746, 25.12.2021
https://doi.org/10.18506/anemon.888564

Abstract

Finansal piyasalarda uzun hafıza kavramı, geçmiş zaman içerisinde yer alan çok uzaktaki gözlemlerin halen daha yüksek oranda mevcut gözlemler ile ilişkili olduğu anlamına gelmektedir. Uzun hafıza sürecinin iyi bir şekilde anlaşılabilmesi, piyasa verimliliği ile bağlantılı bir durum olmasından dolayı optimum yatırım stratejilerinin ve portföy yönetiminin tespit edilebilmesinde kilit bir rol üstlenmektedir. Varlık getirilerinde uzun hafızanın varlığı, Etkin Piyasa Hipotezi’nin geçerliliği ile çelişki göstermektedir. Bu yüzden çalışma, Euro / Dolar paritesinin 1971 ile 2021 tarihleri arasındaki, getiri ve volatilite serilerinde uzun hafıza varlığını araştırmak için yapılmıştır. ARFIMA model sonuçları, getiride uzun hafızanın var olduğunu göstermektedir. Volatilite serisinde uzun hafızanın varlığını tespit edebilmek için yapılan simetrik ve asimetrik koşullu değişen varyans model sonuçları da, uzun hafızanın bulunduğunu ortaya koymaktadır. Bu sonuçlar Euro / Dolar paritesi, getiri ve volatilitesinin tahmin edilebilir bir yapıda olduğu ve zayıf formda etkin bir piyasa olmadığı sonucunu ifade etmektedir. FIAPARCH ve FIEGARCH modelleri, volatilitede asimetri etkisinin bulunmadığını belirtmektedir.

References

  • Baillie, R. T., Bollerslev, T. & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3-30.
  • Bollerslev, T. & Mikkelsen, H. O. (1996). Modelling and pricing long memory in stock market volatility. Journal of Econometrics, 73 (1), 151–184.
  • Cagliesi, G., Della Bina, A. C. F. & Tivegna, M. (2014). Market response to news: rationality and conformism in an Euro-Dollar exchange rate model. Greenwich Papers in Political Economy 11195, University of Greenwich, Greenwich Political Economy Research Centre, 1-71.
  • Caporale, G. M. & Gil-Alana, L. A. (2010). Long memory and volatility dynamics in the US Dollar exchange rate. DIW Berlin Discussion Papers, 975, (1-37).
  • Chkili, W., Aloui, C., & Nguyen, D. K. (2012). Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates. Journal of International Financial Markets, Institutions & Money, 22, 738–757.
  • Çağlayan, E. & Dayıoğlu, T. (2009). Döviz kuru getiri volatilitesinin koşullu değişen varyans Modelleri ile Öngörüsü. Ekonometri ve İstatistik, (9), 1-16.
  • Dinler, Z. (2014). İktisada giriş. Bursa: Ekin.
  • El Abed, R. ve Maktouf, S. (2015). Long memory and asymmetric effects between exchange rates and stock returns. Advances in Management & Applied Economics, 5 (6), 45-78.
  • Emeç, H. & Özdemir, M. O. (2014). Türkiye'de döviz kuru oynaklığının otoregresif koşullu değişen varyans modelleri ile incelenmesi. Finans Politik & Ekonomik Yorumlar, 51 (596), 85-100.
  • Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical works. The Journal of Finance, 25(2), 383–417.
  • Floros, C. (2008). Long memory in exchange rates: International evidence. The International Journal of Business and Finance Research, 2 (1), 31-39.
  • Gil-Alana, L. A. & Carcel, H. (2020). A fractional cointegration var analysis of exchange rate Dynamics. North American Journal of Economics and Finance, 51 100848, 1-9.
  • Granger, C. W. J. (1980). Testing for causality: a personal viewpoint. Journal of Economic Dynamics and Control, 2 (1), 329-352.
  • Granger C. W. J. & Joyeux, R. (1980). An introduction to long-memory time models and fractional differencing. Journal of Time Series Analysis, 1(1), 15–29.
  • Güneş, H. (2020). İslami hisse senedi endeksleri volatilitesinde uzun hafızanın asimetrik model ile test edilmesi. International Journal of Islamic Economics and Finance Studies, 6(2), 180-196.
  • Han, Y. W. (2007). Poisson jumps and long memory volatility process in high frequency European exchange rates. Seoul Journal of Economics, 20(2), 201-222.
  • Hosking, J. R. M. (1981). Fractional fifferencing. Biometrika, 68, 165–176.
  • Hwang, Y. (2001). Asymmetric long memory GARCH in exchange return. Economics Letters, 73, 1–5.
  • Kasman, A. & Torun, E. (2007). Long memory in the Turkish stock market return and volatility. Central Bank Review, 7 (2), 13-27.
  • Ksaier, A. & Cristıani-D’ornano, I. (2010). Interdependence and forecasting of S&P500, oil, Euro / Dollar and 10-year U.S. interest rate markets: an attempt of modelling through the volatility. Review of Economic & Business Studies, 3 (2), 145-165.
  • Kumar, D. (2014). Long memory in the volatility of Indian financial market: an empirical analysis based on Indian data. Hamburg: Anchor Academic Publishing.
  • Kutlu, S. & Yurttagüler, İ. M. (2014). Türkiye’de reel döviz kurlarının uzun hafıza özellikleri: kesirli bütünleşme analizi. Marmara Üniversitesi İ.İ.B. Dergisi, 36(1), 373-389.
  • Laurini, M.P. & Portugal, M.S. (2004). Long memory in the R$ / US$ exchange rate: a robust analysis. Brazilian Review of Econometrics, 24 (1), 109-147.
  • McMillan, D. G. & Speight, A. E. H. (2010). Return and volatility spillovers in three euro exchange rates. Journal of Economics and Business, 62, 79–93.
  • Mensi, W., Hammoudeh, S. & Yoon, S-M. (2014). Structural breaks and long memory in modeling and Forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements. International Review of Economics and Finance, 30, 101–119.
  • Özdemir, A., Vergili, G. & Çelik, İ. (2018). Döviz piyasalarının etkinliği üzerinde uzun hafızanın rolü: Türk döviz piyasasında ampirik bir araştırma. BDDK Bankacılık ve Finansal Piyasalar, 12(1), 87-107.
  • Tse, Y.K. (1998). The conditional heteroscedasticity of the Yen-Dollar exchange rate. Journal of Applied Econometrics, 13(1), 49-55.
  • Ünsal, E. M. (2005). Uluslararası iktisat: teori, politika ve açık ekonomi makro iktisadı. Ankara: İmaj.
  • Vats, A. (2011). Long memory in returns and volatility: evidence from foreign exchange market of Asian Countries. The International Journal of Applied Economics and Finance. 5(4), 245-256.
  • Zhelyazkova, S. (2018). ARFIMA- FIGARCH, HYGARCH and FIAPARCH models of exchange rates. Economic Sciences Series, 7 (2), 142-153.
There are 30 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Hidayet Güneş 0000-0002-9826-9862

Publication Date December 25, 2021
Acceptance Date October 22, 2021
Published in Issue Year 2021 Volume: 9 Issue: 6

Cite

APA Güneş, H. (2021). Euro/Dolar Paritesinde Uzun Hafıza Analizi. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 9(6), 1733-1746. https://doi.org/10.18506/anemon.888564

Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı (CC BY NC) ile lisanslanmıştır.