Year 2008,
Volume: 7 Issue: 23, 134 - 142, 01.06.2008
Abstract
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Keywords
References
- Bollerslev, T. (1986) “Generalized Autoregressive Conditional Heteroscedasticity”, Journal of Econometrics, 31, 307 -327.
- Bollerslev, T. , Chou, R. Y. ve Kroner, K. F. (1992) “ARCH Modelling in Finance”, Journal of Econometrics, 52, 5-59.
- Booth, G.G ve Koutmos (1998) “Interaction of Volatility and Autocorrelation in Foreign Stock Returns” Applied Economics letters,5, 715-717.
- Campbell, J.Y. , Grossman, S.J. ve Wang, J.(1993) “Trading Volume and Serial Correlation in Stock Returns, Quarterly Journal of Economics, CVIII,905-939.
- Katsikas E. (2007) “Volatility and Autocorrelation in European Futures Markets” Managerial Finance Vol 33 ,Issue 3, 236-240.
- Koutmos, G. (1994) “Time Dependent Autocorrelation in EMS Exchange Rates, Journal of International Financial Markets,Institutions and Money, 3(3/4), 65-84
- LeBaron, B.(1992) “Some Relations Between Volatility and Serial Relations in Stock Market Returns”, The Journal of Business, 65, 199-219.
- Sentana ,E. ve Wadhwani,S.(1992) “Feedback Traders and Stock Return Autocorrelations: Evidence from Century of Daily Data”, The Economic Journal, 102, 415-425.
- Watanabe, T. (2002) “Margin Requirements, Positive Feedback Trading, and Stock Return Autocorrelations: The Case of Japan”, Applied Financial Economics, 12, 395-403
Year 2008,
Volume: 7 Issue: 23, 134 - 142, 01.06.2008
Abstract
Bu çalışmada İstanbul Menkul Kıymetler Borsası (IMKB100,IMKB50,IMKB30) endeksleri günlük verileri ve koşullu heteroskedastik hata terimine sahip üstel otoregresif volatilite modeli (EAR-GARCH) kullanılarak endeks getirilerinde volatilite ve otokorelasyon ilişkisi araştırılmıştır. Çalışma sonuçları, endeks getiri volatilitesiyle birinci mertebeden otokorelasyonlar arasında aynı yönlü bir ilişki olduğunu göstermektedir
Keywords
References
- Bollerslev, T. (1986) “Generalized Autoregressive Conditional Heteroscedasticity”, Journal of Econometrics, 31, 307 -327.
- Bollerslev, T. , Chou, R. Y. ve Kroner, K. F. (1992) “ARCH Modelling in Finance”, Journal of Econometrics, 52, 5-59.
- Booth, G.G ve Koutmos (1998) “Interaction of Volatility and Autocorrelation in Foreign Stock Returns” Applied Economics letters,5, 715-717.
- Campbell, J.Y. , Grossman, S.J. ve Wang, J.(1993) “Trading Volume and Serial Correlation in Stock Returns, Quarterly Journal of Economics, CVIII,905-939.
- Katsikas E. (2007) “Volatility and Autocorrelation in European Futures Markets” Managerial Finance Vol 33 ,Issue 3, 236-240.
- Koutmos, G. (1994) “Time Dependent Autocorrelation in EMS Exchange Rates, Journal of International Financial Markets,Institutions and Money, 3(3/4), 65-84
- LeBaron, B.(1992) “Some Relations Between Volatility and Serial Relations in Stock Market Returns”, The Journal of Business, 65, 199-219.
- Sentana ,E. ve Wadhwani,S.(1992) “Feedback Traders and Stock Return Autocorrelations: Evidence from Century of Daily Data”, The Economic Journal, 102, 415-425.
- Watanabe, T. (2002) “Margin Requirements, Positive Feedback Trading, and Stock Return Autocorrelations: The Case of Japan”, Applied Financial Economics, 12, 395-403
There are 9 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Authors | |
| Submission Date | September 10, 2014 |
| Publication Date | June 1, 2008 |
| Published in Issue | Year 2008 Volume: 7 Issue: 23 |