NON-LINEAR MARKET BEHAVIOR AT THE ISTANBUL STOCK EXCHANGE

Abstract

Abstract Advances in Mathematical and statistical methods have increased the use of non-linear methods. Especially after the stock market crash, the non-linear work has become even more important and gained rapid rate of development. Due to the high returns of the stock market stock markets have always been an attractive investment area. On the other hand it's the unpredictable movements of the stock market makes it more risky. However, non-linear methods help to stock market players to create more revenues. In the study, Turkish capital markets, Borsa İstanbul is examined. Turkey is an attractive emerging market for fund managers. The purpose of this paper is to determine the non-linear dependence and events that lead to non-linearity by using the indexes of different sectors at the Borsa İstanbul. To this end, the Hinich portmanteau bi-correlation non-parametric test that uses the windowed testing procedure is applied. Key Words: Non Linear Market Behavior, Borsa İstanbul, Hinich Test

Keywords

• Non Linear Market Behavior, Borsa İstanbul, Hinich Test

NON-LINEAR MARKET BEHAVIOR AT THE ISTANBUL STOCK EXCHANGE

Abstract

Matematiksel ve istatistiki metodlardaki gelişmeler doğrusal olmayan metodların kullanımını artırmıştır. Özellikle borsalarda meydana gelen krizlerden sonra doğrusal olmayan metodların önemi artımş ve hızlı bir gelişme göstermiştr. Borsalar yüksek getiri nedeniyle herzaman cazip bir yatırım alanı olurken diğer yandan öngörülemeyen piyasa hareketleri nedeniyle de riskte çoğunlukla yüksek olmuştur. Bununla birlikte doğrusal omayan yöntemler borsa oyuncularının daha fazla kar elde etmeleri konusunda yardımcı olmuştur. Bu çalışmada Borsa İstanbul AŞ incelenmiştir. Türkiye fon yöneticileri açısında oldukça cazip bir gelişmekte olan piyasıdır. Bu çalışmanın amacı Borsa İstanbul'daki farklı sektörlerin indekslerini kullanarak doğrusal olmayan bağımlılığı ve doğrusal olmamaya neden olan olayları belirlemektir. Bu amaçla, pencereleme test prosedürünü kullanan Hinich Portmanteau Bicorrelation parametrik olmayan test kullanılmıştır.

Keywords

• Doğrusal Olmayan Piyasa Hareketleri, Borsa İstanbul, Hinich Testi

References

1. Antoniou, A., N. Ergul and P. Holmes (1997) “Market Efficiency, Thin Trading and NonLinear Behaviour: Evidence from an Emerging Market”, European Financial Management 3(2): 175-90.
2. Bonilla C. A., M.J. Hinich and R.R. Meza (2006) “Episodic Nonlinearity in Latin American Stock Market Indices”, Applied Economic Letters, 13, pp.195-199.
3. Brooks, C. (1996) “Testing For Non-Linearity in Daily Sterling Exchanges Rates”, Applied Financial Economics, 6, pp.307 – 317.
4. Brooks, C. and M.J. Hinich (1998) “Episodic Nonstationarity in Exchange Rates”, Applied Economics Letters, 5(11), pp.719-22. empirical examination on Istanbul Stock Exchange (ISE) Market”, African Journal of Business Management Vol. 4(6), pp. 1140-1148.
5. Hinich, M. J. and D.M. Patterson (1995) Detecting Epochs of Transient Dependence in White Noise. Mimeo: Univeristy of Texas.
6. Hinich, M. J. and S. Apostolos (2006) "Randomly Modulated Periodic Signals in Alberta's Electricity Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-15.
7. Hinich, M.J. (1996) “Testing for Dependence in The Input to A Linear Time Series Model”, Journal of Nonparametric Statistics 6:205-21.
8. Hinich, M.J., and D.M. Patterson (2005) “Detecting Epochs of Transient Dependence in White Noise”, in Money, Measurement and Computation, (Eds.) Belongia, M., and Binner, J., Palgrave Macmillian, pp. 61-75.

9. Hiremath, G. S. and B. Kamaiah (2011) "Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence," MPRA Paper 48517, University Library of Munich, Germany.
10. Istanbul stock Exchange Annual Report, 2012, http://www.borsaistanbul.com/
11. Kapusuzoglu, A. (2011) “Herding in The Istanbul Stock Exchange (ISE): A Case of Behavioral Finance”, African Journal of Business Management Vol.5 (27), pp. 11210-11218.
12. Lim, K.P. and M.J. Hinich (2005) “Cross-Temporal Universality of Non-Linear Dependencies in Asian Stock Markets”, Economics Bulletin, 7(1), pp. 1-6.
13. Lim, K.P., and M.J. Hinich (2005) “Cross-Temporal Universality of Non-Linear Dependencies in Asian Stock Markets”, Economics Bulletin 7(1), pp. 1-6.
14. Lim, K.-P., M. J. Hinich. and V. K. Liew (2003) “GARCH Diagnosis with Portmanteau Bicorrelation Test: An Application on the Malaysia's Stock Market”, EconWPA, http://128.118.178.162/eps/fin/papers/0307/0307013.pdf
15. Lim, K.P., M.J. Hinich and R.D. Brooks (2006) “Events That Shook The Market: An Insight From Nonlinear Serial Dependences in Intraday Returns”, Working paper. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=912603
16. Ozkaya, A. and R. Ozkaya (2012) “Uncovering The Chaotic Behavior of ISE 100 Stockmarket Index”, African Journal of Business Management Vol. 6 (7), pp. 272727
17. Özer, G. and C. Ertokatli (2010) “Chaotic processes of common stock index returns: An
18. Romero-Meza, R., C. Bonilla and M.J. Hinich (2007) “Nonlinear Event Detection in the Chilean Stock Market”, Applied Economics Letters 14(13), pp. 987-91.
19. Wild, P., M.J. Hinich and J. Foster (2008) “Are Daily and Weekly Load and Spot Price Dynamics in Australia’s National Electricity Market Governed by Episodic Nonlinearity?”, School of Economics Discussion Paper No. 368.
20. Yıldız, B., A. Yalama and M. Coşkun, “Forecasting the Istanbul Stock Exchange National 100 Index Using An Artificial Neural Network”, World Congress On Science, Engineering and Technology (December 17-19, 2008), Bangkok, Vol:36, 36-39, Waset,2008.
21. Yilanci, V. (2012) “Detection of Nonlinear Events in Turkish Stock Market”, Journal of Applied Economic Sciences, 7(1), pp. 93-96.