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HİSSE SENEDİ GETİRİLERİNDE VOLATİLİTE VE OTOKORELASYON İLİŞKİSİ: EAR-GARCH MODELİ

Year 2008, Volume: 7 Issue: 23, 134 - 142, 01.06.2008

Abstract

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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

HİSSE SENEDİ GETİRİLERİNDE VOLATİLİTE VE OTOKORELASYON İLİŞKİSİ: EAR-GARCH MODELİ

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

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
Journal Section Articles
Authors

Cüneyt Akar This is me

Publication Date June 1, 2008
Submission Date September 10, 2014
Published in Issue Year 2008 Volume: 7 Issue: 23

Cite

APA Akar, C. (2008). HİSSE SENEDİ GETİRİLERİNDE VOLATİLİTE VE OTOKORELASYON İLİŞKİSİ: EAR-GARCH MODELİ. Elektronik Sosyal Bilimler Dergisi, 7(23), 134-142.

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