BibTex RIS Cite

NONLINEAR DYNAMICS IN FINANCIAL TIME SERIES AND UNIT ROOT TESTS: CASE OF BORSA ISTANBUL SECTORAL PRICE-EARNING RATIOS

Year 2015, Volume: 2 Issue: 4, 0 - 0, 15.01.2016

Abstract

Because of the variables which are falling within the scope of finance and the analysis are more reliable which are performed with high frequency series, financial time series take into special attention of empirical studies. Observed nonlinear effects on series are one of the popular subject for time series econometrics in the last years. Nonlinear dynamics are studied under two main topics in the literature which are Structural Break and Regime Switching. Structural Break is the best known nonlinear econometrics subject in Turkey. In this paper, structural break and regime switching dynamics that can be observed in time series are investigated and unin root test which are developed according to this dynamics are mentioned. At the end of the paper, price-earning ratio of Borsa Istanbul 100 Index dealt with on a sectoral basis and the nonlinear unit root tests are applied on related time series.

Year 2015, Volume: 2 Issue: 4, 0 - 0, 15.01.2016

Abstract

There are 0 citations in total.

Details

Journal Section Articles
Authors

Mehmet Ozcan

Publication Date January 15, 2016
Published in Issue Year 2015 Volume: 2 Issue: 4

Cite

APA Ozcan, M. (2016). NONLINEAR DYNAMICS IN FINANCIAL TIME SERIES AND UNIT ROOT TESTS: CASE OF BORSA ISTANBUL SECTORAL PRICE-EARNING RATIOS. Journal of Economics Finance and Accounting, 2(4).

Journal of Economics, Finance and Accounting (JEFA) is a scientific, academic, double blind peer-reviewed, quarterly and open-access online journal. The journal publishes four issues a year. The issuing months are March, June, September and December. The publication languages of the Journal are English and Turkish. JEFA aims to provide a research source for all practitioners, policy makers, professionals and researchers working in the area of economics, finance, accounting and auditing. The editor in chief of JEFA invites all manuscripts that cover theoretical and/or applied researches on topics related to the interest areas of the Journal. JEFA publishes academic research studies only. JEFA charges no submission or publication fee.

Ethics Policy - JEFA applies the standards of Committee on Publication Ethics (COPE). JEFA is committed to the academic community ensuring ethics and quality of manuscripts in publications. Plagiarism is strictly forbidden and the manuscripts found to be plagiarized will not be accepted or if published will be removed from the publication. Authors must certify that their manuscripts are their original work. Plagiarism, duplicate, data fabrication and redundant publications are forbidden. The manuscripts are subject to plagiarism check by iThenticate or similar. All manuscript submissions must provide a similarity report (up to 15% excluding quotes, bibliography, abstract and method).

Open Access - All research articles published in PressAcademia Journals are fully open access; immediately freely available to read, download and share. Articles are published under the terms of a Creative Commons license which permits use, distribution and reproduction in any medium, provided the original work is properly cited. Open access is a property of individual works, not necessarily journals or publishers. Community standards, rather than copyright law, will continue to provide the mechanism for enforcement of proper attribution and responsible use of the published work, as they do now.