Nonlinearities In Emerging Stock Market: Evidence From Pre-Diagnostic Tests

Abstract

The purpose of this study is to investigate the behavior of investors in emerging markets by employing nonlinear time series methods. In this study, the daily data obtained from Datastream database from June 03, 2004 to June 03, 2014 for twelve emerging markets which are selected from Morgan Stanley Capital International - Emerging Market Index is used for econometric estimations. The data was divided into three different sub-periods to detect the impact of mortgage crisis on equity markets. BDS,Tsay and Keenan tests are conducted to determine the non-linear dependence of stock returns. The results documented that linearity in returns is rejected for all markets. The findings of study imply that emerging market stock returns exhibits nonlinear dependence.

Keywords

• Emerging markets,global crisis,nonlinear time series

Gelişmekte Olan Ülke Borsalarında Doğrusal Olmayan Bağımlılık: Öncü Testlerden Örnekler

Abstract

Bu çalışmanın amacı gelişmekte olan ülke borsalarındaki yatırımcı davranışlarını doğrusal olmayan zaman serisi yöntemleri aracılığıyla araştırmaktır. Çalışmada datastream veri tabanından Haziran 03, 2004 ile Haziran 03, 2014 dönemi kapsamında günlük frekansta sağlanan ve Morgan Stanley Capital International - Emerging Market endeksine dahil olan on iki ülkenin borsa serileri ekonometrik yöntemler ile analiz edilmiştir. Küresel finans krizinin etkisinin daha iyi araştırılması için veriler üç ayrı dönemde analiz edilmiştir. Borsa getiri serilerindeki doğrusal olmayan bağımlılığın tespit edilmesi için BDS, Tsay ve Keenan testleri uygulanmıştır. Test sonuçları bütün piyasalarda doğrusallığın red edildiğini göstermiştir. Çalışmanın bulguları gelişmekte olan ülke borsalarında doğrusal olmayan bağımlılık bulunduğunu işaret etmektedir.

Keywords

• gelişmekte olan ülkeler,küresel kriz,doğrusal olmayan zaman serisi

References

1. Afonso, Antonio ve Teixeira, João (1998). “Non-Linear Tests of Weakly Efficient Markets: Evidence from Portugal”. ISEG Economics Department, No: 6/98, s.1-24.
2. Birgili, E., Üçay, K., & Esen, Ö. (2015). “Bıst 100 (Xu100) Endeksinde Doğrusal-Dışı Yapılar”. Bilgi Ekonomisi ve Yönetimi Dergisi, 10(2).
3. Broock, W. ; Scheinkman, J. A; Dechert, W. D. ve LeBaron, B (1996). “A Test for independence Based on the Correlation Dimension”. Econometric Reviews, C:15, No:3, s.197-235.
4. Brooks, C. (1996). Testing For Non-Linearity in Daily Sterling Exchange Rates. Applied Financial Economics, 6(4), 307-317.
5. Caraiani, Petre. (2012). “Nonlinear Dynamics in CEE Stock Markets Indices”. Economics Letters, C:114, No:3, s.329-331.
6. De Lima, Pedro (1998). “Nonlinearities and Nonstationarities in Stock Returns”. Journal of Business & Economic Statistics, C:16, No:2, s.227-236.
7. Guhathakurta, Kousik (2011).” Nonlinearity in Indian Stock & Commodity Markets: a Pre-Diagnostic Investigation”.Doctoral dissertation, Department of Physics, Jadavpur University, Kolkata.
8. Hiremath, Gourishankar ve Bandi Kamaiah (2010). “Non-Linear Dependence in Stock Returns: Evidences from India”. Journal of Quantitative Economics, C:8, No:1, s.69-85.

9. Hsieh, David (1991). ”Chaos and Nonlinear Dynamics: Application to Financial Markets”. The Journal Of Finance, C:46, No:5, s.1839-1877.
10. Keenan, Daniel MacRae (1985). ”A Tukey Nonadditivity-Type Test for Time Series Nonlinearity”. Biometrika, C:72, No:1, s.39-44.
11. Lim, Kian-Ping, ve Robert Brooks (2009). “Are Chinese Stock Markets Efficient? Further Evidence from a Battery of Nonlinearity Tests”. Applied Financial Economics, C:19, No:2, s.147-155.
12. Östermark, Ralf; Jaana, Aaltonen; Henrik, Saxén ve Kenneth, Söderlund (2004). “Nonlinear Modelling of the Finnish Banking and Finance Branch index”, The European Journal of Finance, C:10, No: 4, s.277-289.
13. Panagiotidis, Theodore (2005).” Market Capitalization and Efficiency. Does it Matter? Evidence from the Athens Stock Exchange”. Applied Financial Economics, C:15, No:10, s.707-713.
14. Saadi, Samir; Devinder, Gandhi ve Shantanu, Dutta (2006). “Testing for Nonlinearity & Modeling Volatility in Emerging Capital Markets: The Case of Tunisia”. International Journal of Theoretical and Applied Finance, C:9, No:07, s.1021-1050.
15. Scheinkman, Jose A ve Blake, LeBaron (1989). ”Nonlinear Dynamics and Stock Returns”. Journal of Business, C:62, No:3, s.311-337.
16. Sewell, Susan ve Stansell, Stanley (1993). “Nonlinearities in Emerging Foreign Capital Markets”. Journal of Business Finance & Accounting, C:20, No:2, s.237-248.
17. Shively, Philip A. (2003). “The Nonlinear Dynamics of Stock Prices”. The Quarterly Review of Economics and Finance, C:43, No:3, s.505-517.
18. Tsay, Ruey S. (1986). “Nonlinearity Tests for Time Series”. Biometrika, C:73, No:2, s.461-466.
19. Zivot, Eric ve Jiahui, Wang. (2001). Modelling Financial Time Series with S-PLUS. Springer.