@article{article_733976, title={THE LONG MEMORY BEHAVIOR IN TIME-VARYING BETA: AN EMPIRICAL APPLICATION ON BIST}, journal={Süleyman Demirel Üniversitesi Vizyoner Dergisi}, volume={11}, pages={200–210}, year={2020}, DOI={10.21076/vizyoner.733976}, author={Keskin, Hüseyin and Çelik, İsmail}, keywords={: Sermaye Varlıklarını Fiyatlandırma Modeli, Sistematik Risk, DECO-FIGARCH Modeli, Uzun Hafıza, Zamanla Değişen Beta Katsayısı}, abstract={<div style="text-align:justify;"> <span style="font-size:.9em;">The study aims to investigate the long memory behavior in time-varying beta, a systematic risk indicator, in İstanbul Stock Exchange (BIST) sub-indices. Using the data regarding BIST national indices, sub-indices and two-year benchmark bond interest rate between January 2009 and September 2019, the time-varying beta coefficient is determined with DECO-FIGARCH model, and the long memory behaviors of the beta coefficient are analyzed with GPH, Lo R / S and GSP tests. It is found that the beta coefficient of the three sub-indices (banking, financial and industrial) changes over time and the beta coefficient demonstrates long memory behavior (mean-reverting at a hyperbolic speed). It is indicated that the time-varying beta coefficients are forecastable and our findings contradict the weak-form of market efficiency. </span> </div>}, number={Ek}, publisher={Süleyman Demirel Üniversitesi}