An Empirical Analysis for Long Term-Dependence in the Return and Volatility of Turkish Stock Market

Öz

Abstract

The study examines presence of dual long memory property in returns of Turkish Stock Market by using ARFIMA-FIGARCH model and, tests Weak Form Efficient Market Hypothesis. The data set consists of daily closing prices for the period 2010 to 2013 of Istanbul Stock Exchange. Firstly, long memory property in return and volatility has been investigated separately. FIGARCH model indicates statistically significant findings while the results of ARFIMA model display long memory dynamics in returns of BIST. Secondly, long memory in return and volatility has been evaluated simultaneously by using ARFIMA-FIGARCH model. Consequently, Turkish Stock Market is not Efficient Market because volatility shows forecastable structure while there have not been obtained any finding about presence of long memory in return .

Keywords: ARFIMA-FIGARCH, Dual Long Memory, Volatility, Structural Break, Efficient Market Hypothesis.

 

Anahtar Kelimeler

• ARFIMA-FIGARCH, Dual Long Memory, Volatility, Structural Break

Türkiye Hisse Senedi Piyasası Getiri ve Oynaklığındaki Uzun Dönem Bağımlılık İçin Ampirik Bir Analiz

Öz

Öz

Çalışma ARFIMA-FIGARCH modelleri yardımıyla Türkiye hisse senedi piyasası getirilerinde ikili uzun hafıza özelliğinin varlığını incelemekte dolayısıyla zayıf formda etkin piyasa hipotezini test etmektedir. Bu amaçla kullanılan veri 2010-2013 dönemi Borsa İstanbul (BIST) için günlük hisse senedi kapanış fiyatlarını içermektedir. Öncelikle ortalama ve oynaklıktaki uzun hafızanın varlığı ayrı olarak incelenmiştir. ARFIMA modeli sonuçları BIST getirileri için ortalamada uzun hafıza özelliği gösterirken, getiri oynaklıklarındaki uzun hafızanın varlığı için FIGARCH modeli de istatistiksel olarak anlamlı sonuçlar vermiştir. İkinci olarak, ortalama ve oynaklıktaki birlikte uzun hafıza özelliği ARFIMA-FIGARCH modeli ile değerlendirilmiştir. Sonuç olarak, ortalamada uzun hafızanın varlığına dair bir bulgu elde edilemezken, oynaklığın öngörülebilir bir yapı gösterdiği Türkiye borsası etkin bir piyasa değildir.

Anahtar Kelimeler: ARFIMA-FIGARCH, İkili Uzun Hafıza, Oynaklık, Yapısal Kırılma, Etkin Piyasa Hipotezi.

Anahtar Kelimeler

• ARFIMA-FIGARCH, İkili Uzun Hafıza, Oynaklık, Yapısal

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