DOĞRUSAL OLMAYAN BİRİM KÖK TESTİ İLE BIST 100 ENDEKSİ ÜZERİNE AMPİRİK BİR ÇALIŞMA

Yıl 2018, Cilt: 14 Sayı: 3, 659 - 665, 01.06.2018

Deniz İlalan

https://doi.org/10.17130/ijmeb.2018343116

Cited By: 1

Öz

Bu çalışmada Borsa İstanbul 100 endeksinin etkinliği sınanmaktadır. En sık kullanılan doğrusal ve yapısal kırılmalı birim kök testleri elimizdeki zaman serisinin durağan olmadığını yani başka bir deyişle birim kökün varlığını desteklerken Kapatenios, Snell ve Shin’in geliştirmiş olduğu doğrusal olmayan birim kök testi ise bunun aksini iddia etmektedir. Bu bağlamda belirli dönemlerde doğrusal olmayan bir yapının varlığı söz konusudur. Bu bulgu araştırmacı açısından veride gereksiz yere fark alınmasının önüne geçeceği gibi yatırımcı açısından da endeksin hareketini analiz etmede faydalı olacaktır.

Anahtar Kelimeler

Borsa Endeksi, Birim Kök, Doğrusal Olmayan Trend

AN EMPIRICAL STUDY OF BIST 100 INDEX WITH NON LINEAR UNIT ROOT TESTING

Öz

This study examines the efficiency of Borsa Istanbul 100 stock exchange index. For the time series in question, although the most widely used linear and structural break tests detects non-stationarity, in other words, presence of unit root, the non-linear unit root test developed by Kapatenios, Snell and Shin claims the opposite. In that regard, for certain periods there exists a non-linear trend formation. This finding not only precludes supirious differencing for the researcher but also is beneficial for investors while analysing the movement of the stock index

Anahtar Kelimeler

Stock Index, Unit Root, Nonlinear Trend

Kaynakça

• Bali, T.G. Demirtas, K.O., & Levy, H. (2008). Nonlinear mean reversion in stock prices. Journal of Banking and Finance, 32, 767-782.
• Brooks, C. (2014). Introductory econometrics for finance 3rd edition. Cambridge University Press.
• Chen, S., Hsu, C., & Xie, Z.(2016). Are there periodically collapsing bubbles in the stock markets? New international evidence. Economic Modelling 52(B), January 442-451.
• Dickey, D.A., & Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74 (366), 427– 431.
• Dickey, D.A., & Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49 (4), 1057-1072.
• Fama, E. (1965). The behavior of stock market prices. The Journal of Business, 38 (1), 34-105.
• Gozbasi, O., Kucukkaplan, I., & Nazlioglu, S. (2014). Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests. Economic Modelling, 38, 381-384.
• Jones, S.L., & Netter, J. M.(2008). Efficient capital markets. The Concise Encyclopedia of Economics.
• Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112, 359–379.
• Kim, J., & Park, J. Y. (2013). Mean reversion and unit root properties of diffusion models. Working paper, Indiana University.
• McMillan, D.G. (2004). Non-linear predictability of short-run deviations in UK stock market returns, Economic Letters, 84, 149–154.
• Maldelbrot, B., & Hudson, R., (2004). The misbehavior of markets. Basic Books.
• Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis, econometrica, 57 (6), 1361-1401.
• Patterson, K. (2010). A primer for unit root testing. Palgrave Macmillan.
• Peters, E. (1994). Fractal market analysis. John Wiley & Sons Inc.
• Sharpe, W. F., Alexander, G. J., & Bailey, J. V. (1999). Investments. Prentice Hall, U.S.A.
• Spierdijk, L., Bikker, J.A., & Hoekd, P., (2012). Mean reversion in international stock markets: An empirical analysis of the 20th century. Journal of International Money and Finance, 31 (2), 228-249.
• Steeley, P.L.C. (2005). Modeling equity market integration using smooth transition analysis: A study of Eastern European stock markets. Journal of International Money and Finance, 24 (5), 818-831.
• Wang, J., Zhang, D., & Zhang, J. (2015). Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions. International Review of Economics & Finance, 37 (C), 157-164.
• Zivot, E., & Andrews, D. (1992). Further evidence on the great crash, the oil-price shock, and the unit root hypothesis. Journal of Business & Economic Statistics, 10 (3), 251-270.