NONLINEAR DYNAMICS IN FINANCIAL TIME SERIES AND UNIT ROOT TESTS: CASE OF BORSA ISTANBUL SECTORAL PRICE-EARNING RATIOS
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.
Details
| Journal Section | Articles |
|---|---|
| Authors | |
| Publication Date | January 15, 2016 |
| Published in Issue | Year 2015 Volume: 2 Issue: 4 |
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