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Abstract

Economic or political crises may cause structural change in many time series. In this paper we document structural breaks in daily sectoral indices of Istanbul Stock Exchange (ISE). The time period under study ranges from January 1997 to July 2012. We propose Zivot and Andrews (1992) test that endogenously determines a structural break. Test results show the evidence of a structural break for most of the sectors.

Keywords

• Unit root, Structural break, Sectoral Indices, ISE, Zivot and Andrews.

STRUCTURAL BREAKS IN ISE SECTORAL INDICES

Öz

Ekonomik ve politik krizler zaman serilerinde yapısal kırılmalara sebep olabilir. Bu çalışmada

İMKB’de yer alan sektö endeksleri içn yapıal kıımalar analiz edilmişir. Çlışıan döem Ocak

1997 ile Temmuz 2012 tarih aralığıı. Yapıal kıımalarıiçel bir şkilde belirleyen Zivot ve Andrews

(1992) testi kullanımışı. Test sonuçarıtü sektöler içn yapıal kıımaları olduğnu götermektedir.

Anahtar Kelimeler: Birim kök, Yapısal Kırılma, Sektör Endeksleri, İMKB, Zivot ve Andrews.

Anahtar Kelimeler

• Birim kök, Yapısal Kırılma, Sektör Endeksleri, İMKB, Zivot ve Andrews.

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