BibTex RIS Kaynak Göster

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Yıl 2013, Cilt: 4 Sayı: 8, 17 - 33, 04.02.2014

Öz

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.

Kaynakça

  • M. AGA and B. KOCAMAN (2008), Efficient Market Hypothesis and Emerging Capital Markets: Empirical Evidence From Istanbul Stock Exchange. International Research Journal of Finance and Economics, 13, 131-144.
  • J. BAI and P. PERRON (1998), Estimating and testing linear models with multiple structural changes. Econometrica, 66, 47-78.
  • E. BALABAN, H.B. CANDEMIR and K. KUNTER, (1996), Stock Market Efficiency in a Developing Economy: Evidence From Turkey. The Central Bank of The Republic Of Turkey, Research Department, Discussion Paper, 9612, 353-377.
  • A. BANERJEE, R.L. LUMSDAINE and J.H. STOCK (1992), Recursive and sequential tests of unit-root and the trend break hypotheses: theory and international evidence. Journal of Business Economics and Statistics, 10, 271-287.
  • C. BUGUK and B.W. BRORSEN (2003), Testing Weak-Form Market Efficiency : Evidence From The Istanbul Stock Exchange. International Review of Financial Analysis, 12, 579-590.
  • J. P. BYRNE and R. PERMAN (2006), Unit Roots and Structural Breaks: A Survey of the Literature. Paper provided by Business School - Economics, University of Glasgow in its series Working Papers with number 2006_10.
  • K. CHAUDHURI and W. YANGRU (2003), Random walk versus breaking trend in stock prices: Evidence from emerging markets. Journal of Banking & Finance, 27 (2003) 575–592.
  • CHRISTIANO, L.J. (1992), Searching for a break in GNP. Journal of Business Economics and Statistics, 10, 237-250.
  • CLEMENTE, J., MONTANES, A., and REYES, M., (1998), Testing for a unit root in variables with a double change in the mean. Economics Letters, 59, 175-182.
  • D.A. DICKEY and W.A. FULLER (1979), Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.
  • E. FAMA (1970), Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25, 383-417.
  • G. KAPETANOIS (2005), Unit root testing against the alternative hypothesis of up to m structural breaks. Journal of Time Series Analysis, 26, 123-133.
  • KIM, D. and PERRON, P. (2009), Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses, Journal of Econometrics, 148, 1J. LEE and M. STRAZICICH (2003), Minimum Lagrange Multiplier unit root tests with two structural breaks. Review of Economics and Statistics, 81, 1082-1089.
  • R.L. LUMSDAINE and D.H. PAPELL (1997), Multiple trend breaks and the unit root hypothesis. Review of Economics and Statistics, 79, 212-218.
  • K. METIN and G. MURADOĞLU (1996), Efficiency of the Turkish Stock Exchange with Respect to Monetary Variables: A Cointegration Analysis. European Journal of Operations Research, 90, 566-576.
  • G. MURADOĞLU and D. ÖNKAL (1992), Türk Hisse Senedi Piyasasında Yarı-Güçlü Etkinlik. METU Studies in Development, 19, 197-207.
  • C.R. NELSON and C.I. PLOSSER (1982), Trends and random walks in macroeconomic time series: Some evidence and implications. Journal of Monetary Economics, 10, 139- 162.
  • H.I. OHARA (1999), A unit root test with multiple trend breaks: A theory and application to US and Japanese macroeconomic time series. The Japanese Economic Review, 50, 266-290.
  • P. PERRON (1989), The great crash, the oil price shock and the unit root hypothesis. Econometrica, 57, 1361-1401.
  • P. PERRON and T. VOGELSANG (1992), Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business and Economic Statistics, 10, 301-320.
  • E. ZIVOT and D. ANDREWS (1992), Further evidence of the great crash, the oil-price shock and the unit-root hypothesis. Journal of Business and Economic Statistics, 10, 251-270.

STRUCTURAL BREAKS IN ISE SECTORAL INDICES

Yıl 2013, Cilt: 4 Sayı: 8, 17 - 33, 04.02.2014

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.

Kaynakça

  • M. AGA and B. KOCAMAN (2008), Efficient Market Hypothesis and Emerging Capital Markets: Empirical Evidence From Istanbul Stock Exchange. International Research Journal of Finance and Economics, 13, 131-144.
  • J. BAI and P. PERRON (1998), Estimating and testing linear models with multiple structural changes. Econometrica, 66, 47-78.
  • E. BALABAN, H.B. CANDEMIR and K. KUNTER, (1996), Stock Market Efficiency in a Developing Economy: Evidence From Turkey. The Central Bank of The Republic Of Turkey, Research Department, Discussion Paper, 9612, 353-377.
  • A. BANERJEE, R.L. LUMSDAINE and J.H. STOCK (1992), Recursive and sequential tests of unit-root and the trend break hypotheses: theory and international evidence. Journal of Business Economics and Statistics, 10, 271-287.
  • C. BUGUK and B.W. BRORSEN (2003), Testing Weak-Form Market Efficiency : Evidence From The Istanbul Stock Exchange. International Review of Financial Analysis, 12, 579-590.
  • J. P. BYRNE and R. PERMAN (2006), Unit Roots and Structural Breaks: A Survey of the Literature. Paper provided by Business School - Economics, University of Glasgow in its series Working Papers with number 2006_10.
  • K. CHAUDHURI and W. YANGRU (2003), Random walk versus breaking trend in stock prices: Evidence from emerging markets. Journal of Banking & Finance, 27 (2003) 575–592.
  • CHRISTIANO, L.J. (1992), Searching for a break in GNP. Journal of Business Economics and Statistics, 10, 237-250.
  • CLEMENTE, J., MONTANES, A., and REYES, M., (1998), Testing for a unit root in variables with a double change in the mean. Economics Letters, 59, 175-182.
  • D.A. DICKEY and W.A. FULLER (1979), Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.
  • E. FAMA (1970), Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25, 383-417.
  • G. KAPETANOIS (2005), Unit root testing against the alternative hypothesis of up to m structural breaks. Journal of Time Series Analysis, 26, 123-133.
  • KIM, D. and PERRON, P. (2009), Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses, Journal of Econometrics, 148, 1J. LEE and M. STRAZICICH (2003), Minimum Lagrange Multiplier unit root tests with two structural breaks. Review of Economics and Statistics, 81, 1082-1089.
  • R.L. LUMSDAINE and D.H. PAPELL (1997), Multiple trend breaks and the unit root hypothesis. Review of Economics and Statistics, 79, 212-218.
  • K. METIN and G. MURADOĞLU (1996), Efficiency of the Turkish Stock Exchange with Respect to Monetary Variables: A Cointegration Analysis. European Journal of Operations Research, 90, 566-576.
  • G. MURADOĞLU and D. ÖNKAL (1992), Türk Hisse Senedi Piyasasında Yarı-Güçlü Etkinlik. METU Studies in Development, 19, 197-207.
  • C.R. NELSON and C.I. PLOSSER (1982), Trends and random walks in macroeconomic time series: Some evidence and implications. Journal of Monetary Economics, 10, 139- 162.
  • H.I. OHARA (1999), A unit root test with multiple trend breaks: A theory and application to US and Japanese macroeconomic time series. The Japanese Economic Review, 50, 266-290.
  • P. PERRON (1989), The great crash, the oil price shock and the unit root hypothesis. Econometrica, 57, 1361-1401.
  • P. PERRON and T. VOGELSANG (1992), Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business and Economic Statistics, 10, 301-320.
  • E. ZIVOT and D. ANDREWS (1992), Further evidence of the great crash, the oil-price shock and the unit-root hypothesis. Journal of Business and Economic Statistics, 10, 251-270.
Toplam 21 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Mine Aksoy

Selin Karatepe

Yayımlanma Tarihi 4 Şubat 2014
Gönderilme Tarihi 4 Şubat 2014
Yayımlandığı Sayı Yıl 2013 Cilt: 4 Sayı: 8

Kaynak Göster

APA Aksoy, M., & Karatepe, S. (2014). STRUCTURAL BREAKS IN ISE SECTORAL INDICES. Finansal Araştırmalar Ve Çalışmalar Dergisi, 4(8), 17-33.