Şensoy, Ahmet (2012): Analysis on Runs of Daily Returns in Istanbul Stock Exchange.

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Abstract
The aim of this paper is to obtain some statistical properties about runs of daily returns of ISE30, ISE50 and ISE100 indices and compare these results with the empirical stylized facts of developed stock markets. In this manner, all time historical daily closing values of these indices are studied and the following observations are obtained; exponential law fits pretty well for the distribution of both run length and magnitude of run returns. Market is equally likely to go up or go down everyday. Market depth has improved over recent years. Large magnitudes of run returns are more likely to be seen in positive runs. As in the developed stock markets, daily returns in Istanbul Stock Exchange don’t have significant autocorrelations but absolute values (i.e. magnitudes) of daily returns exhibit strong and slowly decaying autocorrelations up to several weeks suggesting volatility clustering. Similar to the absolute daily returns, absolute value of run returns display strong and slowly decaying autocorrelations which again supporting the existence of volatility clustering. Unlike magnitudes of run returns, lenghts of runs don’t have significant autocorrelations.
Item Type:  MPRA Paper 

Original Title:  Analysis on Runs of Daily Returns in Istanbul Stock Exchange 
English Title:  Analysis on Runs of Daily Returns in Istanbul Stock Exchange 
Language:  English 
Keywords:  Stylized Facts; Return Runs; Autocorrelation; Volatility Clustering; Stock Market Efficiency 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C10  General C  Mathematical and Quantitative Methods > C2  Single Equation Models; Single Variables > C20  General C  Mathematical and Quantitative Methods > C0  General > C00  General 
Item ID:  42645 
Depositing User:  Ahmet Şensoy 
Date Deposited:  15. Nov 2012 15:25 
Last Modified:  13. Feb 2013 08:37 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/42645 