İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: sektörel bazda bir inceleme

Cevik, Emrah Ismail (2012): İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: sektörel bazda bir inceleme. Published in: Journal of Yasar University , Vol. 7, No. 26 (2012): pp. 4437-4454.

Abstract

In this study, we examine whether the efficient market hypothesis is valid in the Istanbul Stock Exchange (ISE) via parametric and semi parametric long memory models. In order to determine the presence of weak form efficient market hypothesis, we consider 10 sector indices. Semi parametric and parametric long memory model results suggest that the volatility of sector returns exhibit long memory properties and hence it can be said that the ISE is not efficient market.

• Item Type: MPRA Paper
• English Title: The testing of efficient market hypothesis in the Istanbul Stock Exchange by using long memory models: a sector-specific analysis
• Language: Turkish
• Keywords: ISE, Efficient Market Hypothesis, Long Memory, FIGARCH, Local Whittle Estimator
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates

References

Agiakoglu, C., Newbold, P., ve Wohar, M. (1993), Bias in an estimator of the fractional difference parameter. Journal of Time Series Analysis, 14, 235-246. Assaf, A. (2007). Fractional integration in the equity markets of MENA region. Applied Financial Economics, 17, 709-723. Atan, M., Özdemir, Z. A., Duman, S., Kayacan, M., ve Boztosun, D. (2006). İMKB’nin etkinlik düzeyinin zaman serisi ekonometrisi ile analizi. www.finansbilim.com/ufs2006/ Makaleler/IMKBNINETKINLIK.pdf (Erişim Tarihi, 22 Mart 2007) Baillie, R.T., Bollerslev, T., ve Mikkelsen, H.O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74, 3-30. Balaban, E. (1995). Informational efficiency of the Istanbul securities exchange and some rationale for public regulation. The Central Bank of Republic of Turkey, Research Department, No: 9502. Balaban, E., Candemir, H. B., ve Kunter, K. (1996). Stock market efficiency in a developing economy: evidence from Turkey. The Central Bank of the Republic Of Turkey, Research Department, No: 9612 Barkoulas, J., Labys, W.C., ve Onochie, J.I. (1999). Long memory in future prices. The Financial Review, 34, 91-100. Barkoulas, J.T., Baum, C.F., ve Travlos, N. (2000). Long memory in the Greek stock market. Applied Financial Economics, 10, 177-184. Blasco, N., ve Santamaria, R. (1996). Testing memory patterns in the Spanish stock market. Applied Financial Economics, 6, 401-411. Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31, 307-327. Cajueiro, D.O., ve Tabak, B.M. (2006). The long-range dependence phenomena in asset returns: the Chinese case. Applied Economics Letters, 13, 131-133. Caporale, G.M., ve Gil-Alana, L.A. (2004). Long range dependence in daily stock returns. Applied Financial Economics, 14, 375-383. Christodoulou-Volos, C., ve Siokis, F.M. (2006). Long range dependence in stock market returns. Applied Financial Economics, 16, 1331-1338. Disario, R., Saraoglu, H., McCarthy, J., ve Li, H. (2008). Long memory in the volatility of an emerging equity market: the case of Turkey. International Financial Markets, Institutions ve Money, 18 (5), 305-312. Elder, J., ve Serletis, A. (2007). On fractional integrating dynamics in the US stock market. Chaos, Solitons and Fractals, 34, 777-781. Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of UK Inflation. Econometrica, 50, 987–1008. Fama, F.E. (1970). Efficient capital markets: a review of theory and empirical work. The Journal of Finance, 25(2), 383-417. Geweke, J., ve Porter-Hudak, S. (1983). The estimation and application of long memory time series models. Journal of Time Series Analysis, 4, 221-238. Gil-Alana, L. (2006). Fractional integration in daily stock market indexes. Review of Financial Economics, 15, 28-48. Granger, C.W.J., ve Joyeux, R. (1980). An introduction to long memory time series models and fractional differencing. Journal of Time Series Analysis, 1, 15-39. Hosking, J.R.M. (1981). Fractional differencing. Biometrika, 68, 165-76. Hurst, H. (1951). Long term storage capacity of reservoirs. Transactions of the American Society of Civil Engineers, 116, 770-780. Hurvich, C., Deo, R. ve Brodsky, J. (1998). The Mean Squared Error of Geweke and Porter-Hudak’s Estimator of the Long Memory Parameter of a Long Memory Time Series. Journal of Time Series Analysis, 16, 17-41. Kang, S.H., Cheong, C., ve Yoon, S-M. (2010). Long memory volatility in Chinese stock markets. Physica A, 389, 1425-133. Kiliç, R. (2004). On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange. Applied Financial Economics, 14, 915-922. Kim, C.S., ve Phillips, P.C.B. (2000). Modified log-periodogram regression, Yale University Working Paper. Korkmaz, T., ÇEVİK, E.İ., ve Özataç, N. (2009). Testing for long memory in ISE using ARFIMA-FIGARCH Model and structural break test. International Research Journal of Finance and Economics, 26. 186-191. Künsch, H. (1987). Statistical aspects of self-similar processes. In Proc. First World Congress of the Bernoulli Society (Yu. Prokhorov and V. V. Sazanov, eds.) 1 67–74. VNU Science Press, Utrecht. Kwiatkowski, D., Phillips, P.C.B, Schmidt, P., ve Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54, 159-178. Lux, T., ve Kaizoji, T. (2007). Forecasting volatility and volume in the Tokyo stock market: long memory, fractality and regime switching. Journal of Economic Dynamics ve Control, 31, 1808-1843. McMillan, D.G., ve Thupayagale, P. (2008). Efficiency of the South African equity market. Applied Financial Economics Letters, 1-4. Phillips, P.C., ve Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335-346. Phillips, P.C.B. (2007). Unit root log periodogram regression. Journal of Econometrics, 138, 104-124. Resende, M., ve Teixeira, N. (2002). Permanent structural changes in the Brazilian economy and long memory: a stock market perspective. Applied Economics Letters, 9, 373-375. Robinson, P.M. (1995). Gaussian semiparametric estimation of long range dependence. Annals of Statistics, 23, 1630–1661. Shimotsu, K., ve Phillips, P.C.B. (2005). Exat Local Whittle estimation of fractional integration. The Annals of Statistics, 33, 1890-1933.