Volatilitede uzun hafıza ve yapısal kırılma: Borsa Istanbul örneği

Cevik, Emrah Ismail and Topaloğlu, Gültekin (2014): Volatilitede uzun hafıza ve yapısal kırılma: Borsa Istanbul örneği. Published in: Balkan Sosyal Bilimler Dergisi , Vol. 3, No. 6 (2014): pp. 40-55.

Abstract

The aim of this paper is to examine validity of the efficient market hypothesis in Borsa İstanbul. Daily returns series are calculated by using daily closing price for BİST100 and BİST30 indices for periods of 1988-2014 and the presence of long memory on the volatility of the returns series is examined by means of Adaptive-FIGARCH (A-FIGARCH) model proposed by Baillie and Morana (2009). Empirical results suggest that there are multiple structural breaks on variance of returns series and A-FIGARCH model outperforms. In addition, it is found evidence in favor of long memory on the conditional variance of returns series and hence it can be said that Borsa İstanbul is not weak form efficient market.

• Item Type: MPRA Paper
• English Title: Long memory and structural breaks on volatility: evidence from Borsa Istanbul
• Language: Turkish
• Keywords: Efficient Market Hypothesis, Long Memory, Random Walk, A-FIGARCH
• 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 > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading

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