文章基本信息

标题：Türkiye Hisse Senedi Piyasası Getiri ve Oynaklığındaki Uzun Dönem Bağımlılık İçin Ampirik Bir Analiz
本地全文：下载
作者：Serpil TÜRKYILMAZ ; Mesut BALIBEY
期刊名称：Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi
印刷版ISSN：1302-3284
电子版ISSN：1308-0911
出版年度：2014
卷号：16
期号：2
页码：281-302
语种：Turkish
出版社：Dokuz Eylul Univeristy
摘要：Abstract The study examines presence of dual long memory property in returns of Turkish Stock Market by using ARFIMA-FIGARCH model and, tests Weak Form Efficient Market Hypothesis. The data set consists of daily closing prices for the period 2010 to 2013 of Istanbul Stock Exchange. Firstly, long memory property in return and volatility has been investigated separately. FIGARCH model indicates statistically significant findings while the results of ARFIMA model display long memory dynamics in returns of BIST. Secondly, long memory in return and volatility has been evaluated simultaneously by using ARFIMA-FIGARCH model. Consequently, Turkish Stock Market is not Efficient Market because volatility shows forecastable structure while there have not been obtained any finding about presence of long memory in return . Keywords: ARFIMA-FIGARCH, Dual Long Memory, Volatility, Structural Break, Efficient Market Hypothesis.
关键词：ARFIMA-FIGARCH, Dual Long Memory, Volatility, Structural Break;ARFIMA-FIGARCH, İkili Uzun Hafıza, Oynaklık, Yapısal