Analysis On Runs Of Daily Returns In Istanbul Stock Exchange
AbstractThe 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 every day. 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, lengths of runs don't have significant autocorrelations.
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Bibliographic InfoArticle provided by ASERS Publishing in its journal Journal of Advanced Studies in Finance.
Volume (Year): III (2012)
Issue (Month): 2 (January)
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Web page: http://www.asers.eu/journals/jasf.html
stylized facts; return runs; autocorrelation; volatility clustering; stock market efficiency.;
Other versions of this item:
- Şensoy, Ahmet, 2012. "Analysis on Runs of Daily Returns in Istanbul Stock Exchange," MPRA Paper 42645, University Library of Munich, Germany.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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