Detection Of Nonlinear Events In Turkish Stock Market
AbstractIn this study, we test the nonlinear dependence in the Turkish stock market namely, Istanbul stock exchange-100 over the period 2 January 1988 - 31 December 2010 by employing Hinich (1996) portmanteau test statistic jointly with Hinich, and Patterson (2005) non-overlapped windowed testing procedure. Finding nonlinear episodes in the stock returns, we identify which economic and political events trigger the nonlinearity. The results show not only national but also international economic and politic events cause the episodic nonlinearity in the returns.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Spiru Haret University, Faculty of Financial Management and Accounting Craiova in its journal Journal of Applied Economic Sciences.
Volume (Year): 7 (2012)
Issue (Month): 1(19)/ Spring 2012 ()
Contact details of provider:
Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=14
More information through EDIRC
Event detection; nonlinearity; stock market; Turkey;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Laura Stefanescu).
If references are entirely missing, you can add them using this form.