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.
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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 ()
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Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=14
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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
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