Long Memory in the Turkish Stock Market Return and Volatility
This paper examines the dual long memory property of the Turkish stock market. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatility. The results indicate that long memory dynamics in the returns and volatility might be modeled by using the ARFIMA-FIGARCH model. The results of the ARFIMAFIGARCH model show strong evidence of long memory in both returns and volatility. The long memory in returns implies that stock prices follow a predictable behavior, which is inconsistent with the efficient market hypothesis. The evidence of long memory in volatility, however, shows that uncertainty or risk is an important determinant of the behavior of daily stock data in the Turkish stock market.
Volume (Year): 7 (2007)
Issue (Month): 2 ()
|Contact details of provider:|| Postal: |
Phone: (90 312) 507 5000
Fax: (90 312) 507 5640
Web page: http://www.tcmb.gov.tr/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Geetesh Bhardwaj & Norman Swanson, 2004.
"An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series,"
Departmental Working Papers
200422, Rutgers University, Department of Economics.
- Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
- Sadique, Shibley & Silvapulle, Param, 2001. "Long-Term Memory in Stock Market Returns: International Evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 59-67, January.
- Assaf, A., 2006. "Dependence and mean reversion in stock prices: The case of the MENA region," Research in International Business and Finance, Elsevier, vol. 20(3), pages 286-304, September.
- Christos Floros & Shabbar Jaffry & Goncalo Valle Lima, 2007. "Long memory in the Portuguese stock market," Studies in Economics and Finance, Emerald Group Publishing, vol. 24(3), pages 220-232, September.
- Christopher F. Baum & John Barkoulas, 1996.
"Long Term Dependence in Stock Returns,"
Boston College Working Papers in Economics
314., Boston College Department of Economics.
- Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March.
- Kang, Sang Hoon & Yoon, Seong-Min, 2007. "Long memory properties in return and volatility: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(2), pages 591-600.
- John T. Barkoulas & Christopher F. Baum & Nickolaos Travlos, 1996.
"Long Memory in the Greek Stock Market,"
Boston College Working Papers in Economics
356., Boston College Department of Economics.
- Gil-Alana, L.A., 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, Elsevier, vol. 15(1), pages 28-48.
- Limam Imed, 2003. "Is Long Memory a Property of Thin Stock Markets? International Evidence Using Arab Countries," Review of Middle East Economics and Finance, De Gruyter, vol. 1(3), pages 56-71, December.
- Olan Henry, 2002. "Long memory in stock returns: some international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 12(10), pages 725-729.
- Andrew W. Lo, 1989.
"Long-term Memory in Stock Market Prices,"
NBER Working Papers
2984, National Bureau of Economic Research, Inc.
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996.
"Fractionally integrated generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 74(1), pages 3-30, September.
- Tom Doan, . "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
- Cheung, Yin-Wong & Lai, Kon S., 1995. "A search for long memory in international stock market returns," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 597-615, August.
- Rehim Kili, 2004. "On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 14(13), pages 915-922.
- Jussi Tolvi, 2003. "Long memory and outliers in stock market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 13(7), pages 495-502.
- Dimitrios Vougas, 2004. "Analysing long memory and volatility of returns in the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 14(6), pages 457-460.
When requesting a correction, please mention this item's handle: RePEc:tcb:cebare:v:7:y:2007:i:2:p:13-27. See general 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: ()or () or ()
If references are entirely missing, you can add them using this form.