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Long Memory in the Turkish Stock Market Return and Volatility

  • Adnan Kasman
  • Erdost Torun
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    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.

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    File URL: https://www3.tcmb.gov.tr/cbr/index.php/cbreview/article/view/289/249
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    Article provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its journal Central Bank Review.

    Volume (Year): 7 (2007)
    Issue (Month): 2 ()
    Pages: 13-27

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    Handle: RePEc:tcb:cebare:v:7:y:2007:i:2:p:13-27
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    1. 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.
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    12. 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.
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