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Detection Of Nonlinear Events In Turkish Stock Market

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  • Veli YILANCI

Abstract

In 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.

Suggested Citation

  • Veli YILANCI, 2012. "Detection Of Nonlinear Events In Turkish Stock Market," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(1(19)/ Sp), pages 93-96.
    • Handle: RePEc:ush:jaessh:v:7:y:2012:i:1(18)_spring2012:p:93
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    References listed on IDEAS

    as
    1. Christopher Brooks & Melvin Hinich, 1998. "Episodic nonstationarity in exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 5(11), pages 719-722.
    2. Brock, William A & LeBaron, Blake D, 1996. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 94-110, February.
    3. David G. McMillan, 2003. "Non‐linear Predictability of UK Stock Market Returns," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 557-573, December.
    4. Antonios Antoniou & Nuray Ergul & Phil Holmes, 1997. "Market Efficiency, Thin Trading and Non‐linear Behaviour: Evidence from an Emerging Market," European Financial Management, European Financial Management Association, vol. 3(2), pages 175-190, July.
    5. Hinich, Melvin J & Patterson, Douglas M, 1985. "Evidence of Nonlinearity in Daily Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(1), pages 69-77, January.
    6. Kian-Ping Lim & Melvin J. Hinich, 2005. "Cross-temporal universality of non-linear dependencies in Asian stock markets," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-6.
    7. repec:ebl:ecbull:v:7:y:2005:i:1:p:1-6 is not listed on IDEAS
    8. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    9. Rafael Romero-Meza & Claudio Bonilla & Melvin Hinich, 2007. "Nonlinear event detection in the Chilean stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 14(13), pages 987-991.
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    Cited by:

    1. Ivani Mausumi Bora & Manoj Kumar, 2017. "Long Term Dynamics of Indian ADRs Market: The Case of Persistence and Irregular Cycles," Accounting and Finance Research, Sciedu Press, vol. 6(2), pages 1-71, May.
    2. Ece C. KARADAGLI & Nazlı C. OMAY, 2012. "Testing Weak Form Market Efficiency Of Emerging Markets: A Nonlinear Approach," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 7(3(21)/ Fa), pages 235-245.

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    More about this item

    Keywords

    Event detection; nonlinearity; stock market; Turkey;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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