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Detection Of Nonlinear Events In Turkish Stock Market

Listed author(s):
  • Veli YILANCI

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.

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File URL: http://www.jaes.reprograph.ro/articles/Spring2012/articles/Yilanci,Veli..pdf
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Article 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 ()
Pages: 93-96

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Handle: RePEc:ush:jaessh:v:7:y:2012:i:1(18)_spring2012:p:93
Contact details of provider: Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=14

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  1. Christopher Brooks & Melvin Hinich, 1998. "Episodic nonstationarity in exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 5(11), pages 719-722.
  2. repec:ebl:ecbull:v:7:y:2005:i:1:p:1-6 is not listed on IDEAS
  3. 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.
  4. 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.
  5. William A. Brock & Blake D. LeBaron, 1995. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume," NBER Working Papers 4988, National Bureau of Economic Research, Inc.
  6. 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.
  7. 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.
  8. 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.
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