Detection Of Nonlinear Events In Turkish Stock Market
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.
Volume (Year): 7 (2012)
Issue (Month): 1(19)/ Spring 2012 ()
|Contact details of provider:|| Web page: http://www2.spiruharet.ro/facultati/facultate.php?id=14|
More information through EDIRC
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.:
- 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.
- Brock, W.A. & Hommes, C.H., 1996. "Hetergeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model," Working papers 9621, Wisconsin Madison - Social Systems.
- Christopher Brooks & Melvin Hinich, 1998. "Episodic nonstationarity in exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 5(11), pages 719-722.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- repec:ebl:ecbull:v:7:y:2005:i:1:p:1-6 is not listed on IDEAS Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:ush:jaessh:v:7:y:2012:i:1(18)_spring2012:p:93. 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: (Laura Stefanescu)
If references are entirely missing, you can add them using this form.