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Long Memory In Turkish Stock Market And Effects Of Central Banks’ Announcements

Author

Listed:
  • ERER, Elif

    (Institute of Social Sciences, Department of Economics, Ege University, Turkey)

  • ERER, Deniz

    (Institute of Social Sciences, Department of Economics, Ege University, Turkey)

Abstract

This paper investigates the response of stock market volatility to CBRT’s and FED’s interest rate increase and reduction decisions in Turkey over the period of 02.01.2004-31.01.2017. For this purpose, we used APARCH, FIAPARCH-CHUNG, FIAPARCH-BMM models. The results of analysis indicated presence of long memory in the conditional variance and FIAPARCH-CHUNG is the most appropriate model according to Akaike and Schwarz information criteria. It was seen that interest rate decisions made by CBRT and FED haven’t any significant effect on stock market volatility. This situation means that expected interest rate decisions are priced by market participants and investors. Shocks to stock markets have persistent effect on volatility.

Suggested Citation

  • ERER, Elif & ERER, Deniz, 2017. "Long Memory In Turkish Stock Market And Effects Of Central Banks’ Announcements," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 21(3), pages 6-18.
  • Handle: RePEc:vls:finstu:v:21:y:2017:i:3:p:6-18
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    References listed on IDEAS

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    More about this item

    Keywords

    Monetary Policy; Stock Market Volatility; Long Memory;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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