Özet:

In this study, we investigate the nonlinear dynamics in the returns of Borsa Istanbul indices, based on three tests of nonlinearity and chaos. We use the daily data of Borsa Istanbul Services Index, Borsa Istanbul Financial Index, Borsa Istanbul Industrials Index and Borsa Istanbul Technology Index for the period of 1997-2016. Firstly, the nonlinearity of the series is tested by employing the BDS (1996) test that shows the evidences for the existence of the nonlinear structure. Afterwards, the fractality of the indices is proved as a result of the rescaled range analysis. Lastly, we found that daily returns have sensitivity to initial conditions by using the correlation dimension analysis. These findings show that the daily returns of Borsa Istanbul indices can be characterized by chaotic dynamics and the efficient market hypothesis does not hold. Hence, we can conclude that short-term forecasts can be made but it is difficult to make long-term forecasts for daily returns.

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