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  Citation Number 3
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Kredi Temerrüt Takası Primlerinin Oynaklığında Uzun Hafıza ve Etkin Piyasa Hipotezi - Fraktal Piyasa Hipotezi Sınaması: Türkiye Örneği
2021
Journal:  
Gaziantep University Journal of Social Sciences
Author:  
Abstract:

Bu çalışmada, Türkiye’nin 2010 – 2020 dönemine ait ülke Kredi Temerrüt Takası Primlerinin finansal zaman serisi olarak özellikleri araştırılmış, parametrik ve yarı parametrik ön testler uygulanmıştır. Asimetrik ikili uzun hafıza modelleri yardımıyla uzun hafıza özellikleri ile birlikte zayıf formda piyasa etkinliği ve fraktal piyasa özellikleri sınanmıştır. Ön testlerle tutarlı olarak ARMA-FIGARCH, ARFIMA-FIGARCH ve ARFIMA-FIAPARCH model sonuçlarına göre değişim serisinde kısa hafızaya yakın özellik ve oynaklık serisinde ise uzun dönem hafıza özellikleri belirlenmiştir. Yapısal kırılmaların varyans denklemine dâhil edildiği modellerde oynaklığı %10 anlamlılık düzeyinde etkilediği belirlenmiştir. Türkiye’nin kredi temerrüt takası piyasasında volatilitenin öngörülebilir yapıda çıkması, etkin piyasa hipotezi ile çelişmektedir. Kredi temerrüt takası piyasası fraktal özellikler göstermektedir.

Keywords:

Long Memory In The Volatility Of Credit Default Swap Premiums and Efficient Market Hypothesis - Fractal Market Hypothesis Test: Example Of Turkey
2021
Author:  
Abstract:

In this study, we investigated the characteristics of Turkey's CDS premiums for the period 2010 – 2020 as a financial time series with parametric and semi-parametric preliminary tests. We investigated weak form market efficiency and fractal market characteristics with the help of asymmetric dual long memory models. According to the results of the ARMA-FIGARCH, ARFIMA-FIGARCH and ARFIMA-FIAPARCH models, consistent with preliminary tests, we determined features close to short memory in the change Series and features of long-term memory in the volatility series. We determined that the models in which structural breaks are included in the variance equation affect the volatility at the 10% significance level. Turkey’s CDS market structure to emerge in the foreseeable volatility, is inconsistent with the efficient market hypothesis. The credit default swap market has a fractal structure. The fact that volatility in Turkey's credit default swap market is predictable contradicts the effective market hypothesis. The credit default swap market shows fractal characteristics.

Keywords:

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Gaziantep University Journal of Social Sciences

Field :   Güzel Sanatlar; Hukuk; İlahiyat; Sosyal, Beşeri ve İdari Bilimler

Journal Type :   Uluslararası

Metrics
Article : 1.608
Cite : 8.453
2023 Impact : 0.25
Gaziantep University Journal of Social Sciences