Abstract:

In this study, Turkey and The Balkan Countries Bulgaria, Greece, Serbia, Romania, Bosnia and Herzegovina and Croatia stock market indices returns and volatility is to investigate the presence of long memory. Work was carried out on daily closing values between October 14, 2013 and July 24, 2020, using ARFIMA for return and FIAPARCH for volatility. According to the results, there is a long memory in returns in the stock exchange index Bulgaria; Turkey, Greece, Serbia and Romania stock indices revealed that the long memory in volatility. These results show that they are not an efficient market in weak form for the specified country indices. The asymmetry parameter γ Turkey, Greece and Romania stock indexes were detected in significant and positive values. This result shows that there is an asymmetry feature for the country indexes indicated and the effect of negative information shocks on volatility is more dominant than positive information shocks.

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