Abstract:

The Efficient Market Hypothesis states that since all the information in the market is included in the asset price, it is not possible to make a profit above the average market return by using this information. However, if the existence of long memory is detected in the market, this situation disappears. The study was conducted to investigate the bilateral long-memory relationship between the Turkish lira and 5 foreign currencies. In return, it has been determined that there is a long memory in all exchange rates except the Ruble / TL exchange rate. In volatility, long memory existence was found for all exchange rates. It has been determined that USD/TL and Yuan/TL exchange rates exhibit long memory characteristics both in return and volatility.