Özet:

While the price is formed in the stock market, all information about the security affects the price formation. The existence of long memories in stock markets shows that the relevant markets are not efficient in weak form. In this study, the shock effects on the volatility in the stock markets of Denmark, Sweden, Norway, and Finland, which are Scandinavian countries, for the period 01/09/2008-30/09/2022 were investigated. With the Geweek and Porter-Hudak test, the hypothesis of t (H0: d=0) of the long memory parameter in the volatility series of these countries was rejected. In addition, results above the range of critical values related to the Lo R/S test were obtained. The FIGARCH model was applied by the iterated sum of cumulative squares (ICSS) method, taking into account the structural breaks in the variance. According to the results obtained, the countries in the study were calculated as Denmark (d= 0.37064), Norway (d=0.46677), Sweden (d=0.50199) and Finland (d=0.44732). The return series for the stock markets of these countries immediately reached equilibrium. However, it indicates that the current and future prices of the weak-form ineffective volatility series are not independent of the past prices. Therefore, while there is no long memory feature in the return series of Scandinavian countries, it has been found that the long memory feature is in the volatility series, and therefore these countries are not efficient in the weak form.

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