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Çalışmanın amacı, Türk bankacılık sektör endeksinin getiri ve volatilitesinde ikili uzun hafıza özelliğini ARFIMA-FIGARCH ve ARFIMA-FIEGARCH modeli ile inceleyerek etkin piyasalar hipotezini test etmektir. Bu amaçla modelde veri seti olarak 2008-2017 dönemi Borsa İstanbul Banka Endeksi (XUBANK) kapanış fiyatları kullanılmıştır. İkili uzun hafızayı test etmek için farklı hata dağılım varsayımlarına göre kurulan ARFIMA-FIGARCH model tahminlerine göre, getiride uzun hafıza özelliğine ilişkin bulgular elde edilemezken; volatilitede uzun hafıza özelliğini destekler bulgulara ulaşılmıştır. Ayrıca, söz konusu dönemde ortaya çıkan yapısal kırılmanın volatilitedeki uzun hafıza üzerinde istatistiki bir etkisinin olmadığı tespit edilmiştir. Bilgi şoklarının asimetrik etkisini de ölçmek için ARFIMA-FIEGARCH modeli Student-t dağılımına göre tahmin edilmiş ve getiride uzun hafıza olmadığı tespit edilmiştir. Ancak getiri volatilitesinde uzun hafıza parametresinin 0,74 olduğu ve negatif bilgi şoklarının pozitif bilgi şoklarına göre daha fazla oynaklığa sebep olduğu gözlenmiştir.
The aim of the study is to test the effective market hypothesis by examining the dual long memory feature in the return and volatility of the Turkish banking sector index with the ARFIMA-FIGARCH and ARFIMA-FIEGARCH models. For this purpose, the data set in the model has been used as the closing prices of the 2008-2017 period of the Bursa Istanbul Bank Index (XUBANK). According to the ARFIMA-FIGARCH model forecasts, established according to different error distribution assumptions to test double long memory, findings about the long memory feature in return are unable; findings supporting the long memory feature in volatility have been achieved. Furthermore, it has been found that the structural breakdown that occurs during that period has no statistical effect on long memory in volatility. To measure the asymmetric effect of information shocks, the ARFIMA-FIEGARCH model was predicted according to the Student-t distribution and found that there was no long memory in the return. However, in return volatility, the long memory parameter was 0.74 and negative information shocks caused more gameplay than positive information shocks.
The aim of this paper is to test the efficient market hypothesis by examining the dual long memory feature of the Turkish banking sector index in return and volatility with the ARFIMA-FIGARCH and ARFIMA-FIEGARCH models. For this purpose, closing prices of 2008-2017 period Stock Exchange Istanbul Bank Index (XUBANK) were used as data set in the model. According to the ARFIMA-FIGARCH model estimates established according to different error distribution assumptions to test the dual long memory, while no findings can be obtained about the long memory feature in the return; the volatility has long been supported by findings that support long memory. Moreover, it has been determined that structural break has no statistical effect on the long memory related to the volatility in the mentioned period. In order to measure the asymmetric effect of the information shocks, the ARFIMA-FIEGARCH model was estimated according to the Student-t distribution and it was found that there was no long memory in the return. However, it was observed that the rate of long memory in the volatility of return was 0.74 and the negative information shocks caused more volatility than the positive information shocks.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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