Analysis of The Presence of Long Memory with Structural Breaks in Variance: Application to Stock Markets of Scandinavian Countries

Year 2023, Volume: 38 Issue: 4, 992 - 1010, 06.12.2023

Savaş Tarkun

https://doi.org/10.24988/ije.1252465

Abstract

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.

Keywords

Weak-Form Efficient Market, Long Memory, FIGARCH, Variance Break, Scandinavian Countries

Varyansta Yapısal Kırılmalar ile Uzun Hafıza Varlığının Analizi: İskandinav Ülkelerinin Borsalarına Uygulanması

Abstract

Hisse senedi piyaysasında fiyat oluşurken menkul kıymete ilişkin tüm bilgiler, fiyat oluşumunu etkilemektedir. Hisse senedi piyasalarında uzun hafızanın varlığı, ilgili piyasaların zayıf formda etkin olmadığını göstermektedir. Bu çalışmada, 01/09/2008-30/09/2022 dönemine ilişkin İskandinav ülkeleri olan Danimarka, İsveç, Norveç ve Finlandiya hisse senedi piyasalarındaki volatilitede meydana gelen şok etkileri araştırılmıştır. Geweek ve Porter-Hudak testi ile bu ülkelerin volatilite serilerinde uzun hafıza parametresine ilişkin sıfır hipotezi reddedilmiştir. Ayrıca, Lo Modifiye Edilmiş R/S testi ile volatilite serisi ilgili kritik değerler aralığının üzerinde sonuç elde edilmiştir. Varyanstaki yapısal kırılmalar dikkate alınarak yinelenen kümülatif kareler toplamı (ICSS) yöntemi ile FIGARCH modeli uygulanmıştır. Çalışmada bulunan ülkelerden, Danimarka (d= 0.37064), Norveç (d=0.46677), İsveç (d=0.50199) ve Finlandiya (d=0.44732) sonucuna ulaşılmıştır. Bu ülkelerin borsalarına ilişkin getiri serileri hemen dengeye ulaşmaktadır. Ancak, zayıf formda etkin olmayan volatilite serilerinin mevcut ve gelecekte oluşabilecek fiyatın, geçmiş fiyatlarından bağımsız olmadığına işaret etmektedir. Bu bulgular, İskandinav ülkelerin getiri serilerinde uzun hafıza özelliğinin bulunmadığını ancak volatilite serilerinde uzun hafıza özelliğinin varlığını ve dolayısıyla bu ülkelerin borsalarının volatilite serilerinin zayıf formda etkin olmadıklarının sonucu elde edilmiştir.

Keywords

Zayıf Formda Etkin Piyasa, Uzun Hafıza, FIGARCH, Varyans Kırılması, İskandinav Ülkeleri

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