İKİLİ UZUN HAFIZADA ASİMETRİ ETKİSİ: BİST BANKA ÖRNEĞİ

Year 2019, Volume: 6 Issue: 1, 92 - 106, 29.04.2019

Harun Kaya , İsmail Çelik

https://doi.org/10.30798/makuiibf.516455

Cited By: 1

Abstract

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. 

Keywords

Etkin Piyasa Hipotezi, Bankacılık Sektörü, İkili Uzun Hafıza, ARFIMA-FIGARCH, ARFIMA-FIEGARCH, Volatilite

ASYMMETRY EFFECT IN DUAL LONG MEMORY: BIST BANK CASE

Abstract

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. 

Keywords

Efficient Market Hypothesis, Banking Sector, Dual Long Memory, ARFIMA-FIGARCH, ARFIMA-FIEGARCH, Volatility

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