Analysis of Intraday Non-Linear Asymmetrical Relationship in US Stock Exchanges with Momentum Threshold Models

Year 2022, , 63 - 76, 27.04.2022

Ayben Koy , Mehmet Yusuf Güngör , Oğuz Şimşek

https://doi.org/10.33203/mfy.1038136

Abstract

The study examines intraday price relationships between SP500 and Dow Jones Industrial (DJI) in the 3 months following the V-type recovery from the stock market crash due to the pandemic. Analysis with Momentum Threshold Value (MTAR) cointegration and error correction models revealed the existence of an intraday non-linear asymmetric relationship in US stock markets. Findings of the MTAR Vector error correction model applied to the 5-minute observations indicate the existence of an asymmetric causality relationship from the SP500 index to the DJI index in the long run.

Keywords

Intraday price, SP500 & DJI, momentum threshold model, asymmetrical relationship

ABD Borsalarında Gün İçi Doğrusal Olmayan Asimetrik İlişkinin Momentum Eşik Değerli Modellerle Analizi

Abstract

Çalışma, pandemi nedeniyle borsalarda yaşanan çöküşün V tipi toparlanmasını takip eden 3 aylık dönemde SP500 ve Dow Jones Industrial (DJI) arasındaki güniçi fiyat ilişkilerini incelemektedir. Momentum Eşik Değerli (MTAR) eşbütünleşme ve hata düzeltme modelleri ile yapılan analizler, ABD borsalarında gün içi doğrusal olmayan asimetrik ilişkinin varlığını ortaya koymuştur. Bir dönem önceki pozitif değerleri için MTAR modeli küçük azalmalar gösterirken, değişkenlerin bir dönem önceki negatif değerleri için ise önemli azalmalar göstermektedir. Vektör hata düzeltme modeli bulguları, uzun dönemde SP500 endeksinden DJI endeksine doğru asimetrik bir nedensellik ilişkisinin varlığına işaret etmektedir.

Keywords

Güniçi fiyat, SP500 & DJI, momentum eşik değer, asimetrik ilişki.

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