Nonlinearities In Emerging Stock Market: Evidence From Pre-Diagnostic Tests

Yıl 2016, Cilt: 7 Sayı: 2, 268 - 281, 10.12.2016

Mercan Hatipoğlu , Nurullah Uçkun

Öz

The purpose of this study is to investigate the behavior of investors in emerging markets by employing nonlinear time series methods. In this study, the daily data obtained from Datastream database from June 03, 2004 to June 03, 2014 for twelve emerging markets which are selected from Morgan Stanley Capital International - Emerging Market Index is used for econometric estimations. The data was divided into three different sub-periods to detect the impact of mortgage crisis on equity markets. BDS,Tsay and Keenan tests are conducted to determine the non-linear dependence of stock returns. The results documented that linearity in returns is rejected for all markets. The findings of study imply that emerging market stock returns exhibits nonlinear dependence.

Anahtar Kelimeler

Emerging markets, global crisis, nonlinear time series

Gelişmekte Olan Ülke Borsalarında Doğrusal Olmayan Bağımlılık: Öncü Testlerden Örnekler

Öz

Bu çalışmanın amacı gelişmekte olan ülke
borsalarındaki yatırımcı davranışlarını doğrusal olmayan zaman serisi
yöntemleri aracılığıyla araştırmaktır. Çalışmada datastream veri tabanından
Haziran 03, 2004 ile Haziran 03, 2014 dönemi kapsamında günlük frekansta
sağlanan ve Morgan Stanley Capital International - Emerging Market endeksine
dahil olan on iki ülkenin borsa serileri ekonometrik yöntemler ile analiz
edilmiştir. Küresel finans krizinin etkisinin daha iyi araştırılması için
veriler üç ayrı dönemde analiz edilmiştir. Borsa getiri serilerindeki doğrusal
olmayan bağımlılığın tespit edilmesi için BDS, Tsay ve Keenan testleri
uygulanmıştır. Test sonuçları bütün piyasalarda doğrusallığın red edildiğini
göstermiştir. Çalışmanın bulguları gelişmekte olan ülke borsalarında doğrusal
olmayan bağımlılık bulunduğunu işaret etmektedir.

Anahtar Kelimeler

gelişmekte olan ülkeler, küresel kriz, doğrusal olmayan zaman serisi

Kaynakça

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