Volatilitede uzun hafıza ve yapısal kırılma: Borsa Istanbul örneği

Abstract

The aim of this paper is to examine validity of the efficient market hypothesis in Borsa İstanbul. Daily returns series are calculated by using daily closing price for BİST100 and BİST30 indices for periods of 1988-2014 and the presence of long memory on the volatility of the returns series is examined by means of Adaptive-FIGARCH (A-FIGARCH) model proposed by Baillie and Morana (2009). Empirical results suggest that there are multiple structural breaks on variance of returns series and A-FIGARCH model outperforms. In addition, it is found evidence in favor of long memory on the conditional variance of returns series and hence it can be said that Borsa İstanbul is not weak form efficient market