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

Savaş Tarkun

Makale detayları

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

Yazarlar:

Savaş Tarkun

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

Ekonomi

Dergi:

İzmir İktisat Dergisi Vol.38 Issue 4, pp.992-1010

Belge Tipi:

Makale

Yayın Tarihi:

6/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001300404

pISSN:

1308-8505

Anahtar kelimeler:

Özet:

 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 01092008-30092022 were investigated. With the Geweek and Porter-Hudak test, the hypothesis of t H0: d0 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 RS 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 d0.46677, Sweden d0.50199 and Finland d0.44732. 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.

 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 01092008-30092022 were investigated. With the Geweek and Porter-Hudak test, the hypothesis of t H0: d0 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 RS 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 d0.46677, Sweden d0.50199 and Finland d0.44732. 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.

 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 01092008-30092022 were investigated. With the Geweek and Porter-Hudak test, the hypothesis of t H0: d0 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 RS 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 d0.46677, Sweden d0.50199 and Finland d0.44732. 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.

 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, 01092008-30092022 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 RS 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 d0.46677, İsveç d0.50199 ve Finlandiya d0.44732 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.

Makale detayları

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

Yazarlar:

Savaş Tarkun

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

Ekonomi

Dergi:

İzmir İktisat Dergisi Vol.38 Issue 4, pp.992-1010

Belge Tipi:

Makale

Yayın Tarihi:

6/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001300404

pISSN:

1308-8505

Weak-Form Efficient Market

Long Memory

FIGARCH

Variance Break

Scandinavian CountriesZayıf Formda Etkin Piyasa

Uzun Hafıza

FIGARCH

Varyans Kırılması

İskandinav Ülkeleri

Sayı

Makale detayları

Yazarlar: Savaş Tarkun

Yayıncı: Dokuz Eylul University

Ana Başlıklar: Ekonomi

Dergi: İzmir İktisat Dergisi Vol.38 Issue 4, pp.992-1010

Belge Tipi: Makale

Yayın Tarihi: 6/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001300404

pISSN: 1308-8505

Sayı

Yazarlar:

Savaş Tarkun

Yayıncı:

Dokuz Eylul University

Ana Başlıklar:

Ekonomi

Dergi:

İzmir İktisat Dergisi Vol.38 Issue 4, pp.992-1010

Belge Tipi:

Makale

Yayın Tarihi:

6/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001300404

pISSN:

1308-8505