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Browsing İşletme Bölümü by Subject "Capital Asset Pricing Model"

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    THE LONG MEMORY BEHAVIOR IN TIME-VARYING BETA: AN EMPIRICAL APPLICATION ON BIST
    (Süleyman Demirel Üniversitesi, 2020) Keskin, Hüseyin; Çelik, İsmail
    The study aims to investigate the long memory behavior in time-varying beta, a systematic risk indicator, in İstanbul Stock Exchange (BIST) sub-indices. Using the data regarding BIST national indices, sub-indices and twoyear benchmark bond interest rate between January 2009 and September 2019, the time-varying beta coefficient is determined with DECO-FIGARCH model, and the long memory behaviors of the beta coefficient are analyzed with GPH, Lo R / S and GSP tests. It is found that the beta coefficient of the three sub-indices (banking, financial and industrial) changes over time and the beta coefficient demonstrates long memory behavior (mean-reverting at a hyperbolic speed). It is indicated that the time-varying beta coefficients are forecastable and our findings contradict the weak-form of market efficiency.