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THE LONG MEMORY BEHAVIOR IN TIME-VARYING BETA: AN EMPIRICAL APPLICATION ON BIST

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dc.authorid0000-0002-7204-3144
dc.authorid0000-0002-6330-754X
dc.contributor.authorKeskin, Hüseyin
dc.contributor.authorÇelik, İsmail
dc.date.accessioned2023-12-15T12:40:38Z
dc.date.available2023-12-15T12:40:38Z
dc.date.issued2020
dc.departmentMAÜ, Fakülteler, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.description.abstractThe 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.en_US
dc.description.citationKESKİN, H., & ÇELİK, İ. (2020). THE LONG MEMORY BEHAVIOR IN TIME-VARYING BETA: AN EMPIRICAL APPLICATION ON BIST. Süleyman Demirel Üniversitesi Vizyoner Dergisi, 11(Ek), 200-210. https://doi.org/10.21076/vizyoner.733976en_US
dc.description.provenanceSubmitted by Hüseyin Keskin (huseyinkeskin@artuklu.edu.tr) on 2023-12-15T12:39:27Z No. of bitstreams: 1 10.21076-vizyoner.733976-1092860.pdf: 1342702 bytes, checksum: e7171d5b8274b4729ecb3647123ae85d (MD5)en
dc.description.provenanceApproved for entry into archive by Hüseyin Keskin (huseyinkeskin@artuklu.edu.tr) on 2023-12-15T12:40:38Z (GMT) No. of bitstreams: 1 10.21076-vizyoner.733976-1092860.pdf: 1342702 bytes, checksum: e7171d5b8274b4729ecb3647123ae85d (MD5)en
dc.description.provenanceMade available in DSpace on 2023-12-15T12:40:38Z (GMT). No. of bitstreams: 1 10.21076-vizyoner.733976-1092860.pdf: 1342702 bytes, checksum: e7171d5b8274b4729ecb3647123ae85d (MD5) Previous issue date: 2020en
dc.identifier.doi10.21076/vizyoner.733976
dc.identifier.endpage210en_US
dc.identifier.issn1308-9552
dc.identifier.issueEken_US
dc.identifier.startpage200en_US
dc.identifier.trdizinid458890
dc.identifier.urihttps://hdl.handle.net/20.500.12514/4826
dc.identifier.volume11en_US
dc.institutionauthorKeskin, Hüseyin
dc.language.isoenen_US
dc.publisherSüleyman Demirel Üniversitesien_US
dc.relation.ispartofVizyoner Dergisien_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Başka Kurum Yazarıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectCapital Asset Pricing Modelen_US
dc.subjectSystematic Risken_US
dc.subjectLong Memoryen_US
dc.subjectDECO-FIGARCH Modelen_US
dc.subjectTimeVarying Beta Coefficienten_US
dc.titleTHE LONG MEMORY BEHAVIOR IN TIME-VARYING BETA: AN EMPIRICAL APPLICATION ON BISTen_US
dc.typeArticleen_US
dspace.entity.typePublication

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