THE LONG MEMORY BEHAVIOR IN TIME-VARYING BETA: AN EMPIRICAL APPLICATION ON BIST
| dc.contributor.author | Keskin, Hüseyin | |
| dc.contributor.author | Çelik, İsmail | |
| dc.contributor.other | 04.02. Department of Management / İşletme Bölümü | |
| dc.contributor.other | 04. Faculty of Economics and Administrative Sciences / İktisadi ve İdari Bilimler Fakültesi | |
| dc.contributor.other | 01. Mardin Artuklu University / Mardin Artuklu Üniversitesi | |
| dc.date.accessioned | 2023-12-15T12:40:38Z | |
| dc.date.available | 2023-12-15T12:40:38Z | |
| dc.date.issued | 2020 | |
| dc.description.abstract | 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. | en_US |
| dc.identifier.citation | KESKİN, 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.733976 | en_US |
| dc.identifier.doi | 10.21076/vizyoner.733976 | |
| dc.identifier.issn | 1308-9552 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.12514/4826 | |
| dc.language.iso | en | en_US |
| dc.publisher | Süleyman Demirel Üniversitesi | en_US |
| dc.relation.ispartof | Vizyoner Dergisi | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Capital Asset Pricing Model | en_US |
| dc.subject | Systematic Risk | en_US |
| dc.subject | Long Memory | en_US |
| dc.subject | DECO-FIGARCH Model | en_US |
| dc.subject | TimeVarying Beta Coefficient | en_US |
| dc.title | THE LONG MEMORY BEHAVIOR IN TIME-VARYING BETA: AN EMPIRICAL APPLICATION ON BIST | en_US |
| dc.type | Article | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | 0000-0002-7204-3144 | |
| gdc.author.id | 0000-0002-6330-754X | |
| gdc.author.institutional | Keskin, Hüseyin | |
| gdc.description.department | MAÜ, Fakülteler, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü | en_US |
| gdc.description.endpage | 210 | en_US |
| gdc.description.issue | Ek | en_US |
| gdc.description.publicationcategory | Makale - Uluslararası Hakemli Dergi - Başka Kurum Yazarı | en_US |
| gdc.description.startpage | 200 | en_US |
| gdc.description.volume | 11 | en_US |
| gdc.identifier.trdizinid | 458890 | |
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