Keskin, HüseyinKeskin, HüseyinÇelik, İsmail04.02. Department of Management / İşletme Bölümü04. Faculty of Economics and Administrative Sciences / İktisadi ve İdari Bilimler Fakültesi01. Mardin Artuklu University / Mardin Artuklu Üniversitesi2023-12-152023-12-152020KESKİN, 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.7339761308-9552https://hdl.handle.net/20.500.12514/4826The 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.en10.21076/vizyoner.733976info:eu-repo/semantics/openAccessCapital Asset Pricing ModelSystematic RiskLong MemoryDECO-FIGARCH ModelTimeVarying Beta CoefficientArticle