Gelişmekte Olan Ülke Borsalarında Doğrusal Olmayan Bağımlılık: Öncü Testlerden Örnekler

Bu çalışmanın amacı gelişmekte olan ülke borsalarındaki yatırımcı davranışlarını doğrusal olmayan zaman serisi yöntemleri aracılığıyla araştırmaktır. Çalışmada datastream veri tabanından Haziran 03, 2004 ile Haziran 03, 2014 dönemi kapsamında günlük frekansta sağlanan ve Morgan Stanley Capital International - Emerging Market endeksine dahil olan on iki ülkenin borsa serileri ekonometrik yöntemler ile analiz edilmiştir. Küresel finans krizinin etkisinin daha iyi araştırılması için veriler üç ayrı dönemde analiz edilmiştir. Borsa getiri serilerindeki doğrusal olmayan bağımlılığın tespit edilmesi için BDS, Tsay ve Keenan testleri uygulanmıştır. Test sonuçları bütün piyasalarda doğrusallığın red edildiğini göstermiştir. Çalışmanın bulguları gelişmekte olan ülke borsalarında doğrusal olmayan bağımlılık bulunduğunu işaret etmektedir.

Nonlinearities In Emerging Stock Market: Evidence From Pre-Diagnostic Tests

The purpose of this study is to investigate the behavior of investors in emerging markets by employing nonlinear time series methods. In this study, the daily data obtained from Datastream database from June 03, 2004 to June 03, 2014 for twelve emerging markets which are selected from Morgan Stanley Capital International - Emerging Market Index is used for econometric estimations. The data was divided into three different sub-periods to detect the impact of mortgage crisis on equity markets. BDS,Tsay and Keenan tests are conducted to determine the non-linear dependence of stock returns. The results documented that linearity in returns is rejected for all markets. The findings of study imply that emerging market stock returns exhibits nonlinear dependence.

Keywords:

Emerging markets global crisis, nonlinear time series,

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