DOĞRUSAL OLMAYAN BİRİM KÖK TESTİ İLE BIST 100 ENDEKSİ ÜZERİNE AMPİRİK BİR ÇALIŞMA

Bu çalışmada Borsa İstanbul 100 endeksinin etkinliği sınanmaktadır. En sık kullanılan doğrusal ve yapısal kırılmalı birim kök testleri elimizdeki zaman serisinin durağan olmadığını yani başka bir deyişle birim kökün varlığını desteklerken Kapatenios, Snell ve Shin’in geliştirmiş olduğu doğrusal olmayan birim kök testi ise bunun aksini iddia etmektedir. Bu bağlamda belirli dönemlerde doğrusal olmayan bir yapının varlığı söz konusudur. Bu bulgu araştırmacı açısından veride gereksiz yere fark alınmasının önüne geçeceği gibi yatırımcı açısından da endeksin hareketini analiz etmede faydalı olacaktır.

Anahtar Kelimeler:

Borsa Endeksi, Birim Kök, Doğrusal Olmayan Trend

AN EMPIRICAL STUDY OF BIST 100 INDEX WITH NON LINEAR UNIT ROOT TESTING

This study examines the efficiency of Borsa Istanbul 100 stock exchange index. For the time series in question, although the most widely used linear and structural break tests detects non-stationarity, in other words, presence of unit root, the non-linear unit root test developed by Kapatenios, Snell and Shin claims the opposite. In that regard, for certain periods there exists a non-linear trend formation. This finding not only precludes supirious differencing for the researcher but also is beneficial for investors while analysing the movement of the stock index

Keywords:

Stock Index, Unit Root, Nonlinear Trend,

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