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On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange

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  • Rehim Kili

Abstract

This paper analyses long memory properties of Istanbul Stock Exchange Market (ISE) National 100 daily dollar index returns, absolute and squared returns. Both parametric FIGARCH models and nonparametric methods are employed. Results indicate that, contrary to empirical evidence on some other emerging capital markets, daily returns do not possess long memory characteristics, however, similar to developed equity markets, evidence is provided of long memory dynamics in the conditional variance which can be modelled adequately by a FIGARCH model.

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  • Rehim Kili, 2004. "On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 14(13), pages 915-922.
    • Handle: RePEc:taf:apfiec:v:14:y:2004:i:13:p:915-922
    DOI: 10.1080/0960310042000233638
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    References listed on IDEAS

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    Cited by:

    1. Emmanuel Anoruo & Luis Gil-Alana, 2011. "Mean reversion and long memory in African stock market prices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(3), pages 296-308, July.
    2. Adnan Kasman & Erdost Torun, 2007. "Long Memory in the Turkish Stock Market Return and Volatility," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 7(2), pages 13-27.

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