Abstract
Bu çalışmanın amacı, Türkiye’de 2007 ile 2017 yılları arasındaki günlük verileri kullanılarak Borsa İstanbul
indeksi (BİST100) ve Altın Ons fiyatlarını R/S, V/S ve Periodogramanalizi kullanılarakHurst üstelini hesap-
lamaktır.Zaman serilerindeki uzun dönemli bellek yapısını belirlemek için dönüştürülmüş genişlik (R/S), dö-
nüştürülmüş varyans (V/S) ve yarı parametrik nitelikteki periodogram analizi geliştirilerek Hurst üsteli tah-
min edilmiştir. Çalışmada BİST100 indeksi günlük getiri değerleri ve Altın ons fiyatlarını tahmin etmek için,
R istatistik paket programı kullanılmıştır. Hurst üsteli tahmin sonuçları, BİST100 indeksi ve Altın Ons fiyatları
serilerinin uzun dönemli bellek yapısı taşıdığı gözlemlenmiştir
References
- Anderson N. ve Noss J.(2013).TheFractal Market Hypothesisand Its Implicationsforthe Stability of Financial Markets’, Bank of England, Financial Sta- bilityPaper No. 23, August, ss.1-22.
- Bachelier, L. (1964). TheTheory of Speculation, P. Cootner (der),Random Character of Stock Market Prices içinde, Cambridge, MA, M.I.TPress.
- Brown, Clifford T. ve Larry S. Liebovitch (2010). Fractal Analysis, Quantitative Applications in the- SocialSciences, Monograph No. 165. ThousandO- aks, Calif.:Sage Publications.
- Cano J.C. ve Manzoni P.(2000), On The Use Calcu- lationof the Hurst Parameter with MPEG Videos Data Traffic, Proceedings of the 26th Euromicro Conference. EUROMICRO 2000. Informatics: In- ventingthe Future, ss.448-455.
- Cajueiro, D.O. ve Tabak, B.M. (2006). The Long-Range Dependence Phenomena in AssetRe- turns: The Chinese Case. Applied Economics Let- ters, 13, ss. 131-133.
- Demireli E. ve Ural M.(2009). Hurst Üstel Katsayısı Aracılığıyla Fraktal Yapı Analizi ve İMKB’de Bir Uygulama, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 23, Sayı: 2, ss.243-255.
- Fama, E. F. (1970), Efficient Capital Markets: A Re- view of Theoryand Empirical Work, Journal of Fi- nance, Vol. 25, No. 2, ss. 383-417. Geweke, J. ve Porter-Hudak, S. (1983). The Esti- mationand Application of Long Memory Time SeriesModels. Journal of Time Series Analysis 4, ss.221-238
- Günay, S.(2014). Yapısal Kırılmalar Dahilinde BİST-100 Endeksi Volatilitesinin Uzun Dönemli
- Namık Kemal ERDOĞAN / Finansal Zaman Serilerinin Fraktal Analizi Bellek Analizi ,Journal of Yasar University, 2014 9(36), ss.6261-6380.
- Giraitis, L.,Kokoszka,P., Leipus, R. veTeyssiere, G. (2003). RescaledVarianceandRelatedTestsforLong Memory in VolatilityandLevels, Journal of Econo- metrics 112, ss. 265 – 294.
- Hurst, H.E. (1951). Long-term Storage Capacity of Reservoirs, Transactions of theAmericanSociety of CivilEngineers, 116, ss.770-808
- Mandelbrot, B. B. (1963).TheVariation of CertainS- peculativePrices, TheJournal of Business, Vol. 36, No. 4, ss. 394-419
- Mandelbrot, B. B. (1977).Fractals, Encyclopedia of Statistical Sciences, John Wiley&Sons, Inc.
- Mandelbrot, B. B. ve Hudson, R.L.(2005). Finans Pi- yasalarında Saklı Düzen / Risk, Çöküş ve Kazanca Fraktal Yaklaşımlar (Çeviren:Metin Hüner), Gün- cel Yayıncılık, Şişli / İstanbul.
- Peters, Edgar E. (1996). Chaos and Order in the Ca- pital Markets: A New View of Cycles, Prices, and Market Volatility, 2nd Edition, John Wiley&Sons, Australia.
- R Core Team (2015). R: A Language and Environ- ment For Statistical Computing, R Foundation for Statistical Computing, Vienna, Austria, URL htt- ps://www.R-project.org/
Abstract
The aim of this study is to calculate the Hurstexponent by using R / S, V / S and Periodogram analysis for Bor-
sa Istanbul index(BIST100) and Gold Ounceprices in Turkey for the daily period of 2007-2017. Hurstexponent
is estimated by developing transformedwidth (R/S), transformed variance (V/S) and semi-parametric perio-
dogram analysis in order to determine the structure of long-termmemory in time series. In this study, forthe
estimation of daily BIST100 index returnvalues and gold ounce prices, the R statistical software program are
used. Hurstexponent estimation results hows that the daily series of BIST100 index and Gold Ons prices have
long-term memory structure
References
- Anderson N. ve Noss J.(2013).TheFractal Market Hypothesisand Its Implicationsforthe Stability of Financial Markets’, Bank of England, Financial Sta- bilityPaper No. 23, August, ss.1-22.
- Bachelier, L. (1964). TheTheory of Speculation, P. Cootner (der),Random Character of Stock Market Prices içinde, Cambridge, MA, M.I.TPress.
- Brown, Clifford T. ve Larry S. Liebovitch (2010). Fractal Analysis, Quantitative Applications in the- SocialSciences, Monograph No. 165. ThousandO- aks, Calif.:Sage Publications.
- Cano J.C. ve Manzoni P.(2000), On The Use Calcu- lationof the Hurst Parameter with MPEG Videos Data Traffic, Proceedings of the 26th Euromicro Conference. EUROMICRO 2000. Informatics: In- ventingthe Future, ss.448-455.
- Cajueiro, D.O. ve Tabak, B.M. (2006). The Long-Range Dependence Phenomena in AssetRe- turns: The Chinese Case. Applied Economics Let- ters, 13, ss. 131-133.
- Demireli E. ve Ural M.(2009). Hurst Üstel Katsayısı Aracılığıyla Fraktal Yapı Analizi ve İMKB’de Bir Uygulama, Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, Cilt: 23, Sayı: 2, ss.243-255.
- Fama, E. F. (1970), Efficient Capital Markets: A Re- view of Theoryand Empirical Work, Journal of Fi- nance, Vol. 25, No. 2, ss. 383-417. Geweke, J. ve Porter-Hudak, S. (1983). The Esti- mationand Application of Long Memory Time SeriesModels. Journal of Time Series Analysis 4, ss.221-238
- Günay, S.(2014). Yapısal Kırılmalar Dahilinde BİST-100 Endeksi Volatilitesinin Uzun Dönemli
- Namık Kemal ERDOĞAN / Finansal Zaman Serilerinin Fraktal Analizi Bellek Analizi ,Journal of Yasar University, 2014 9(36), ss.6261-6380.
- Giraitis, L.,Kokoszka,P., Leipus, R. veTeyssiere, G. (2003). RescaledVarianceandRelatedTestsforLong Memory in VolatilityandLevels, Journal of Econo- metrics 112, ss. 265 – 294.
- Hurst, H.E. (1951). Long-term Storage Capacity of Reservoirs, Transactions of theAmericanSociety of CivilEngineers, 116, ss.770-808
- Mandelbrot, B. B. (1963).TheVariation of CertainS- peculativePrices, TheJournal of Business, Vol. 36, No. 4, ss. 394-419
- Mandelbrot, B. B. (1977).Fractals, Encyclopedia of Statistical Sciences, John Wiley&Sons, Inc.
- Mandelbrot, B. B. ve Hudson, R.L.(2005). Finans Pi- yasalarında Saklı Düzen / Risk, Çöküş ve Kazanca Fraktal Yaklaşımlar (Çeviren:Metin Hüner), Gün- cel Yayıncılık, Şişli / İstanbul.
- Peters, Edgar E. (1996). Chaos and Order in the Ca- pital Markets: A New View of Cycles, Prices, and Market Volatility, 2nd Edition, John Wiley&Sons, Australia.
- R Core Team (2015). R: A Language and Environ- ment For Statistical Computing, R Foundation for Statistical Computing, Vienna, Austria, URL htt- ps://www.R-project.org/
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Business Administration |
| Journal Section | Review Article |
| Authors | |
| Publication Date | November 30, 2017 |
| Published in Issue | Year 2017Volume: 9 Issue: 4 |
