Cilt 4, Sayı 8, Sayfalar 17 - 33 2014-02-04

STRUCTURAL BREAKS IN ISE SECTORAL INDICES

Mine AKSOY [1] , Selin KARATEPE [2]

520 561

Economic or political crises may cause structural change in many time series. In this paper we document structural breaks in daily sectoral indices of Istanbul Stock Exchange (ISE). The time period under study ranges from January 1997 to July 2012. We propose Zivot and Andrews (1992) test that endogenously determines a structural break. Test results show the evidence of a structural break for most of the sectors.

Ekonomik ve politik krizler zaman serilerinde yapısal kırılmalara sebep olabilir. Bu çalışmada

İMKB’de yer alan sektö endeksleri içn yapıal kıımalar analiz edilmişir. Çlışıan döem Ocak

1997 ile Temmuz 2012 tarih aralığıı. Yapıal kıımalarıiçel bir şkilde belirleyen Zivot ve Andrews

(1992) testi kullanımışı. Test sonuçarıtü sektöler içn yapıal kıımaları olduğnu götermektedir.

Anahtar Kelimeler: Birim kök, Yapısal Kırılma, Sektör Endeksleri, İMKB, Zivot ve Andrews.

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Birincil Dil tr
Konular
Dergi Bölümü Makaleler
Yazarlar

Yazar: Mine AKSOY
E-posta: maksoy@yalova.edu.tr

Yazar: Selin KARATEPE
E-posta: skaratepe@yalova.edu.tr

Bibtex @ { marufacd4564, journal = {Finansal Araştırmalar ve Çalışmalar Dergisi}, issn = {1309-1123}, address = {Marmara Üniversitesi}, year = {2014}, volume = {4}, pages = {17 - 33}, doi = {}, title = {STRUCTURAL BREAKS IN ISE SECTORAL INDICES}, language = {tr}, key = {cite}, author = {KARATEPE, Selin and AKSOY, Mine} }
APA AKSOY, M , KARATEPE, S . (2014). STRUCTURAL BREAKS IN ISE SECTORAL INDICES. Finansal Araştırmalar ve Çalışmalar Dergisi, 4 (8), 17-33. Retrieved from http://e-dergi-marmara.dergipark.gov.tr/marufacd/issue/502/4564
MLA AKSOY, M , KARATEPE, S . "STRUCTURAL BREAKS IN ISE SECTORAL INDICES". Finansal Araştırmalar ve Çalışmalar Dergisi 4 (2014): 17-33 <http://e-dergi-marmara.dergipark.gov.tr/marufacd/issue/502/4564>
Chicago AKSOY, M , KARATEPE, S . "STRUCTURAL BREAKS IN ISE SECTORAL INDICES". Finansal Araştırmalar ve Çalışmalar Dergisi 4 (2014): 17-33
RIS TY - JOUR T1 - STRUCTURAL BREAKS IN ISE SECTORAL INDICES AU - Mine AKSOY , Selin KARATEPE Y1 - 2014 PY - 2014 N1 - DO - T2 - Finansal Araştırmalar ve Çalışmalar Dergisi JF - Journal JO - JOR SP - 17 EP - 33 VL - 4 IS - 8 SN - 1309-1123- M3 - UR - Y2 - 2017 ER -
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