The dynamic behavior of the Istanbul Stock Exchange Market using a vector autoregression model.

Title: The dynamic behavior of the Istanbul Stock Exchange Market using a vector autoregression model.
Identifier: AAI9315494
identifier: 9315494
Creator: Okay, Nesrin.
Contributor: Adviser: Salih Neftci
Date: 1993
Language: English
Publisher: City University of New York.
Subject: Economics, General | Economics, Finance
Abstract: This dissertation suggests a vector autoregression model to analyze the dynamic behavior of Istanbul Stock Exchange Market (ISEM). The findings show forecasting performance of at least forty percent as good as current analysis of the U.S. stock market. The analysis of the ISEM could be improved upon except for two main problems: Large outliers and time series behavior of exogenous variables in the deterministic part of the model. Deleting the outliers and choosing only the market index and the dummies in the deterministic part improves the results. The second method which significantly improves the data takes the moving average of the data, by getting rid of the daily fluctuations. Large numbers of stock returns from an ISEM data sample exhibit negative autocorrelations that show ISEM is a thin market. My results show that the Efficient Market Hypothesis is non predictive for analysis of the ISEM.
Type: dissertation
Source: PQT Legacy CUNY.xlsx
degree: Ph.D.

Media: The dynamic behavior of the Istanbul Stock Exchange Market using a vector autoregression model.