INVESTIGATION OF SERIAL DEPENDENCE ASYMMETRY AND TIME IRREVERSIBILITY IN STOCK MARKET RETURNS OF MIST COUNTRIES USING THE QUANTILE PERIODOGRAM

Abstract

The stock market indices of the countries are indicators that provide information about the countries' economies and financial stability. The aim of the study is to determine the similarities and differences in the stock market index return behaviors for Mexico, Indonesia, South Korea and Türkiye, which constitute the MIST country group. For this purpose, the spectral density kernel estimator "Quantile Periodogram" was used. The reason why this estimator is preferred is that it allows the investigation of serial dependence at different quantiles-frequencies and it is robust to outliers frequently encountered in return series, heavy-tailed distribution and changes in the distribution at high moments. The asymmetry of the serial dependence in different quantiles-frequencies and time-irreversibility which gives information about whether the financial series behavior is predictable or not, were analyzed with the quantile periodogram. According to the findings, Türkiye is the most preferred country by financial investors among MIST countries, while Mexico is the least preferred. Secondly, it is seen that the long-term behavior predictability of the returns has increased. This means that returns are more stable in the long run. When the findings are evaluated collectively, it is concluded that MIST countries are attractive for long-term financial investment.