Long-Term Dependence Analysis in Index Return and Absolute Return Series of Turkish Stock Market

Abstract

This study analyzes the long-term dependence in daily index and Absolute Return series of ISE National-All, National-100, National-30 and additionally 17 sectoral indices of Turkish stock market. Long-term dependence can be measured by a single Hurst (W) or relatedly the fractional differencing parameter (d). The data are analyzed by using four different parameter estimation methods namely wavelet based estimation method, periodogram based estimation method, Kettani-Gubner Methods for SOSS processes and FAR1MA (0, d, 0) processes. For the return series; long-term dependence is not observed in ISE National-All, National-100 and National-30 data. Long-term dependence is also not found in 13 of 17 sectoral index return series. Remaining 4 sectoral indices namely XFINK, XTRZM, XTEKS and XYORT are found long-term dependent. For the absolute return series; long-term dependence is found in all of the index data.