Testing existense of long memory in ISE indexes and currencies futures contracts returns which are traded at the Turkish Derivatives Exchange
Turhan Korkmaz, Sedat Erdogan, Emrah Ismail Cevik
article (Uluslararası, Hakemli) | Yazar(lar): Turhan Korkmaz, Sedat Erdogan, Emrah Ismail Cevik | Yıl: 2009 — Özet: The aim of this paper is to investigate the existense of long memory using daily futures contracts return series at the Turkish Derivatives Exchange. In order to test the existence of long memory for ISE3
The aim of this paper is to investigate the existense of long memory using daily futures contracts return series at the Turkish Derivatives Exchange. In order to test the existence of long memory for ISE30, ISE100 Indexes, USD and Euro futures contracts returns unit root tests, structural breaks and long memory models are applied. The findings show that there is no evidence of long memory in the return series of ISE indexes and foreign currencies futures contracts. The long memory tests therefore support the evidence that futures contracts return series are not fractionally integrated. The result of unit root tests and long memory models indicate that futures contracts return series have a random walk pattern that is consistent with the weak form efficient market hypothesis.