LONG MEMORY IN TURKISH STOCK MARKET AND EFFECTS OF CENTRAL BANKS’ ANNOUNCEMENTS

Elif Erer and Deniz Erer
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Elif Erer: Institute of Social Sciences, Department of Economics, Ege University, Turkey
Deniz Erer: Institute of Social Sciences, Department of Economics, Ege University, Turkey

Studii Financiare (Financial Studies), 2017, vol. 21, issue 3, 6-18

Abstract: This paper investigates the response of stock market volatility to CBRT’s and FED’s interest rate increase and reduction decisions in Turkey over the period of 02.01.2004-31.01.2017. For this purpose, we used APARCH, FIAPARCH-CHUNG, FIAPARCH-BMM models. The results of analysis indicated presence of long memory in the conditional variance and FIAPARCH-CHUNG is the most appropriate model according to Akaike and Schwarz information criteria. It was seen that interest rate decisions made by CBRT and FED haven’t any significant effect on stock market volatility. This situation means that expected interest rate decisions are priced by market participants and investors. Shocks to stock markets have persistent effect on volatility.

Keywords: Monetary Policy; Stock Market Volatility; Long Memory (search for similar items in EconPapers)
JEL-codes: C58 E44 E52 (search for similar items in EconPapers)
Date: 2017
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