An Analysis of the Istanbul Stock Exchange National-100 Index: A Statistical Approach

Resat Kasap

Istanbul Stock Exchange Review, 1998, vol. 2, issue 6, 27-34

Abstract: In this paper, the series of two National-100 indices of Istanbul Stock Exchange (ISE) based on TL (Turkish Lira) and U$ (US Dollars) were statistically analyzed, and modeled using time series methods. For this aim, first, linearity and normality of each series were tested by using the likelihood ratio and goodness of fit tests. Then, after necessary transformations were made on the data, the nonseasonal IMA (2,1) model based on TL and the seasonal ARIMA (0,1,0)(0,1,1) model based on Dollar were obtained for the series of National-100 of ISE.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bor:iserev:v:2:y:1998:i:6:p:27-34

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