ANALYSIS ON RUNS OF DAILY RETURNS IN ISTANBUL STOCK EXCHANGE

  • Ahmet ŞENSOY

Abstract

The aim of this paper is to obtain some statistical properties about runs of daily returns of ISE30, ISE50 and ISE100
indices and compare these results with the empirical stylized facts of developed stock markets. In this manner, all time
historical daily closing values of these indices are studied and the following observations are obtained: Exponential law fits
pretty well for the distribution of both run length and magnitude of run returns. Market is equally likely to go up or go down
every day.
Market depth has improved over recent years. Large magnitudes of run returns are more likely to be seen in positive
runs. As in the developed stock markets, daily returns in Istanbul Stock Exchange don’t have significant autocorrelations but
absolute values (i.e. magnitudes) of daily returns exhibit strong and slowly decaying autocorrelations up to several weeks
suggesting volatility clustering. Similar to the absolute daily returns, absolute value of run returns display strong and slowly
decaying autocorrelations which again supporting the existence of volatility clustering. Unlike magnitudes of run returns,
lengths of runs don’t have significant autocorrelations.
Published
2012-12-15
How to Cite
ŞENSOY, Ahmet . ANALYSIS ON RUNS OF DAILY RETURNS IN ISTANBUL STOCK EXCHANGE. Journal of Advanced Studies in Finance, [S.l.], v. 3, n. 2, p. 151-161, dec. 2012. ISSN 2068-8393. Available at: <https://journals.aserspublishing.eu/jasf/article/view/68>. Date accessed: 22 jan. 2022.
Section
Journal of Advanced Studies in Finance