http://www.long-memory.com/volatility/Baillie1996.pdf

Long memory processes and fractional integration in econometrics

Maximum Likelihood Estimation of Stationary Univariate Fractionally Integrated Time Series Models

Using the Geweke–Porter-Hudak test, we find evidence of long memory in exchange-rate data. This implies that the empirical evidence of unit roots in exchange rates may not be robust to long-memory alternatives. Fractionally integrated autoregressive moving average (ARFIMA) models are estimated by both the time-domain exact maximum likelihood (ML) method and the frequency-domain approximate ML method. Impulse-response functions and forecasts based on these estimated ARFIMA models are evaluated to gain insight into the long-memory characteristics of exchange rates. Some tentative explanations of the long memory found in the exchange rates are discussed.

Long Memory in Foreign-Exchange Rates

A search for long memory in international stock market returns

Modelling structural breaks, long memory and stock market volatility: an overview

The paper describes the main characteristics of ownership structure of the Turkish nonfinancial firms listed on the Istanbul Stock Exchange (ISE) and examines the impact of ownership structure on performance and risk-taking behavior of Turkish firms. Turkish corporations can be characterized as highly concentrated, family owned firms attached to a group of companies generally owned by the same family or a group of families. Ownership structure is defined along two attributes: concentration and identity of the owner(s). We conclude that there is a significant impact of ownership structure -ownership concentration and ownership mix- on both performance and risk-taking behavior of Turkish firms. Higher concentration leads to better market performance. Family owned firms seem to have lower performance with lower risk. While firms with foreign ownership display better performance, government owned firms have lower accounting, but higher market performance with high risk.

/pdf/equity-ownership-structure-risk-taking-and-performance-an-3e2qh2oime.pdf

Equity ownership structure, risk taking, and performance : an empirical investigation in Turkish listed companies

An enormous amount of empirical work has been directed toward understanding the nature of stock price movements. Early studies, such as those by Alexander [2; 3], Fama [10], and Fama and Blume [11], support the contention that stock price changes follow a random walk. Thus cycles that appear to exist are simply a statistical artifact. More recent efforts, namely Young [28], Greene and Fielitz [12], Praetz [24], and Renshaw [25], however, provide some evidence against this hypothesis and suggest that stock price changes follow some type of a cyclic time path.' Explanations for these contradictory findings rely on the way that information is disseminated to, processed by, and acted on by market participants. To date, three basic information-based scenarios have appeared in the literature: (1) not all information is of equal importance, (2) not all participants have the same information, and (3) not all participants are equal in their ability to process information. This latter scenario is the most recent and has been used by Heiner [13] to develop a theory of predictable behavior by constructing a competence-difficulty (C-D) gap construct. Kaen and Rosenman [16] extend Heiner's [13] work to provide an explanation for the presence of nonperiodic cycles in asset prices, especially the prices (and returns) of common stock. They maintain that, according to Heiner's theory, market participants differ in their ability in making the correct buy and sell decisions under uncertainty. In financial markets, the spread between the participants' competence in conjunction with the complexity of the information, i.e., the C-D gap, results in price changes in the same direction. If new contradictory information is of substantial import, directional change occurs. Since the arrival of new information is posited to a random event, the resulting periods of similar price change behavior appear to be nonperiodic cycles. Empirically, Kaen and Rosenman [16] support their contention by citing several studies that have used rescaled

Are There Long Cycles in Common Stock Returns

This paper investigates calendar anomalies in the Turkish foreign exchange markets during 1986–1994 period. Changes in the free market and official daily exchange rates between the Turkish lira (TL) and US dollar (USD) and the German mark (DM) are examined for empirical regularities on different days of the week, around the turn of the month and before holidays. The findings reveal that free market rates exhibit day-of-the-week and week-of-month effects. In addition free market DM returns display a holiday anomaly. These calendar anomalies are explained by cash disbursement patterns, together with currency substitution in the economy. The impact of treasury auctions and banks' management of liquidity on day-of-the-week effect is also discussed.

/pdf/calendar-anomalies-in-the-turkish-foreign-exchange-markets-108ifk0lu6.pdf

Calendar anomalies in the Turkish foreign exchange markets

In this paper we provide an empirical analysis of the announcement and implementation of rights issues and stock dividends in the thinly traded Istanbul Stock Exchange. The efficiency of the Turkish market with respect to this information set is tested at different time horizons characterized by different development levels of the market. Evidence is detected of different price reactions for the different development phases of the market as well as for the board meeting and actual implementation information. As the market matures, neither the board meeting nor the actual implementation of stock dividends-rights offerings cause significant price reactions. Besides the traditional event study methodology, non-parametric tests such as sign and rank tests are also employed but are found to be unsuitable for this particular case.

/pdf/do-markets-learn-from-experience-price-reaction-to-stock-2o9qqn3c48.pdf

Do markets learn from experience? price reaction to stock dividends in the Turkish market

Eine Kausalanalyse von Schwarzmarktkursen und offiziellen Wechselkursen: Der Fall der Turkei. - Diese Arbeit untersucht statistisch den Kausalzusammenhang zwischen Schwarzmarkt- und offiziellen Wechselkursen fur das turkische Pfund, und zwar im VerhAltnis zum US-Dollar und zur D-Mark in der Zwei-Jahres-Periode ab September {dy1985}, wobei Granger-Techniken benutzt werden. TAgliche Anderungen des Schwarzmarktkurses fur die D-Mark gehen den tAglichen Anderungen des offiziellen Kurses voraus. Bei wochentlichen und monatlichen Anderungen liegt eher eine Gleichzeitigkeit vor. Die Ergebnisse fur den Schwarzmarktkurs und den offiziellen Dollar-Kurs sind Ahnlich, obwohl es Hinweise fur einen schwachen Feedback gibt, wenn Tagesdaten benutzt werden. Diese Befunde stutzen die These, da\ SchwarzmArkte Informationen effizient verwerten.

Kursat Aydogan

Papers

Equity ownership structure, risk taking, and performance : an empirical investigation in Turkish listed companies

Are There Long Cycles in Common Stock Returns

Calendar anomalies in the Turkish foreign exchange markets

Do markets learn from experience? price reaction to stock dividends in the Turkish market

A causal analysis of black and official exchange rates: The turkish case