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The Effect of Exogenous Shocks on Participation Index of Borsa Istanbul: Permanent or Temporary?

Journal: International Journal of Islamic Economics and Finance Studies (Vol.1, No. 1)

Publication Date:

Authors : ; ; ;

Page : 81-92

Keywords : Participation Index; Fourier Unit Root Test; KSS Unit Root Test;

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Abstract

This study investigates the effects of exogenous shocks on Participation 30 Index that published by Borsa Istanbul using daily data during the period from 06.01.2011 to 31.08.2015. Using the Zivot-Andrews and Fourier unit root tests the stationarity of the series is tested. Since series is found to be non-linear KSS unit root test is applied. The results suggest that the series has unit root we conclude that in case there is an exogenous shock its impact on Participation 30 Index will be permanent.

Last modified: 2015-10-27 03:05:20