Application of spectral and cross-spectral analysis to İstanbul Stock Exchange Market
Please cite this item using this persistent URLhttp://hdl.handle.net/11693/17162
In this study, stock exchange index and selected four securities Ege Gübre, Bağfaş, Adana Gübre and Tüpraş from Istanbul Stock Exchange Market were analyzed with spectral and cross-spectral methods. Consumer price index was used to find the real values of securities. First o f aU, spectral analysis was apphed to be able to find periodicity of securities and significant periodicities were foimd for these four o f them. Cross-spectral analysis was then apphed between stock exchange index and four o f these securities, each pair displayed statistically significant coherencies, the lead and lag relationships o f certain frequencies were found from phase difference values o f significant coherencies.