Application of spectral and cross-spectral analysis to İstanbul Stock Exchange Market

Date
1995
Advisor
Selçuk, Faruk
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Bilkent University
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Language
English
Type
Thesis
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Abstract

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.

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Keywords
Time Series and Spectral Analysis, Seasonahty, Econometric Methods;, Single Equation Models, Time Series models. Periodicity, Cross-spectral Analysis
Citation
Published Version (Please cite this version)