AKSOY, Mine Yalova University - Faculty of Economics and Administrative Sciences - Department of Business Administration, Turkey , KARATEPE, Selin Yalova University - Faculty of Economics and Administrative Sciences - Department of Business Administration, Turkey

STRUCTURAL BREAKS IN ISE SECTORAL INDICES

38314

Economic or political crises may cause structural change in many time series. In this paper we document structural breaks in daily sectoral indices of Istanbul Stock Exchange (ISE). The time period under study ranges from January 1997 to July 2012. We propose Zivot and Andrews (1992) test that endogenously determines a structural break. Test results show the evidence of a structural break for most of the sectors.

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Unit root , Structural break , Sectoral Indices , ISE , Zivot and Andrews

Journal Of Financial Researches an‎d Studies

33