ISSN: 2222-6990
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The purpose of this study is to test the stationarity of stock indices in Turkey and some other countries and to investigate whether there are structural breaks. To this end, the study analyses monthly index values of a period from January 2004 to September 2016 for 13 stock indices. The stationarity test for the series analysed is performed with the help of the Augmented Dickey-Fuller (ADF) Unit Root Test. The study also utilizes the Bai-Perron (BP) (1998,2003) information criterion to detect the time of the break.
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In-Text Citation: (SANDAL & ÇEMREK, 2019)
To Cite this Article: SANDAL, M., & ÇEMREK, F. (2019). Investigation of Structural Breaks for Major Stocks in the World. International Journal of Academic Research in Business and Social Sciences, 9(2), 21–36.
Copyright: © 2018 The Author(s)
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