Investigation of Structural Breaks for Major Stocks in the World

Mehmet SANDAL, Fatih CEMREK
2019 International Journal of Academic Research in Business and Social Sciences  
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
more » ... riterion to detect the time of the break.
doi:10.6007/ijarbss/v9-i2/5514 fatcat:7kgsyms2zregzivwgjx5tunjdy