Detecting the long term cyclical behaviour of the Turkish stock market by means of spectral analysis

Abstract

This paper explores long term cycles in Turkish stock market returns. Weekly data for five indices (ISE-100, Industrial Index, Financial Index, Services Index and Technology Index) in the Istanbul Stock Exchange were examined using a spectral analysis during the period of February 1986-March 2010. The results illustrate that the 40 month (Kitchin) cycle is the dominant long term cycle for the investigated indices. © EuroJournals Publishing, Inc. 2011.