tse: The Turkish stock exchange index

In gamlss.data: Data for Generalised Additive Models for Location Scale and Shape

Description

The Turkish stock exchange index, was recorded daily from 1/1/1988 to 31/12/1998. The daily returns, ret=log(I_(i+1)/I_(i)), were obtained for i = 1,2,...,2868.

Usage

data(tse)

Format

A data frame with 2868 observations on the following 4 variables.

year

the year

month

the month

day

the day

ret

day returns ret[t]=ln(currency[t])-ln(currency[t-1])

currency

the currency exchange rate

tl

day return ret[t]=log10(currency[t])-log10(currency[t-1])

References

Ricard D. F. Harris and C. Coskun Kucukozen The Empirical Distribution of Stock returns: Evidence from a Emerging European Market, Applied Economic Letters, 2001,8, pages 367-371.

Examples

data(tse)
plot(ts(tse$ret))

Example output

gamlss.data documentation built on Nov. 7, 2021, 9:08 a.m.