Testing The Characteristics of Stationarity: An Application on The Borsa Istanbul National 100 Index

Testing the stationary nature of economic time series has become an important issue for researchers to make their desirable predictions and determine the relationships between other financial time series. Within the same context, the aim of this study is to investigate the stationary characteristics of closing values of the BIST 100 Index. Primarily, we apply traditional unit root tests. Secondly, we practice Zivot-Andrews, Lumsdaine-Papell, Lee-Strazicich and Carrion-i Silvestre tests with structural breaks. According to tests, the BIST 100 has different stationarity characteristics. Our empirical findings may procure comprehensive direction and substructure for researchers to identify stationarity of BIST 100.