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It applies regression-style parameter checks and ADF unit-root tests to assess level versus first-difference behavior and determine integration orders.",{"@graph":14,"@context":73},[15,34,56],{"@type":16,"itemListElement":17},"BreadcrumbList",[18,23,27,31],{"item":19,"name":20,"@type":21,"position":22},"https://docshare.wps.com","Home","ListItem",1,{"item":24,"name":25,"@type":21,"position":26},"https://docshare.wps.com/document/","Document",2,{"item":28,"name":29,"@type":21,"position":30},"https://docshare.wps.com/document/research-report/","Research & 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the study?","Question",{"text":63,"@type":64},"The analysis includes ETF, CDS, DJIMTR, OFR Financial Stress Index (FSI), ISHARE, and VIX, with additional focus on their first differences (Δ terms).","Answer",{"name":66,"@type":61,"acceptedAnswer":67},"What descriptive statistics are reported for each variable?",{"text":68,"@type":64},"For each series, the document reports mean, median, maximum, minimum, standard deviation, skewness, kurtosis, Jarque-Bera statistics with probability, and observation counts.",{"name":70,"@type":61,"acceptedAnswer":71},"How does the study assess stationarity?",{"text":72,"@type":64},"It applies ADF (Augmented Dickey-Fuller) tests under different model specifications (constant, constant and trend, and no-constant cases) for both level and first-difference forms, producing stationarity/integration 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BIST ETFs-Market Capitalization of ETPs | World Federation Exchange | Dependent\u003Cbr>variable |\n| CDS | Türkiye's \"Türkiye CDS 5-Year USD\" monthly data | Investing | - |\n| DJIMTR | A monthly price of Dow Jones Islamic Market Türkiye Exchange Traded Fund | Investing | + |\n| FSI | The OFR Financial Stress Index (OFR FSI) is a monthly market-based snapshot of stress in global financial markets. | Office of\u003Cbr>Financial\u003Cbr>Research | - |\n| ISHARE | A monthly price ofiShares MSCI Türkiye’s ETF | Investing | + |\n| VIX | A monthly price of VIX (CBOE Volatility Index) | Investing | - |\n\n\n|  | ETF | CDS | DJIMTR | FSI | ISHARE | VIX |\n| --- | --- | --- | --- | --- | --- | --- |\n| Mean | 29415.27 | 454.8776 | 21891.76 | 0.009460 | 27.77085 | 21.77949 |\n| Median | 9724.150 | 443.5200 | 13309.45 | -0.021461 | 26.50000 | 19.40000 |\n| Maximum | 111520.2 | 838.2300 | 47073.91 | 1.003000 | 42.28000 | 53.54000 |\n| Minimum | 403.3600 | 239.8200 | 6615.770 | -0.303000 | 17.74000 | 12.44000 |\n| Std. Dev. | 32722.61 | 151.5302 | 14428.65 | 0.256249 | 7.535585 | 8.043214 |\n| Skewness | 0.888419 | 0.564416 | 0.524377 | 1.731972 | 0.378550 | 1.401030 |\n| Kurtosis | 2.413376 | 2.769070 | 1.610251 | 7.048722 | 1.707046 | 5.685409 |\n| Jarque-Bera | 8.607323 | 3.263657 | 7.451916 | 69.79470 | 5.518790 | 37.02979 |\n| Probability | 0.013519 | 0.195572 | 0.024090 | 0.000000 | 0.063330 | 0.000000 |\n| Observations | 59 | 59 | 59 | 59 | 59 | 59 |\n\n\n| PP | Constant | Constant and Trend |  | No Constant and Trend |  |\n| --- | --- | --- | --- | --- | --- |\n| Level | t-stat. Prob. | t-stat. | Prob. | t-stat. | Prob. |\n| ETF | 1.8173 0.9997 | -0.6701 | 0.9704 | 3.2406 | 0.9996 |\n| DJIMTR | -0.1918 0.9332 | -2.0649 | 0.5539 | 1.4618 | 0.9630 |\n| VIX | -3.5907 0.0089*** | -5.8116 | 0.0001*** | -0.8559 | 0.3409 |\n| ISHARE | -1.2784 0.6339 | -3.0638 | 0.1247 | 0.0772 | 0.7034 |\n| CDS | -1.9782 0.2954 | -2.4021 | 0.3747 | -0.5575 | 0.4714 |\n| FSI | -2.9448 0.0464** | -3.1942 | 0.0957* | -2.9680 | 0.0036*** |\n| Δ(ETF) | -4.4560 0.0007*** | -4.9544 | 0.0009*** | -4.0055 | 0.0001*** |\n| Δ(DJIMTR) | -6.5686 0.0000*** | -6.5438 | 0.0000*** | -6.1820 | 0.0000*** |\n| Δ(ISHARE) | -6.6436 0.0000*** | -6.5812 | 0.0000*** | -6.6058 | 0.0000*** |\n| Δ(CDS) | -5.9586 0.0000*** | -5.9443 | 0.0000*** | -6.0178 | 0.0000*** |\n| ADF | Constant | Constant | and Trend | No Constant | and Trend |\n| Level | t-stat. Prob. | t-stat. | Prob. | t-stat. | Prob. |\n| ETF | 1.0824 0.9969 | -1.1565 | 0.9096 | 2.0174 | 0.9888 |\n| DJIMTR | -0.0922 0.9450 | -1.9907 | 0.5940 | 1.6827 | 0.9764 |\n| VIX | -3.3858 0.0156** | -5.5943 | 0.0001*** | -2.2055 | 0.0276** |\n| ISHARE | -1.1345 0.6963 | -3.0638 | 0.1247 | 0.1085 | 0.7131 |\n| CDS | -1.7018 0.4251 | -2.2158 | 0.4718 | -0.4974 | 0.4965 |\n| FSI | -2.7668 0.0694* | -3.1942 | 0.0957* | -2.7933 | 0.0060*** |\n| Δ(ETF) | -4.5152 0.0006*** | -4.9870 | 0.0008*** | -3.9797 | 0.0002*** |\n| Δ(DJIMTR) | -6.5744 0.0000*** | -6.5516 | 0.0000*** | -6.1820 | 0.0000*** |\n| Δ(ISHARE) | -6.6261 0.0000*** | -6.5792 | 0.0000*** | -6.6475 | 0.0000*** |\n| Δ(CDS) | -6.0395 0.0000*** | -6.0438 | 0.0000*** | -6.0921 | 0.0000*** |\n\n\n| Variables | Level |  |  | First Difference |  |  | Decision |\n| --- | --- | --- | --- | --- | --- | --- | --- |\n|  | Lag | Break Period | t-stat. | Lag | Break Period | t-stat. |  |\n| ETF | 8 | 2022M12-2024M03 | -9.639*** |  |  |  | I(0) |\n| CDS | 8 | 2022M03-2023M07 | -5.1752 | 1 | 2020M12-2022M06 | -6.786** | I(1) |\n| DJIMTR | 2 | 2022M02-2024M02 | -6.852*** |  |  |  | I(0) |\n| FSI | 1 | 2020M11-2022M04 | -5.540 | 1 | 2020M11-2022M01 | -8.832*** | I(1) |\n| ISHARE | 3 | 2020M11-2022M09 | -6.063* | 3 | 2022M12-2024M04 | -6.178** | I(1) |\n| VIX | 8 | 2020M12-2022M02 | -6.153** |  |  |  | I(0) |","cbCaia3rMXHO9bQS","https://ap.wps.com/l/cbCaia3rMXHO9bQS","pdf",962346,21,"English","# Descriptive Statistics\n## Summary Moments and Distributions\n# Regression/Parameter Tests\n## Constant/Trend Specifications\n# Unit Root and Stationarity Testing\n## ADF Tests at Level and First Difference\n# Break Period and Integration Order Decisions","[{\"question\":\"Which variables are analyzed in the study?\",\"answer\":\"The analysis includes ETF, CDS, DJIMTR, OFR Financial Stress Index (FSI), ISHARE, and VIX, with additional focus on their first differences (Δ terms).\"},{\"question\":\"What descriptive statistics are reported for each variable?\",\"answer\":\"For each series, the document reports mean, median, maximum, minimum, standard deviation, skewness, kurtosis, Jarque-Bera statistics with probability, and observation counts.\"},{\"question\":\"How does the study assess stationarity?\",\"answer\":\"It applies ADF (Augmented Dickey-Fuller) tests under different model specifications (constant, constant and trend, and no-constant cases) for both level and first-difference forms, producing stationarity/integration decisions.\"}]","BIST ETFs-Market Capitalization of ETPs - ETF CDS DJIMTR FSI ISHARE VIX | PDF",53]