Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests

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Tarih

2014

Dergi Başlığı

Dergi ISSN

Cilt Başlığı

Yayıncı

Elsevier

Erişim Hakkı

info:eu-repo/semantics/closedAccess

Özet

This paper re-examines the efficient market hypothesis (EMH) in the Turkish stock market by utilizing the recent developments in nonlinear unit root tests. To this end, we first employ the linearity test developed by Harvey et al. (2008) and then carry out the nonlinear ESTAR unit root test recently developed by Kruse (2011). The results show that Borsa Istanbul stock price index series have nonlinear behavior and follow the random walk (non-stationary) process, supporting the EMH in Turkish stock market which has weak-form efficiency. (C) 2014 Elsevier B.V. All rights reserved.

Açıklama

Anahtar Kelimeler

Efficient market hypothesis, Turkish stock market, Nonlinearity, Emerging markets

Kaynak

Economic Modelling

WoS Q Değeri

Q1

Scopus Q Değeri

Q1

Cilt

38

Sayı

Künye