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