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

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dc.authoridgozbasi, onur/0000-0002-5029-4671
dc.authoridNazlioglu, Saban/0000-0002-3607-3434
dc.contributor.authorGozbasi, Onur
dc.contributor.authorKucukkaplan, Ilhan
dc.contributor.authorNazlioglu, Saban
dc.date.accessioned2025-02-24T17:18:43Z
dc.date.available2025-02-24T17:18:43Z
dc.date.issued2014
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü
dc.description.abstractThis 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.
dc.identifier.doi10.1016/j.econmod.2014.01.021
dc.identifier.endpage384
dc.identifier.issn0264-9993
dc.identifier.issn1873-6122
dc.identifier.scopus2-s2.0-84894041679
dc.identifier.scopusqualityQ1
dc.identifier.startpage381
dc.identifier.urihttps://doi.org/10.1016/j.econmod.2014.01.021
dc.identifier.urihttps://hdl.handle.net/20.500.14440/821
dc.identifier.volume38
dc.identifier.wosWOS:000334137900044
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherElsevier
dc.relation.ispartofEconomic Modelling
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_WOS_20250201
dc.subjectEfficient market hypothesis
dc.subjectTurkish stock market
dc.subjectNonlinearity
dc.subjectEmerging markets
dc.titleRe-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests
dc.typeArticle

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