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

Autor:	Saban Nazlioglu, İlhan Küçükkaplan, Onur Gozbasi
Rok vydání:	2014
Předmět:	Economics and Econometrics Financial economics Turkish Emerging markets Stock market bubble Random walk language.human_language Efficient market hypothesis Efficient-market hypothesis Turkish stock market Unit root test Economics language Stock market Unit root Nonlinearity
Zdroj:	Economic Modelling. 38:381-384
ISSN:	0264-9993
DOI:	10.1016/j.econmod.2014.01.021
Popis:	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. © 2014 Elsevier B.V.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9e6208507fb3fad3af4787121a6611a7 https://doi.org/10.1016/j.econmod.2014.01.021 Zobrazit plný text záznamu Full Text from ScienceDirect