Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests
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.
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Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 38 (2014)
Issue (Month): C ()
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Web page: http://www.elsevier.com/locate/inca/30411
Efficient market hypothesis; Turkish stock market; Nonlinearity; Emerging markets;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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