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Efficiency of the Turkish Stock Exchange with respect to monetary variables: A cointegration analysis

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  • Muradoglu, Yaz Gulnur
  • Metin, Kivilcim

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Bibliographic Info

Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 90 (1996)
Issue (Month): 3 (May)
Pages: 566-576

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Handle: RePEc:eee:ejores:v:90:y:1996:i:3:p:566-576

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Web page: http://www.elsevier.com/locate/eor

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References

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  1. Friedman, Milton, 1988. "Money and the Stock Market," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 221-45, April.
  2. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  3. Hsiao, Cheng, 1981. "Autoregressive modelling and money-income causality detection," Journal of Monetary Economics, Elsevier, vol. 7(1), pages 85-106.
  4. Frederic S. Mishkin, 1982. "Does Anticipated Monetary Policy Matter? An Econometric Investigation," NBER Working Papers 0506, National Bureau of Economic Research, Inc.
  5. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  6. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
  7. Boumahdi, Rachid & Thomas, Alban, 1991. "Testing for unit roots using panel data : Application to the French stock market efficiency," Economics Letters, Elsevier, vol. 37(1), pages 77-79, September.
  8. Geske, Robert & Roll, Richard, 1983. " The Fiscal and Monetary Linkage between Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 38(1), pages 1-33, March.
  9. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  10. Pearce, Douglas K & Roley, V Vance, 1983. " The Reaction of Stock Prices to Unanticipated Changes in Money: A Note," Journal of Finance, American Finance Association, vol. 38(4), pages 1323-33, September.
  11. Solnik, Bruno, 1983. " The Relation between Stock Prices and Inflationary Expectations: The International Evidence," Journal of Finance, American Finance Association, vol. 38(1), pages 35-48, March.
  12. Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
  13. Barone, E., 1990. "The italian stock market : Efficiency and calendar anomalies," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 483-510, August.
  14. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
  15. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  16. Hancock, D. G., 1989. "Fiscal policy, monetary policy and the efficiency of the stock market," Economics Letters, Elsevier, vol. 31(1), pages 65-69.
  17. Metin, Kivilcim, 1995. "An Integrated Analysis of Turkish Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 513-31, November.
  18. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-65, September.
  19. Stulz, Rene M, 1986. " Asset Pricing and Expected Inflation," Journal of Finance, American Finance Association, vol. 41(1), pages 209-23, March.
  20. Gultekin, N Bulent, 1983. " Stock Market Returns and Inflation: Evidence from Other Countries," Journal of Finance, American Finance Association, vol. 38(1), pages 49-65, March.
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Citations

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Cited by:
  1. repec:ebl:ecbull:v:7:y:2008:i:1:p:1-16 is not listed on IDEAS
  2. Drakos, Konstantinos & Kutan, Ali M., 2001. "Opposites attract: The case of Greek and Turkish financial markets," ZEI Working Papers B 06-2001, ZEI - Center for European Integration Studies, University of Bonn.
  3. Shuhong Kong & Majid Taghavi, 2006. "The Effect of Annual Earnings Announcements on the Chinese Stock Markets," International Advances in Economic Research, Springer, vol. 12(3), pages 318-326, August.
  4. Guttler, Caio & Meurer, Roberto & Da Silva, Sergio, 2006. "Informational inefficiency of the Brazilian stockmarket," MPRA Paper 1980, University Library of Munich, Germany.
  5. Gozgor, Giray & Nokay, Pinar, 2011. "Comparing forecast performances among volatility estimation methods in the pricing of european type currency options of USD-TL and Euro-TL," MPRA Paper 34369, University Library of Munich, Germany.
  6. Ercan Balaban, 1995. "January Effect, Yes. What About Mark Twain Effect?," Discussion Papers 9509, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  7. Ali Kutan & Tansu Aksoy, 2003. "Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey," Journal of Financial Services Research, Springer, vol. 23(3), pages 225-239, June.
  8. Sergio Da Silva & Roberto Meurer & Caio Guttler, 2008. "Is the Brazilian stockmarket efficient?," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-16.
  9. Ercan Balaban & Kursat Kunter, 1996. "Stock Market Efficiency in a Developing Economy : Evidence from Turkey," Discussion Papers 9612, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

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