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Analysing the Efficiency of the Turkish Stock Market with Multiple Structural Breaks

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  • Tülin Anlas
  • Cengiz Toraman

Abstract

Analysing the structural changes in the economy is important. Cruical financial, economic and social events may cause structural breaks. Not taking into account the existing structural breaks causes reduction in the ability to reject the null hypothesis of unit root equal to zero. In the previous studies, usually structural breaks are either not taken into account or in more recent studies one or two structural breaks are included. This study investigates the informational efficiency of the Turkish market in weak form considering multiple structural breaks and taking into account the effect of financial structural changes for the period of 1988- 2011. The results indicated that BIST 100 National Index is informationally efficient in the weak form. With Clemao2 and Clemio2 analyses, the structural breaks in 1988:01-2011:11 period are 2007:11 and 2009:1; 2007:12 and 2009:2 respectively. When 1988:01-2011:11 period is separated into two subperiods as 1988-1996 and 1997-2011, in 1988-1996 period with clemao2 analysis 1995:9 and 1996:5, with clemio2 analysis 1995:10 and 1996:6 are the structural break dates. In 1997-2011 period, with clemao2 2007:11 and 2008:12, with clemio2 2007:12 and 2008:9 are the structural break dates. These structural breaks reflect the effects of 1994 national crisis and 2008 global crisis.

Suggested Citation

  • Tülin Anlas & Cengiz Toraman, 2016. "Analysing the Efficiency of the Turkish Stock Market with Multiple Structural Breaks," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 6(12), pages 721-740, December.
    • Handle: RePEc:hur:ijarbs:v:6:y:2016:i:12:p:721-740
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