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Stylized Facts And Weak-Form Efficiency In Turkish Stock Market

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  • Hasan A?an Karaduman

    (Yildiz Technical University)

Abstract

The question of whether the price and return series of a stock market exhibit a predictable and tractable pattern is always of interest in both theory and practice. After a brief overview of the literature on market efficiency, the stylized facts about the pre-global crisis, crisis and post-global crisis daily returns of Turkish stock market are explored at the statistical level as an example of the behavioural change in stock market of an emerging country. The weak-form market efficiency is also addressed using a range of statistical and econometric methods, namely unit root tests, variance-ratio tests, testing some anomalies which may falsify the stock market efficiency. The findings indicate there exists some form of deviations from the efficient market hypothesis during the global crisis period.

Suggested Citation

  • Hasan A?an Karaduman, 2016. "Stylized Facts And Weak-Form Efficiency In Turkish Stock Market," Proceedings of International Academic Conferences 4006651, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iacpro:4006651
    as

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    File URL: https://iises.net/proceedings/24th-international-academic-conference-barcelona/table-of-content/detail?cid=40&iid=045&rid=6651
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Stylized facts; Stock Market Efficiency; Global Crisis; Turkish Economy;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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