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

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  • Gozbasi, Onur
  • Kucukkaplan, Ilhan
  • Nazlioglu, Saban

Abstract

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.

Suggested Citation

  • Gozbasi, Onur & Kucukkaplan, Ilhan & Nazlioglu, Saban, 2014. "Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests," Economic Modelling, Elsevier, vol. 38(C), pages 381-384.
  • Handle: RePEc:eee:ecmode:v:38:y:2014:i:c:p:381-384
    DOI: 10.1016/j.econmod.2014.01.021
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    Cited by:

    1. 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.
    2. Narayan, Paresh Kumar & Liu, Ruipeng & Westerlund, Joakim, 2016. "A GARCH model for testing market efficiency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 121-138.
    3. repec:hur:ijarbs:v:7:y:2017:i:7:p:551-564 is not listed on IDEAS
    4. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
    5. Yunus Kilic & Mehmet Fatih Bugan, 2016. "The Efficient Market Hypothesis: Evidence from Turkey," 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(10), pages 262-272, October.
    6. Bee-Hoong Tay & Pei-Tha Gan, 2016. "The Determinants of Investment Rewards: Evidence for Selected Developed and Developing Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1180-1188.

    More about this item

    Keywords

    Efficient market hypothesis; Turkish stock market; Nonlinearity; Emerging markets;

    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; Diffusion Processes

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