Efficiency of the Turkish Stock Exchange with respect to monetary variables: A cointegration analysis
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Friedman, Milton, 1988. "Money and the Stock Market," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 221-245, April.
- Barone, E., 1990. "The italian stock market : Efficiency and calendar anomalies," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 483-510, August.
- Stulz, Rene M, 1986. " Asset Pricing and Expected Inflation," Journal of Finance, American Finance Association, vol. 41(1), pages 209-223, March.
- Mishkin, Frederic S, 1982.
"Does Anticipated Monetary Policy Matter? An Econometric Investigation,"
Journal of Political Economy,
University of Chicago Press, vol. 90(1), pages 22-51, February.
- Frederic S. Mishkin, 1980. "Does Anticipated Monetary Policy Matter? An Econometric Investigation," NBER Working Papers 0506, National Bureau of Economic Research, Inc.
- 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.
- 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 1057-1072, June.
- 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.
- Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
- Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
- 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 1323-1333, September.
- 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.
- Hancock, D. G., 1989. "Fiscal policy, monetary policy and the efficiency of the stock market," Economics Letters, Elsevier, vol. 31(1), pages 65-69.
- 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.
- 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.
- 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 513-531, November.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- 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.
- Hsiao, Cheng, 1981. "Autoregressive modelling and money-income causality detection," Journal of Monetary Economics, Elsevier, vol. 7(1), pages 85-106.
- Darrat, Ali F. & Mukherjee, Tarun K., 1986. "The behavior of the stock market in a developing economy," Economics Letters, Elsevier, vol. 22(2-3), pages 273-278.
- Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Guttler, Caio & Meurer, Roberto & Da Silva, Sergio, 2006. "Informational inefficiency of the Brazilian stockmarket," MPRA Paper 1980, University Library of Munich, Germany.
- Sergio Da Silva & Roberto Meurer & Caio Guttler, 2008. "Is the Brazilian stockmarket efficient?," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-16.
- Drakos, Konstantinos & Kutan, Ali M., 2001. "Opposites attract: The case of Greek and Turkish financial markets," ZEI Working Papers B 06-2001, University of Bonn, ZEI - Center for European Integration Studies.
- Shuhong Kong & Majid Taghavi, 2006. "The Effect of Annual Earnings Announcements on the Chinese Stock Markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 12(3), pages 318-326, August.
- Mohammad Joarder & Monir Ahmed & Tahsina Haque & Syed Hasanuzzaman, 2014. "An empirical testing of informational efficiency in Bangladesh capital market," Economic Change and Restructuring, Springer, vol. 47(1), pages 63-87, February.
- 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;Western Finance Association, vol. 23(3), pages 225-239, June.
- repec:rjr:romjef:v::y:2017:i:1:p:150-166 is not listed on IDEAS
- repec:kap:iaecre:v:12:y:2006:i:3:p:318-326 is not listed on IDEAS
- 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.
- repec:ebl:ecbull:v:7:y:2008:i:1:p:1-16 is not listed on IDEAS
- 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.
- Özge SEZGIN ALP & Fazil GÖKGÖZ & Güray KÜÇÜKKOCAOGLU, 2016. "Estimating Turkish Stock Market Returns With Apt Model: Cointegration And Vector Error Correction," Economic Review: Journal of Economics and Business, University of Tuzla, Faculty of Economics, vol. 14(1), pages 7-19, May.
- 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.
- 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.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:90:y:1996:i:3:p:566-576. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/eor .