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The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis

Author

Listed:
  • Deniz Erer

    (Independent Researcher)

  • Elif Erer

    (Manisa Celal Bayar University)

  • Selim Güngör

    (Tokat Gaziosmanpasa University)

Abstract

This study aims to examine the time-varying efficiency of the Turkish stock market’s major stock index and eight sectoral indices, including the industrial, financial, service, information technology, basic metals, tourism, real estate investment, and chemical petrol plastic, during the COVID-19 outbreak and the global financial crisis (GFC) within the framework of the adaptive market hypothesis. This study employs multifractal detrended fluctuation analysis to illustrate these sectors’ multifractality and short- and long-term dependence. The results show that all sectoral returns have greater persistence during the COVID-19 outbreak than during the GFC. Second, the real estate and information technology industries had the lowest levels of efficiency during the GFC and the COVID-19 outbreak. Lastly, the fat-tailed distribution has a greater effect on multifractality in these industries. Our results validate the conclusions of the adaptive market hypothesis, according to which arbitrage opportunities vary over time, and contribute to policy formulation for future outbreak-induced economic crises.

Suggested Citation

  • Deniz Erer & Elif Erer & Selim Güngör, 2023. "The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.
    • Handle: RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00484-4
    DOI: 10.1186/s40854-023-00484-4
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    Keywords

    MF-DFA; Adaptive market hypothesis; Global financial crisis; COVID-19 outbreak; Sectoral indices;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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