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The statistical evolution of prices on the Istanbul stock exchange

Author

Listed:
  • Attila Odabasl
  • Celal Asku
  • Vedat Akgiray

Abstract

This study documents the statistical properties of the stock returns on the Istanbul Stock Exchange (ISE) for the January 1988 to December 1999 period and tries to assess the evolution of the underlying stochastic structure over this time period. It also investigates empirically the relative efficiency of the ISE to test whether the rapid development of this market over the last decade caused it to become a relatively more efficient market. This is accomplished through a number of parametric and non-parametric tests of the random walk hypothesis using daily, weekly and monthly observations of the value-weighted ISE-100 index series. The emphasis is more on the evolution of the price process than on static tests of a random walk model as such. The findings indicate that the price mechanism in the ISE has evolved into a more informationally efficient process in little more than a decade of existence.

Suggested Citation

  • Attila Odabasl & Celal Asku & Vedat Akgiray, 2004. "The statistical evolution of prices on the Istanbul stock exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 10(6), pages 510-525.
  • Handle: RePEc:taf:eurjfi:v:10:y:2004:i:6:p:510-525
    DOI: 10.1080/1351847032000166931
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    Citations

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    Cited by:

    1. repec:eee:glofin:v:35:y:2018:i:c:p:43-57 is not listed on IDEAS
    2. Selim Tuzunturk, 2009. "The relationship between volatility and volume on the Istanbul stock exchange," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 1(3), pages 289-304.
    3. repec:spr:annopr:v:245:y:2016:i:1:d:10.1007_s10479-014-1719-y is not listed on IDEAS
    4. repec:eee:finana:v:56:y:2018:i:c:p:167-180 is not listed on IDEAS
    5. Arshad, Shaista & Rizvi, Syed Aun R. & Ghani, Gairuzazmi Mat & Duasa, Jarita, 2016. "Investigating stock market efficiency: A look at OIC member countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 402-413.
    6. Arjoon, Vaalmikki, 2016. "Microstructures, financial reforms and informational efficiency in an emerging market," Research in International Business and Finance, Elsevier, vol. 36(C), pages 112-126.
    7. Cajueiro, Daniel O. & Gogas, Periklis & Tabak, Benjamin M., 2009. "Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 50-57, March.

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