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Nonlinearity in Emerging European Markets: Pre and Post Crisis Periods

In: Global Issues in Banking and Finance

Author

Listed:
  • Ceyda Aktan

    (University of Turkish Aeronautical Association)

  • Tolga Omay

    (Atilim University)

Abstract

Investigating the efficiency of emerging marketsEmerging markets has been a popular research trend in the past decade, showing implications on both the economy and the policies of the countries in question. Market efficiencyMarket efficiency, in other words, informational efficiency, states that if markets are fully efficient, then all information is instantly reflected the prices of stocks. However, there are many arguments for and against this theory, especially on the discussions of the 2008 Global Financial Crisis. These past studies are seen to be showing mixed results. It is important the note that there is a nonlinear movement among the stock prices within stock markets and this needs to be incorporated in the tests that are used to measure their efficiency in order to obtain more accurate results. Therefore, in this study, we have tested the weak form efficiency of the emerging marketsEmerging markets located in Europe, namely, Czech Republic, Greece, Hungary, Poland, Turkey, and Russia. Effects of the 2008 Global Financial Crisis were put forward by taking two different time periods (Pre: November 2005–September 2008 and Post: October 2008–February 2019—Crisis) and applying newly developed nonlinear unit root testsNonlinear Unit Root Tests. Results of the study supported previous research and showed that the efficiency of most markets changed in the post-crisis period from efficient to inefficient.

Suggested Citation

  • Ceyda Aktan & Tolga Omay, 2019. "Nonlinearity in Emerging European Markets: Pre and Post Crisis Periods," Springer Proceedings in Business and Economics, in: Nesrin Ozatac & Korhan K. Gokmenoglu (ed.), Global Issues in Banking and Finance, pages 143-159, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-30387-7_10
    DOI: 10.1007/978-3-030-30387-7_10
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