The Efficient Market Hypothesis: Evidence from Turkey

Yunus Kılıç · Mehmet Fatih Buğan

17 citations0/0 files storedInternational Journal of Academic Research in Business and Social Sciences

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

This paper investigates the Efficient Market Hypothesis (EMH) for ISE30, ISE50, ISE100 and ISE Composite indices with unit root tests which were adapted for the non-linear ESTAR process.Firstly, Harvey et al. (2008) linearity test is employed.The test results indicate that all indices have non-linear behavior.Afterwards, non-linear unit root tests developed by Kapetanios et al. (2003) and Kruse (2011) were conducted.While the Kapetanios et al. (2003) test accepts the existence of EMH for all indices, the Kruse (2011) test which is relatively more recent rejects the hypothesis.

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1965The Behavior of Stock-Market Prices 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 2002Testing for a unit root in the nonlinear STAR framework 1997Multiple Trend Breaks and the Unit-Root Hypothesis 1988Testing Linearity Against Smooth Transition Autoregressive Models 2001Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles 1997Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation

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