The Efficient Market Hypothesis: Evidence from Turkey

Yunus Kilic and Mehmet Buğan ()

International Journal of Academic Research in Business and Social Sciences, 2016, vol. 6, issue 10, 262-272

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.

Keywords: Efficient Market Hypothesis; Turkish Stock Market; Nonlinearity; Non-linear Unit Root Tests (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:hur:ijarbs:v:6:y:2016:i:10:p:262-272

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