Is the Istanbul Stock Exchange Weak Form Efficient? A Markov-Switching ADF Test Approach

Emrah Çevik

Journal of BRSA Banking and Financial Markets, 2018, vol. 12, issue 2, 9-30

Abstract: The integration order of stock prices is related to the efficient market hypothesis and the hypothesis suggest that the stock market can be named as efficient when stock prices exhibit random walk properties. In this study, we examine regime-dependent integration order of Istanbul Stock Exchange 100 index by means of Markov-Switching ADF (MS-ADF) test. MS-ADF test result indicates that the validity of weak form efficient market hypothesis is regime-dependent. These findings suggest that while weak form efficiency is provided in high volatile regime, the market is not weak form efficient in the low volatility regime.

Keywords: Efficient Market Hypothesis; Istanbul Stock Exchange; Markov-Switching Model (search for similar items in EconPapers)
JEL-codes: C24 G14 G17 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.bddk.org.tr/Content/docs/bddkDergiEn/dergi_0024_03.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdd:journl:v:12:y:2018:i:2:p:9-30

Access Statistics for this article

More articles in Journal of BRSA Banking and Financial Markets from Banking Regulation and Supervision Agency Contact information at EDIRC.
Bibliographic data for series maintained by Sumeyye Azize CENGIZ ().