Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests

Onur Gozbasi, Ilhan Kucukkaplan and Saban Nazlioglu

Economic Modelling, 2014, vol. 38, issue C, 381-384

Abstract: This paper re-examines the efficient market hypothesis (EMH) in the Turkish stock market by utilizing the recent developments in nonlinear unit root tests. To this end, we first employ the linearity test developed by Harvey et al. (2008) and then carry out the nonlinear ESTAR unit root test recently developed by Kruse (2011). The results show that Borsa Istanbul stock price index series have nonlinear behavior and follow the random walk (non-stationary) process, supporting the EMH in Turkish stock market which has weak-form efficiency.

Keywords: Efficient market hypothesis; Turkish stock market; Nonlinearity; Emerging markets (search for similar items in EconPapers)
JEL-codes: C22 G14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (28)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:38:y:2014:i:c:p:381-384

DOI: 10.1016/j.econmod.2014.01.021

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