EconPapers    
Economics at your fingertips  
 

TESTING WEAK FORM MARKET EFFICIENCY OF EMERGING MARKETS: A NONLINEAR APPROACH

Ece Karadagli () and Nazlı C. Omay

Journal of Applied Economic Sciences, 2012, vol. 7, issue 3(21)/ Fall 2012, 235-245

Abstract: This paper examines weak form efficiency in eight CEE emerging markets by testing whether the stock price series of these markets contain unit root. The unpredictability of stock returns indicates that stock prices follow random walk and hence are characterized by a unit root. For this purpose, we employ unit root and nonlinear unit root tests along with their panel extensions. The results indicate weak form efficiency in linear sense. However the findings of nonlinear unit root test suggest inefficiencies for Russian, Romanian and Polish stock markets. Furthermore, nonlinear panel unit root test support inefficiency for the sample we investigated.

Keywords: emerging markets; market efficiency; linear and nonlinear unit root and linear and nonlinear panel unit root (search for similar items in EconPapers)
JEL-codes: G14 C3 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.jaes.reprograph.ro/articles/Fall2012/articles/KaradagliE_OmayN.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:ush:jaessh:v:7:y:2012:i:3(21)_fall2012:p:235

Access Statistics for this article

Journal of Applied Economic Sciences is currently edited by Laura Stefanescu

More articles in Journal of Applied Economic Sciences from Spiru Haret University, Faculty of Financial Management and Accounting Craiova Contact information at EDIRC.
Bibliographic data for series maintained by Laura Stefanescu ().

 
Page updated 2021-06-13
Handle: RePEc:ush:jaessh:v:7:y:2012:i:3(21)_fall2012:p:235