İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: sektörel bazda bir inceleme

The testing of efficient market hypothesis in the Istanbul Stock Exchange by using long memory models: a sector-specific analysis

Emrah Çevik

MPRA Paper from University Library of Munich, Germany

Abstract: In this study, we examine whether the efficient market hypothesis is valid in the Istanbul Stock Exchange (ISE) via parametric and semi parametric long memory models. In order to determine the presence of weak form efficient market hypothesis, we consider 10 sector indices. Semi parametric and parametric long memory model results suggest that the volatility of sector returns exhibit long memory properties and hence it can be said that the ISE is not efficient market.

Keywords: ISE; Efficient Market Hypothesis; Long Memory; FIGARCH; Local Whittle Estimator (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2012, Revised 2012
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Citations: View citations in EconPapers (1)

Published in Journal of Yasar University 26.7(2012): pp. 4437-4454

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:71484

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