STYLIZED FACTS AND WEAK-FORM EFFICIENCY IN TURKISH STOCK MARKET

Hasan A?an Karaduman ()
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Hasan A?an Karaduman: Yildiz Technical University

No 4006651, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: The question of whether the price and return series of a stock market exhibit a predictable and tractable pattern is always of interest in both theory and practice. After a brief overview of the literature on market efficiency, the stylized facts about the pre-global crisis, crisis and post-global crisis daily returns of Turkish stock market are explored at the statistical level as an example of the behavioural change in stock market of an emerging country. The weak-form market efficiency is also addressed using a range of statistical and econometric methods, namely unit root tests, variance-ratio tests, testing some anomalies which may falsify the stock market efficiency. The findings indicate there exists some form of deviations from the efficient market hypothesis during the global crisis period.

Keywords: Stylized facts; Stock Market Efficiency; Global Crisis; Turkish Economy (search for similar items in EconPapers)
JEL-codes: C58 G00 G01 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2016-08
New Economics Papers: this item is included in nep-ara and nep-cwa
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Published in Proceedings of the Proceedings of the 24th International Academic Conference, Barcelona, Aug 2016, pages 181-190

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