Article ID Journal Published Year Pages File Type
5054388 Economic Modelling 2014 4 Pages PDF
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.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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