Efficient Market Hypothesis and Emerging Capital Markets: Empirical Evidence from Istanbul Stock Exchange Efficient Market Hypothesis and Emerging Capital Markets: Empirical Evidence from Istanbul Stock Exchange (original) (raw)
Related papers
In this study we used an index called return index-20 which is a monthly index composed by us and used a time series model to test weak form of efficiency for this index in Istanbul Stock Exchange (ISE). ISE National-30 is an index which consists of relatively more liquid and larger firms where their stocks are widely held in public hands. Such an index is important for an investigator since it can be an indicator for the whole market. ISE started to be an active market in 1986. ISE National-30 started to be calculated on December 27, 1996 so there is a lack of 10 years period of time. In this study, instead of using ISE National-30 we used Index-20 (Aga and Kocaman 2006) which starts from the beginning of ISE and which consists of firms that are relatively larger, so we filled this gap. From being relatively larger, we understand that trading volume of the firm is high and the history of the firm is clean (Aga and Kocaman 2006). The result obtained from time series analysis shows...
The Investigation of the Efficient Market Hypothesis: Evidence from an Emerging Market
Taylor's Business Review (TBR), 2014
This study examines the weak-form efficiency of the Iranian capital market after changes in market regulations. Some events after 2005 have fundamentally changed the environment of the Iranian capital market, and we expect those reforms to increase its market efficiency. Therefore, this study examined the behavior of daily returns in Tehran Stock Exchange (TSE) utilizing autocorrelation and augmented Dickey-Fuller for the period of 2005-2013. The results of all the tests do not support that TSE daily returns follow a random walk. Therefore, we conclude that it is possible to use technical skills to attain abnormal gains.
The Testing of Efficient Market Hypothesis in Borsa Istanbul
The purpose of this study is to investigate the existence of the efficient market hypothesis in BIST 100, BIST Industry, BIST Service and BIST Financial indexes located in Stock Exchange Istanbul. The data related to the indices used in the study were taken as daily closing prices between 04.01.2010-02.11.2017 and the daily returns of the indices were calculated taking the closing prices into consideration. In the study, the volatility of the index returns will be tested with unit root tests and structural breaked unit root tests and the results will be evaluated in terms of the efficient market hypothesis.
Efficiency-Market Hypothesis: case of Tunisian and 6 Asian stock markets
2020
In this paper we test the weak form of the Efficient-Market Hypothesis (EMH) using monthly data of stock prices for the period from 2010M01 to 2019M07 for seven markets (Tunindex) in Tunisia and 6 Asian countries : Saudi Arabia (TSAI), Japon (Nikkei 225), China (SSEC), Turkey (BIST100), India (BSE30), and Indonesia (JKSE) by using linear and nonlinear (KSS and Modified KSS) unit root tests. Our empirical results indicate that the stock markets are efficient [not efficient] in the weak form of EMH in Tunisia and Saudi Arabia [Japan, Turkey, India, Indonesia, and China]. The major policy implications is that in these five countries (Japan, Turkey, India, Indonesia, and China), fund managers and investors can enjoy excess returns to their investment.
Is the Market Efficiency Static or Dynamic -Evidence from Colombo Stock Exchange (CSE
Kelaniya Journal of Management, 7(1), 2018
The study tests the weak form efficiency of the Colombo Stock Exchange (CSE) and the consistency of the market efficiency concept. In this study, daily market closing index values of (All Share Price Index) ASPI of CSE for five years, from June 2010 to June 2015, without adjustments , have been selected as the sample. Both parametric tests and non-parametric tests have been used and the evidence presented in this study confirms that CSE is not weak form efficient within the sample period going in line with the findings of previous studies. Therefore, the fact that Efficient Market Hypothesis as a dynamic concept is debatable as studies over the past have consistently confirmed that CSE is not in weak form efficient, although the efficiency of the most markets is dynamic.
An Investigation of the Weak Form of the Efficient Markets Hypothesis for the Kuwait Stock Exchange
Journal of Emerging Market Finance
This paper investigates the weakform of the Efficient Market Hypothesis (EMH) for the Kuwaiti Stock Exchange (KSE). In particular, it tests whether share returns on the KSE exhibit patterns which may be used to predict future share price changes. Ten filter rules are tested on weekly data for 42 firms over the period 1998 to 2011. The results suggest that the KSE was not weak form efficient because patterns and trends were present in security prices. In addition, the results are consistent with the substantive literature which has argued that emerging stock markets are informationally inefficient, such as Fifield et al. (2005, 2008) and Xu (2010) and particularly those early studies of Al-Shamali (1989) and Al-Loughani and Moosa (1999) that looked at trading rules for the KSE.
Efficiency in emerging markets-Evidence from the Emirates Securities Market
This paper investigates whether the stock price index in the United Arab Emirates Securities Market meets the criterion of weak-form market efficiency. Beside the conventional unit root tests, the study applies Perron (1997) models to test for a unit root in the presence of one endogenously determined structural break. The test results show that the Emirates Securities Market data contains unit root and follow a random walk, which suggests that the market meets the criterion of weak-form market efficiency.