A Test of the Efficient Market Hypothesis Using Istanbul Stock Exchange Data PDF Download
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Author: Erol S. Alkan
Publisher:
ISBN:
Category :
Languages : en
Pages : 212
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Author: Erol S. Alkan
Publisher:
ISBN:
Category :
Languages : en
Pages : 212
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Author: Erol Salih Alkan
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Nuray Ergül Kondak
Publisher:
ISBN:
Category :
Languages : en
Pages : 270
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Author: Alovsat Muslumov
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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The main purpose of this study is testing weak-form market efficiency hypothesis in ISE using the broadest sample and time series coverage that have been ever used. We use stock prices data of all companies that constitute ISE-100 index with time series covering 1990-2002 years. We test not only whether ISE is efficient in the weak-form sense, but also whether and how it is becoming more efficient. For this purpose, we use generalized auto-regressive conditional heteroscedastic (GARCH) model. Our research findings show that the stock returns of the individual stocks that constitute 65% of the sample space do not show random walk behavior. However, remaining part of the individual stocks exhibit significant random walk behavior. The findings for the ISE-100 national index provide support to the evolving market efficiency hypothesis. While ISE-100 index do not follow random walk for the initial period of the analysis, it gains random-walk behavior in the second period. The discrimination analysis between stocks whose returns do not follow random walk behavior and those whose returns follow random walk behavior do not significantly discriminate them.
Author: Everton Dockery
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This paper performs unit root tests using panel data to investigate empirically stock price efficiency of the Athens stock market. Our Wald test statistics reject the random walk hypothesis for stock prices, which is a necessary condition for market efficiency.
Author: Nuray Ergul
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Sebastian Harder
Publisher: GRIN Verlag
ISBN: 3640743768
Category : Business & Economics
Languages : en
Pages : 65
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Research Paper (undergraduate) from the year 2008 in the subject Business economics - Investment and Finance, grade: 1.7, The FOM University of Applied Sciences, Hamburg, language: English, abstract: Especially after the 90ies, where the stock markets raised enormously, many private investors joined the stock market and were blended by abnormal profits and neglected possible losses. The same behavior could be observed before the Financial Crisis became reality. But each endless raising stock market would finally collapse, because stock prices are randomly and only driven by relevant news. The adjustment to the news is quickly. This is the theoretical argumentation of the Efficient Market Hypothesis (EMH), which will be evaluated in this paper. The author gives an overview about the EMH by explaining the basic principles and its mathematical formulation. The practical part evaluated the EMH on selected examples, where the theory could only be partly approved.
Author: Nuray Ergül Kondak
Publisher:
ISBN: 9789757539803
Category : Capital market
Languages : en
Pages : 204
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Author: Mr.Paul Cashin
Publisher: International Monetary Fund
ISBN: 1451847815
Category : Business & Economics
Languages : en
Pages : 30
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The issue of informational efficiency in the evolution of asset prices is examined using data on equity markets in Jordan, Turkey and Pakistan over the period 1986–93. The analysis is carried out in two steps. The parameters of agents’ dynamic consumption and investment decisions are first estimated, and then the implied equity market price, based on market fundamentals, is compared with the actual evolution of equity market prices. While the informational efficiency of each of the three markets is found to be deficient, the causes of market inefficiency are varied. For Jordan it appears that a large negative shock to economic activity in the late 1980s caused agents to discount market fundamentals. For Turkey and Pakistan it is likely that institutional and legal rigidities in equity and banking markets resulted in these markets being illiquid, although this lack of market depth did reduce in severity for Turkey over the sample period, as liberalization of financial markets occurred.
Author: Theophano Patra
Publisher:
ISBN:
Category :
Languages : en
Pages : 227
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