Evolving Market Efficiency in Istanbul Stock Exchange PDF Download
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Author: Alovsat Muslumov
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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Book Description
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: Alovsat Muslumov
Publisher:
ISBN:
Category :
Languages : en
Pages : 19
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Book Description
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: Mr.Paul Cashin
Publisher: International Monetary Fund
ISBN: 1451847815
Category : Business & Economics
Languages : en
Pages : 30
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Book Description
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: Nuray Ergül Kondak
Publisher:
ISBN: 9789757539803
Category : Capital market
Languages : en
Pages : 204
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Book Description
Author: Robert A. Schwartz
Publisher: Springer
ISBN: 3319103504
Category : Business & Economics
Languages : en
Pages : 155
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Book Description
In recent years, exchanges on both sides of the Atlantic have been extensively reengineered, and their organizational structures have changed from non-profit, membership organizations to for-profit, demutualized organizations. Concurrently, new alternative trading systems have emerged and the traditional functions of broker/dealer firms have evolved. How have these changes affected the delivery of that mission? How has the efficiency of capital raising in the IPO market been impacted? These are among the key questions addressed in this book, titled after the Baruch College Conference, The Economic Function of a Stock Market. Featuring contributions from a panel of scholars, academicians, policymakers, and industry leaders, this volume examines current issues affecting market quality, including challenges in the marketplace, growth opportunities, and IPO capital raising in the global economy. The Zicklin School of Business Financial Markets Series presents the insights emerging from a sequence of conferences hosted by the Zicklin School at Baruch College for industry professionals, regulators, and scholars. Much more than historical documents, the transcripts from the conferences are edited for clarity, perspective and context; material and comments from subsequent interviews with the panelists and speakers are integrated for a complete thematic presentation. Each book is focused on a well delineated topic, but all deliver broader insights into the quality and efficiency of the U.S. equity markets and the dynamic forces changing them.
Author: Uttam B Sapate
Publisher: Educreation Publishing
ISBN:
Category : Education
Languages : en
Pages : 196
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Book Description
Econometric Analysis of Weak Form of Market Efficiency This book "Econometric Analysis of Weak Form of Market Efficiency" is an outcome of doctoral research work carried out on a large amount of stock market data using MATLAB software. It is a unique study wherein a battery of econometric tests has been applied to test the Indian stock market's weak form efficiency. This book consists of 6 chapters describing the concepts of market efficiency, econometric analysis and outcomes of the study. Each chapter deals with complex mathematical terminology in lucid and simple language for better understanding. This books aims at providing advance knowledge to the researches for application of econometric techniques to ascertain market efficiency. However, at the same time it is useful as a practical guide to the graduate / post graduate students of management, economics, and securities markets and engineering for carrying out desk research using MATLAB handling large amount of secondary data. The research outcomes are expected to be guiding force to investors, academicians, researchers in many ways wherein this work can further be extended.
Author: Nuray Ergul
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Ekrem Tufan
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Efficient Market Hypothesis (EMH) has been testing especially on emerging markets for almost twenty years in finance literature. Developed markets usually efficient in weak form while developing market do not. Some of these studies are examined on futures markets and the relationship between spot markets and them.Futures markets have a price discovery role on spot markets. In this respect, if futures transactions conduct a market then spot price can be predicted easily. If we accept that price always fully reflect all available information is called an efficient market, a spot market efficiency should be improved after the conduction of futures transactions. Because futures agreements are one of the best representatives of price expectations owing to the fact that prices are established as a result of meeting numerous expectations in the market.Istanbul Gold Exchange is called an emerging market and is growing rapidly. There are a few researches on this market. Futures transactions have been conducted for six months.This paper investigates whether conduct of futures transactions have affected on gold market weak form efficiency or not. We found that gold market has not affected the conduct of futures transactions and market has a weak form efficiency both before and after futures transactions.
Author: Soner Gokten
Publisher: BoD – Books on Demand
ISBN: 9535137360
Category : Computers
Languages : en
Pages : 334
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Book Description
One of the main reasons to name this book as Financial Management from an Emerging Market Perspective is to show the main differences of financial theory and practice in emerging markets other than the developed ones. Our many years of learning, teaching, and consulting experience have taught us that the theory of finance differs in developed and emerging markets. It is a well-known fact that emerging markets do not always share the same financial management problems with the developed ones. This book intends to show these differences, which could be traced to several characteristics unique to emerging markets, and these unique characteristics could generate a different view of finance theory in a different manner. As a consequence, different financial decisions, arrangements, institutions, and practices may evolve in emerging markets over time. The purpose of this book is to provide practitioners and academicians with a working knowledge of the different financial management applications and their use in an emerging market setting. Six main topics regarding the financial management applications in emerging markets are covered, and the context of these topics are "Capital Structure," "Market Efficiency and Market Models," "Merger and Acquisitions and Corporate Governance," "Working Capital Management," "Financial Economics and Digital Currency," and "Real Estate and Health Finance."
Author: Ismail Orakcioglu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Ekrem Tufan
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Market anomalies in stock markets should be related to investors' trading strategies, which are based on their psychologies along with other factors. The fact that some weather variables affect investor's performance and mood can also affect market prices substantially. This paper examines the relation between cloudy days at the Istanbul Stock Exchange 100 (ISE100) Index returns and the weak form efficiency for ISE with a different approach. It has been found that cloudy days are not the cause of or have no relationship with ISE 100 Index returns and also that there exists an evidence of weak form efficiency for Turkish stock market.
