Academic
Publications
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,Mehmet Aga,Berna Kocaman

Efficient Market Hypothesis and Emerging Capital Markets: Empirical Evidence from Istanbul Stock Exchange   (Citations: 1)
BibTex | RIS | RefWorks Download
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 that the returns can be explained only by the constant term, which is the mean and there is a weak form of efficiency in ISE, which means that the market is weakly efficient if the current time can not be explained with the past values.
Cumulative Annual
View Publication
The following links allow you to view full publications. These links are maintained by other sources not affiliated with Microsoft Academic Search.
Sort by: