WEAK EFFICIENCY ON THE STOCK EXCHANGE MARKET: AN EMPIRICAL STUDY ON ISE

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ID: 36787
2013
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Ranked #25 of 29 articles by views in dokuz eylül Üniversitesi İktisadi ve İdari bilimler fakültesi dergisi

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Abstract
Markets which returns of share certificate are reflected completely whole information, describe as effective. In a weak-form efficiency market, all past price activity were reflected with current price and it isn’t obtaining an above the normal return to use with past price activity in markets. In this paper, we aim to provide the efficiency level of ISE market using fifteen minutes and session frequency data for the 03 January 2003 – 30 December 2005 period. In order to test the efficiency of ISE we use firstly ADF and KPSS unit root tests and secondly ELW fractionally integrated estimator developed by Shimotsu and Philips (2005). According to application we found that ISE is weakly efficient market.
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atan2013weakdokuz Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ATAN, SİBEL DUMAN;ÖZDEMİR, ZEYNEL ABİDİN;
Journal dokuz eylül Üniversitesi İktisadi ve İdari bilimler fakültesi dergisi
Year 2013
DOI
DOI not found
URL
https://iibfdergi.deu.edu.tr/index.php/cilt1-sayi1/article/view/257
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