Efficiency of the Turkish Stock Exchange with respect to Monetary Variables: A C
Please cite this item using this persistent URLhttp://hdl.handle.net/11693/10805
European Journal of Operational Research
- Department of Economics 
In this study, we test the semistrong form of the efficient market hypothesis in Turkey by using the recently developed techniques in time series econometrics, namely unit roots and cointegration. The long run relationship between stock prices and inflation is investigated by assuming the possible existence of a proxy effect. Conclusions are made as to the efficiency of the Turkish Stock Exchange and its possible implications for investors. To our knowledge, this is among the pioneering studies conducted in an emerging market that uses an updated econometric methodology to allow for an analysis of long run steady state properties together with short run dynamics.
Muradoglu, Y. G., & Metin, K. (1996). Efficiency of the Turkish stock exchange with respect to monetary variables: a cointegration analysis. European Journal of Operational Research, 90(3), 566-576.