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Efficiency of the Turkish stock exchange with respect to monetary variables: a cointegration analysis
(Elsevier BV, 1996)
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 ...
Financial crisis and changes in determinants of risk and return: an empirical investigation of an emerging market (ISE)
(Multinational Finance Society, 1999)
This paper examines how determinants of volatility and stock returns change with financial crisis. The contributions of the paper are twofold. First, using a GARCH-M framework, risk and return are jointly modeled by using ...