Weak form efficiency of the Turkish gold market
Author
Chafra, Jamel
Advisor
Muradoğlu, Gülnur
Date
1996Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
In this study, the Weak Form Efficiency Flypothcsis of the Turkish gold market is
examined. The period of the study runs from 01/01/1992 to 20/03/1996. This period is
divided into four mutually exclusive sub-periods reflecting different stages of the Turkish
gold market. Each sub-period's series of gold returns is examined for autocorrelation
structure, randonmess, and normality. Furthermore, the Weak Form Efficiency hypothesis
is conducted on the overall scries of gold returns. The result obtained is that the Efficient
Market Hypothsis of the Turkish gold market does neither hold for the scries of gold
returns of the sub-periods nor for that of the overall series. The implications of this result
for the current state of the Turkish gold market and the Istanbul Gold Exchange (IGE) arc
discussed.