Browsing by Subject "Efficient market theory."

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Open Access
The distributional properties and weak efficiency in Istanbul Stock Exchange: a sectoral analysis
(2001) Özer, Hatice
The purpose of this study is to present some empirics of the Turkish stock market which is a fast growing emerging market. Statistical properties of daily, weekly and monthly returns on sector price indexes on the Istanbul Securities Exchange (ISE) are employed to investigate the distributional properties and efficiency of returns. Empirical evidence indicates that returns of Turkish stocks are found to be heavily leptokurtic and non-normal in all frequencies. Also daily and weekly stock returns exhibit a strong ARCH (Auto Regressive Conditional Heteroscedaticity) effect. The BDS test fails to reject the null hypothesis that ISE stocks are independently and identically distributed in all frequencies. Finally the weak form efficiency is rejected for stock price index changes at all frequencies using both autocorrelation and randomness tests.
Open Access
Efficiency of Istanbul Stock Exchange with respect to macroeconomic variables: a study using Granger causality
(1996) Özer, Murat
The purpose o f this study is to test the efficiency of Turkish security market with respect to a number o f macroeconomic variables, using multivariate Granger causality tests in conjunction with Akaike's final prediction error(FPE) criterion. The data set includes the daily values o f the Istanbul Exchange Index and macroecononomic variables between the years 1988-1994. The testing period is divided into sub-periods, based on the levels o f trading volume which represents the different developmental phases of the market. The empirical results showed that the macroeconomic variables effecting the stock prices change through time, in accordance to the changing market characteristics. Therefore, the success of any model over the estimation period does not guarantee that the same model will perform well outside the testing period.
Open Access
The impacts of the Gulf War on the US defense industry
(2000) Cantenar, Ömer Faruk
In this study, the military intervention of the U.S to the Gulf Crises is taken as a major event and the impact of this event on the U.S defense stocks is examined by using event study methodology. The sample includes thirty-nine defense firms selected from the U.S Department of Defense top contractors list. The analysis of the abnormal returns on these defense stocks shows that the U.S. military intervention to the Gulf crises affects these stocks significantly and positively both in the short-term and in the long-term. The univariate analysis indicates that stock returns of defense firms are affected differently from this war depending on their defense dependency and market value. There exists a positive relationship between defense dependency and abnormal returns of the defense firms, controlling for the size of the firm.
Open Access
Market efficiency and information content of financial statement earning announcements in ISE
(1997) Keler, S. Alp
This study investigates the impact of earning values of quarterly and annual financial statement announcements on stock prices and trade volumes for the stocks listed in Istanbul Stock Exchange National Market during the time period 1992-1995 The relationship between accounting information and price/trade volume is examined from two aspects. The first aspect is ''information-content test" and it measures the extent to which announcements convey information to the stock market. The results indicate that the price/trading volume changes on the day of the announcement is no different than any of the other date and no significance relationship is found between price/trading volume changes and earnings announcements. The second aspect is "market-efficiency test" and it investigates whether accounting earnings reflect factors that affect stock prices and how soon that inlormation is assimilated into stock prices. The results indicate that the accounting earnings does not reflect factors that affect stock prices and despite how strong the early information one has obtained, he can easily loose money
Open Access
Performance analysis of single structural break test with an empirical study on efficient market hypothesis"
(2005) Yıldız, İzzet
In this thesis, performance of the single structural break tests is examined. Since it has proved superiority of Sequential F test on other single break tests, it is chosen as single break test. Monte Carlo simulation is run for different scenarios and performances of the test with respect to estimating break points, and parameters, and rejecting or accepting the joint null hypothesis is observed. For all cases small sample bias is observed. The test estimates parameters correctly for large samples but for small samples it underestimates or overestimates parameters. Another common problem is about joint null hypothesis. When test rejects the joint null, it doesn’t identify which of the joint hypothesis is rejected. Therefore in this study, we utilize the t-statistic of the parameters to determine the individual hypothesis rejected. In addition to these common problems we illustrate other scenario specific problems in this study. We examine the implications of our Monte Carlo findings by applying the break test to real life data and investigate the efficient market hypothesis using stock market data on SP&500. Application of the sequential F test shows evidence against the efficient market hypothesis.
Open Access
The relationship between stock price index and trading volume in the Istanbul Stock Exchange
(1995) Tokat, Fatma
In this study, the long-term relationship and the short-term causality between stock price index and the trading volume and the direction of the causality is investigated in the context of a small stock market, the Istanbul Stock Exchange in Türkiye by using cointegration theory and Vector Error Correction Model. The data used includes daily closing values of ISE composite index and daily aggregate number of share units traded for the period 29/02/1988-30/09/1994. The emprical results reveal evidence of strong linear impact from lagged stock prices to current and iliture trading volume, which can be explained by both non-tax-related trading models and noise trading models, whereas weak evidence of a linear impact from lagged volume to current and future stock prices, which can be explained by sequential information arrival models and the mixture of distributions model.
Open Access
The response of TL interbank rates to weekly money supply announcements within the framework of market efficiency
(1992) Bal, Yasemin
THE RESPONSE OF TL INTERBANK RATES TO WEEKLY MONEY SUPPLY ANNOUNCEMENTS WITHIN THE FRAMEWORK OF MARKET EFFICIENCY In th is study,the effects of weekly money supply announcements on changes in TL interbank rates is tested in terms of market efficiency. As a result of the model tested, T urkish interbank market appeared to be an inefficient financiai market. During th is study, ARIMA based generated money suppiy survey data is used. Therefore a joint hypothesis, market efficiency and effectiveness of ARIMA based survey data, is tested. This leads to a weak rejection of market efficiency in TL interbank market.