Efficiency of the Turkish stock exchange with respect to monetary variables: a cointegration analysis

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dc.citation.epage576en_US
dc.citation.issueNumber3en_US
dc.citation.spage566en_US
dc.citation.volumeNumber90en_US
dc.contributor.authorMuradoglu, Y. G.en_US
dc.contributor.authorMetin, K.en_US
dc.date.accessioned2016-02-08T10:50:40Z
dc.date.available2016-02-08T10:50:40Z
dc.date.issued1996en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractIn 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.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T10:50:40Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 1996en
dc.identifier.doi10.1016/0377-2217(95)00071-2en_US
dc.identifier.eissn1872-6860
dc.identifier.issn0377-2217
dc.identifier.urihttp://hdl.handle.net/11693/25807
dc.language.isoEnglishen_US
dc.publisherElsevier BVen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/0377-2217(95)00071-2en_US
dc.source.titleEuropean Journal of Operational Researchen_US
dc.subjectEconomicsen_US
dc.subjectEmerging marketsen_US
dc.subjectFinanceen_US
dc.subjectStock priceen_US
dc.subjectTime seriesen_US
dc.subjectCostsen_US
dc.subjectEfficiencyen_US
dc.subjectMarketingen_US
dc.subjectNumerical analysisen_US
dc.subjectTime series analysisen_US
dc.subjectCointegration analysisen_US
dc.subjectMonetary variablesen_US
dc.subjectTime series econometricsen_US
dc.subjectTurkish stock exchangeen_US
dc.subjectOperations researchen_US
dc.titleEfficiency of the Turkish stock exchange with respect to monetary variables: a cointegration analysisen_US
dc.typeArticleen_US

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