Efficiency of the Turkish stock exchange with respect to monetary variables: a cointegration analysis
dc.citation.epage | 576 | en_US |
dc.citation.issueNumber | 3 | en_US |
dc.citation.spage | 566 | en_US |
dc.citation.volumeNumber | 90 | en_US |
dc.contributor.author | Muradoglu, Y. G. | en_US |
dc.contributor.author | Metin, K. | en_US |
dc.date.accessioned | 2016-02-08T10:50:40Z | |
dc.date.available | 2016-02-08T10:50:40Z | |
dc.date.issued | 1996 | en_US |
dc.department | Department of Economics | en_US |
dc.description.abstract | 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. | en_US |
dc.description.provenance | Made 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: 1996 | en |
dc.identifier.doi | 10.1016/0377-2217(95)00071-2 | en_US |
dc.identifier.eissn | 1872-6860 | |
dc.identifier.issn | 0377-2217 | |
dc.identifier.uri | http://hdl.handle.net/11693/25807 | |
dc.language.iso | English | en_US |
dc.publisher | Elsevier BV | en_US |
dc.relation.isversionof | http://dx.doi.org/10.1016/0377-2217(95)00071-2 | en_US |
dc.source.title | European Journal of Operational Research | en_US |
dc.subject | Economics | en_US |
dc.subject | Emerging markets | en_US |
dc.subject | Finance | en_US |
dc.subject | Stock price | en_US |
dc.subject | Time series | en_US |
dc.subject | Costs | en_US |
dc.subject | Efficiency | en_US |
dc.subject | Marketing | en_US |
dc.subject | Numerical analysis | en_US |
dc.subject | Time series analysis | en_US |
dc.subject | Cointegration analysis | en_US |
dc.subject | Monetary variables | en_US |
dc.subject | Time series econometrics | en_US |
dc.subject | Turkish stock exchange | en_US |
dc.subject | Operations research | en_US |
dc.title | Efficiency of the Turkish stock exchange with respect to monetary variables: a cointegration analysis | en_US |
dc.type | Article | en_US |
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