Efficiency of Istanbul Stock Exchange with respect to macroeconomic variables: a study using Granger causality

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buir.advisorMuradoğlu, Gülnur
dc.contributor.authorÖzer, Murat
dc.date.accessioned2016-01-08T20:13:53Z
dc.date.available2016-01-08T20:13:53Z
dc.date.issued1996
dc.departmentDepartment of Managementen_US
dc.descriptionAnkara : The Department of Management and the Graduate School of Business Administration of Bilkent Univ., 1996.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 1996.en_US
dc.descriptionIncludes bibliographical references leaves 6-47.en_US
dc.description.abstractThe 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.en_US
dc.description.degreeM.B.Aen_US
dc.description.statementofresponsibilityÖzer, Muraten_US
dc.format.extent77 leavesen_US
dc.identifier.itemidBILKUTUPB041194
dc.identifier.urihttp://hdl.handle.net/11693/17838
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectStock market efficiencyen_US
dc.subjectGranger causalityen_US
dc.subjectMacroeconomic variablesen_US
dc.subjectDeveloping marketsen_US
dc.subject.lccHG5706.5.A3 O94 1996en_US
dc.subject.lcshStock exchanges.en_US
dc.subject.lcshEfficient market theory.en_US
dc.titleEfficiency of Istanbul Stock Exchange with respect to macroeconomic variables: a study using Granger causalityen_US
dc.typeThesisen_US

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