IMPACT OF MAJOR GLOBAL EVENTS ON THE TURKISH STOCK MARKET EFFICIENCY Cover Image

IMPACT OF MAJOR GLOBAL EVENTS ON THE TURKISH STOCK MARKET EFFICIENCY
IMPACT OF MAJOR GLOBAL EVENTS ON THE TURKISH STOCK MARKET EFFICIENCY

Author(s): Ceyda AKTAN
Subject(s): National Economy, Supranational / Global Economy, Social Theory, Health and medicine and law, Economic development, Financial Markets, Socio-Economic Research
Published by: Hitit Üniversitesi
Keywords: Market efficiency; unit root tests; BIST100; stationarity; global events;

Summary/Abstract: Market efficiency is of great importance to many investors, policy makers, as well as researchers. It provides them with information regarding the market and acts as a guide in their decision-making process. For this reason, there have been extensive amount of research done through the years. However, the World has witnessed several major events in the last couple of decades, which has been of great importance for financial markets, having both direct and indirect impacts. The Global Financial Crisis of 2008 and the COVID-19 pandemic can be the two most important events the World has experienced. Although past research shows that the impact of both events on the efficiency of the stock markets were looked at in separate studies, there is lack of studies involving both major events and analysing how the efficiency of the stock market is changing between these periods. The aim of this study is to analyse the weak-form efficiency of the Turkish stock market and how it has evolved over time. There are 4 different data sets used to observe the changes in market efficiency, with full sample ranging from February 1988 to September 2022. Monthly closing prices of the BIST100 Index are analysed using both the traditional linear Augmented Dickey-Fuller unit root test and 5 different non-linear unit root tests. Results show that different tests have different strengths in capturing the stationarity and due to the LNV test Turkish Stock Market was found not to be weak form efficient.

  • Issue Year: 15/2022
  • Issue No: 2
  • Page Range: 613-627
  • Page Count: 15
  • Language: English
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