haku: @freeterm Non-stationarity / yhteensä: 1
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| Tekijä: | Odabasi, A. Aksu, C. Akgiray, V. |
| Otsikko: | The statistical evolution of prices on the Istanbul Stock Exchange |
| Lehti: | European Journal of Finance
2004 : DEC, VOL 10:6 510-525 |
| Asiasana: | Emerging markets Market efficiency |
| Vapaa asiasana: | ISE Index returns Non-stationarity Unit-root tests Variance-ratio tests |
| Kieli: | eng |
| Tiivistelmä: | This paper documents the statistical properties of the stock returns on the Istanbul Stock Exchange (ISE) for january 1988 to December 1999 period and tries to assess the evolution of the underlying stochastic structure over this time period. Article also investigates empirically the relative efficiency of the ISE to test whether the rapid development of this market over the last decade caused it to become a relatively more efficient market. This is accomplished through a number of parametric and non-parametric tests of the random walk hypothesis using daily, weekly and monthly observations of the value-weighted ISE-100 index series. The results of this investigation suggest that the price mechanism in the ISE has evolved into a more informationally efficient process in little more than a decade of existence. |
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