Business & Management Studies: An International Journal

Business & Management Studies: An International Journal

THE WEAK FORM MARKET EFFICIENCY IN THE MSCI ETF INDICES: CONVENTIONAL AND THE FOURIER UNIT ROOT TEST ON THE DEVELOPED AND DEVELOPING COUNTRIES

Yazarlar: Sümeyra GAZEL

Cilt 8 , Sayı 4 , 2020 , Sayfalar 409-423

Konular:-

Anahtar Kelimeler:MSCI,Borsa Yatırım Fonu,ETF,Fourier,Zayıf Formda Etkinlik MSCI,Exchange Traded Funds,ETF,Fourier,Weak Form Efficiency

Özet: In this study, weak form efficiency of the Exchange Traded Funds (ETF) in the Morgan Stanley Capital International (MSCI) Index of developed and developing countries is tested. The Fourier Unit Root test, which does not lose its predictive power in terms of structural break date, number and form, is used on daily data. Also, conventional unit root tests are used for comparison between two different tests. Analysis results indicate common findings in some countries for both unit root testing. However, the Fourier unit root test results relatively more support the assumption of efficient market hypothesis that developed countries may be more efficient than developing countries.

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@article{2020, title={THE WEAK FORM MARKET EFFICIENCY IN THE MSCI ETF INDICES: CONVENTIONAL AND THE FOURIER UNIT ROOT TEST ON THE DEVELOPED AND DEVELOPING COUNTRIES}, volume={8}, number={409–423}, publisher={Business & Management Studies: An International Journal}, author={Sümeyra GAZEL}, year={2020} }
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Sümeyra GAZEL. (2020). THE WEAK FORM MARKET EFFICIENCY IN THE MSCI ETF INDICES: CONVENTIONAL AND THE FOURIER UNIT ROOT TEST ON THE DEVELOPED AND DEVELOPING COUNTRIES (Vol. 8). Vol. 8. Business & Management Studies: An International Journal.
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Sümeyra GAZEL. THE WEAK FORM MARKET EFFICIENCY IN THE MSCI ETF INDICES: CONVENTIONAL AND THE FOURIER UNIT ROOT TEST ON THE DEVELOPED AND DEVELOPING COUNTRIES. no. 409–423, Business & Management Studies: An International Journal, 2020.
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