Doğuş Üniversitesi Dergisi

Doğuş Üniversitesi Dergisi

Efficient Market Hypothesis and Comovement Among Emerging Markets

Yazarlar: Oktay TAŞ, Kaya TOKMAKÇIOĞLU

Cilt 11 , Sayı 2 , 2010 , Sayfalar -

Konular:-

Anahtar Kelimeler:Efficient Market Hypothesis,Unit Root,Johansen Cointegration Test,Vector Error Correction Model

Özet: The main purpose of this study is to investigate stock market cointegration from the market efficiency perspective. Therefore, eleven emerging stock market indices are tested by using weekly data for the period of January 1998-December 2008 and for the sub period of January 2002-December 2008. Comovement among the emerging market countries was analyzed through Johansen cointegration test. The existence of two cointegrating vectors has been found at 5% significance level. However, the firm evidence against the market efficiency could not be established because of the low explanatory power of the results generated from the vector error correction model.

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@article{2010, title={Efficient Market Hypothesis and Comovement Among Emerging Markets}, volume={11}, publisher={Doğuş Üniversitesi Dergisi}, author={Oktay TAŞ, Kaya TOKMAKÇIOĞLU}, year={2010} }
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Oktay TAŞ, Kaya TOKMAKÇIOĞLU. (2010). Efficient Market Hypothesis and Comovement Among Emerging Markets (Vol. 11). Vol. 11. Doğuş Üniversitesi Dergisi.
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Oktay TAŞ, Kaya TOKMAKÇIOĞLU. Efficient Market Hypothesis and Comovement Among Emerging Markets. no., Doğuş Üniversitesi Dergisi, 2010.
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