Testing weak form market efficiency: Evidence from stock markets of Turkey and Germany

GÜRİŞ B.

International Journal of Economic Research, vol.8, no.2, pp.191-197, 2011 (Scopus) identifier

  • Publication Type: Article / Article
  • Volume: 8 Issue: 2
  • Publication Date: 2011
  • Journal Name: International Journal of Economic Research
  • Journal Indexes: Scopus
  • Page Numbers: pp.191-197
  • Keywords: Efficient market hypothesis, Multiple regime threshold autoregressive models
  • Istanbul University Affiliated: Yes

Abstract

In recent years which international information flow increased, efficient market hypothesis has been the subject of increasing attention. The aim of this paper is to investigate the validity of efficient market hypothesis for stock markets of Turkey and Germany. Unlike most of the existing literature, Kapetanios and Shin (2006) test has been used in this paper. The finding results indicate that the stock market of Turkey is not efficient while the stock market of Germany is efficient.