AN INVESTIGATION OF EFFICIENT MARKET HYPOTHESIS IN OECD COUNTRIES

Basit Öğe Kaydı
dc.authorid0000-0002-6521-0901
dc.authorid0000-0003-2658-8490
dc.authorid0000-0002-3407-1259
dc.contributor.authorKaradeniz, Erdinc
dc.contributor.authorOzturk, Ilhan
dc.contributor.authorIskenderoglu, Omer
dc.date.accessioned2019-08-01T13:38:39Z
dc.date.available2019-08-01T13:38:39Z
dc.date.issued2012
dc.departmentNiğde ÖHÜ
dc.description.abstractThis study aims to investigate whether stock price returns are on a random walk for OECD countries. Using quarterly data for the 2005:1 - 2011:2 period, LM unit root test is employed which endogenously determines up to two structural breaks in level and trend. The empirical findings suggest a combination of random walk and mean reversion results for OECD countries. The results show that efficient market hypothesis (EMH) is confirmed in 13 out of 34 OECD countries. However, with regard to the panel unit root test, the OECD countries share price index returns are mean reverting which highlights the fact that the EMH is not valid.
dc.identifier.endpage405
dc.identifier.issn1993-6788
dc.identifier.issue129
dc.identifier.startpage398
dc.identifier.urihttps://hdl.handle.net/11480/4640
dc.identifier.wosWOS:000302519400049
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.institutionauthor[0-Belirlenecek]
dc.language.isoen
dc.publisherNATL ACAD MANAGEMENT
dc.relation.ispartofACTUAL PROBLEMS OF ECONOMICS
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectrandom walk
dc.subjectstructural break
dc.subjectmean reversion
dc.subjectefficient market hypothesis
dc.titleAN INVESTIGATION OF EFFICIENT MARKET HYPOTHESIS IN OECD COUNTRIES
dc.typeArticle

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