Determinants of market efficiency: evidence from Borsa Istanbul

Küçük Resim Yok

Tarih

2018

Yazarlar

Varlı, Yusuf
Şahin, Ebubekir Sıddık

Dergi Başlığı

Dergi ISSN

Cilt Başlığı

Yayıncı

T.C. Merkez Bankası

Erişim Hakkı

info:eu-repo/semantics/closedAccess

Araştırma projeleri

Organizasyon Birimleri

Organizasyon Birimi
İnsan ve Toplum Bilimleri Fakültesi, İktisat Bölümü
İktisat Bölümü, başta Türkiye ve çevre ülkeler olmak üzere küresel ekonomileri anlayan, var olan sorunları analiz ederken, iktisadi kuramları ve kavramları yetkin ve özgün bir şekilde kullanma becerisine sahip bireyler yetiştirmeyi amaçlamaktadır.

Dergi sayısı

Özet

Following the last global financial crisis, efficiencies of stock markets have come to sight as a novel area of research. The question of what factors shape the efficiency of the stock market is naturally always of a curiosity in theory and practice. In line with the framework of this curiosity, this study examines the determinants that play a crucial role in the efficiency of a certain stock market, Borsa Istanbul. Our study contributes to the literature by using five years and daily data for both individual and institutional investors. We here aim to specify the nine determinants of efficiency which are categorized under investor-based, market-based and country-based determinants. According to the three different regressions and VAR analysis, the model indicates the strong relationship between the efficiency and the specified determinants. The results illustrate that market efficiency has a statistically significant relationship with turnover, market volatility, the share of foreigners and interest rate

Açıklama

Anahtar Kelimeler

Stock Market Efficiency, Borsa Istanbul, Determinants of Efficiency, Adjusted Return

Kaynak

ICOAEF’18 IV. International Conference on Applied Economics and Finance, 28-30 November 2018

WoS Q Değeri

Scopus Q Değeri

Cilt

Sayı

Künye

Varlı, Y. ve Şahin, E. S. (2018). Determinants of market efficiency: evidence from Borsa Istanbul. ICOAEF’18 IV. International Conference on Applied Economics and Finance, 28-30 November 2018