Determinants of market efficiency: evidence from Borsa Istanbul
[ N/A ]
Tarih
2018
Yazarlar
Şahin, Ebubekir Sıddık
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
T.C. Merkez Bankası
Erişim Hakkı
info:eu-repo/semantics/closedAccess
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
