文章基本信息

标题：Weak Efficiency on the Stock Exchange Market: An Empirical Study on ISE
其他标题：Hisse Senedi Piyasasında Zayıf Formda Etkinlik: İMKB Üzerine Ampirik Bir Çalışma
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作者：Sibel DUMAN ATAN ; Zeynel Abidin ÖZDEMİR ; Murat ATAN 等
期刊名称：Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi
印刷版ISSN：1302-504X
电子版ISSN：2147-7973
出版年度：2009
卷号：24
期号：2
语种：English
出版社：Dokuz Eylül University
摘要：Markets which returns of share certificate are reflected completely whole information, describe as effective. In a weak-form efficiency market, all past price activity were reflected with current price and it isn’t obtaining an above the normal return to use with past price activity in markets. In this paper, we aim to provide the efficiency level of ISE market using fifteen minutes and session frequency data for the 03 January 2003 – 30 December 2005 period. In order to test the efficiency of ISE we use firstly ADF and KPSS unit root tests and secondly ELW fractionally integrated estimator developed by Shimotsu and Philips (2005). According to application we found that ISE is weakly efficient market.
其他摘要：Hisse senedi getirilerinin piyasadaki mevcut tüm bilgiyi tamamen yansıttığı piyasalar "etkin” olarak nitelendirilmektedir. Zayıf formda etkin olan bir piyasada, geçmiş fiyat hareketlerinin tamamı mevcut fiyatlara yansımıştır ve piyasalarda geçmiş fiyat ha
关键词：Efficient market hypothesis;Unit root test;Fractional integration
其他关键词：Etkin piyasa hipotezi;Birim kök testi;Kesirli bütünleşme