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An Empirical Investigation of the Uncertain Information Hypothesis: Evidence From Borsa Istanbul

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  • Soner AKKOC
  • Nasif OZKAN

Abstract

This paper investigates the reaction of investors to the arrival of major political and economical news in Borsa Istanbul from October 2004 to September 2011. While the empirical results of the paper cannot support the prediction of Overreaction Hypothesis, they are consistent with the Uncertain Information Hypothesis which means investors in Turkey set security prices below their fundamental values in response to unexpected information. In comparison with the studies examining previous periods, we f ound t hat t his i mpact i s diminishing and Borsa Istanbul has become more efficient for the period of 2004 to 2011.

Suggested Citation

  • Soner AKKOC & Nasif OZKAN, 2013. "An Empirical Investigation of the Uncertain Information Hypothesis: Evidence From Borsa Istanbul," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 7(2), pages 101-119.
    • Handle: RePEc:bdd:journl:v:7:y:2013:i:2:p:101-119
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    References listed on IDEAS

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    Cited by:

    1. Metin Tetik & Ercan ?zen, 2016. "Overreaction Hypothesis and Reaction of Borsa Istanbul to Dow-Jones," Business and Economic Research, Macrothink Institute, vol. 6(2), pages 412-423, December.

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    More about this item

    Keywords

    Uncertain Information Hypothesis; Overreaction Hypothesis; Efficient Market Hypothesis; Borsa Istanbul;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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