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Efficient market hypothesis in emerging stock markets: gradual shifts and common factors in panel data

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  • Saban Nazlioglu
  • Sevket Pazarci
  • Asim Kar
  • Osman Varol

Abstract

We test the efficient market hypothesis (EMH) in emerging markets by simultaneously considering gradual shifts and common factors. Findings indicate that (i) while the test with sharp breaks does not support EMH, the tests with gradual/smooth shifts and common factors support EMH in emerging markets; (ii) considering structural breaks as a gradual process within a common factor framework is important for emerging financial markets; and finally (iii) increasing time span sheds light more on EMH.

Suggested Citation

  • Saban Nazlioglu & Sevket Pazarci & Asim Kar & Osman Varol, 2024. "Efficient market hypothesis in emerging stock markets: gradual shifts and common factors in panel data," Applied Economics Letters, Taylor & Francis Journals, vol. 31(18), pages 1773-1779, October.
    • Handle: RePEc:taf:apeclt:v:31:y:2024:i:18:p:1773-1779
    DOI: 10.1080/13504851.2023.2206613
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    References listed on IDEAS

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