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A note on the efficiency of financial markets in a developing country

Author

Listed:
  • Ercan Balaban
  • Kursat Kunter

Abstract

Semi-strong efficiency in the stock market, the foreign exchange market and the interbank money market in Turkey is investigated by using the direct Granger causality tests. Significant deviations are reported from the efficient market hypothesis (EMH) with respect to changes in market liquidity in all these markets for the period of January 1989 to July 1995. It is also found that these markets are pairwise interdependent. However, market liquidity cannot be predicted by using developments in the financial market. Possible implications for domestic and foreign investors and for monetary policy makers are discussed.

Suggested Citation

  • Ercan Balaban & Kursat Kunter, 1997. "A note on the efficiency of financial markets in a developing country," Applied Economics Letters, Taylor & Francis Journals, vol. 4(2), pages 109-112.
    • Handle: RePEc:taf:apeclt:v:4:y:1997:i:2:p:109-112
    DOI: 10.1080/758526706
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    References listed on IDEAS

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    1. Cem Aysoy & Ercan Balaban, 1996. "The Term Structure of Volatility in the Turkish Foreign Exchange : Implications for Option Pricing and Hedging Decisions," Discussion Papers 9613, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    2. Mr. Peter Cornelius, 1991. "Monetary Policy and the Price Behavior in Emerging Stock Markets," IMF Working Papers 1991/027, International Monetary Fund.
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    Cited by:

    1. Başak Tanyeri, 2010. "Financial Transparency and Sources of Hidden Capital in Turkish Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 37(1), pages 25-43, February.
    2. Gulnur Muradoglu & Hakan Berument & Kivilcim Metin, 1999. "Financial Crisis and Changes in Determinants of Risk and Return: An Empirical Investigation of an Emerging Market (ISE)," Multinational Finance Journal, Multinational Finance Journal, vol. 3(4), pages 223-252, December.
    3. Gozbasi, Onur & Kucukkaplan, Ilhan & Nazlioglu, Saban, 2014. "Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests," Economic Modelling, Elsevier, vol. 38(C), pages 381-384.
    4. Ferhan Salman, 1999. "Risk-return-volume relationship in an emerging stock market," Discussion Papers 9901, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    5. Hasan A?an Karaduman, 2016. "Stylized Facts And Weak-Form Efficiency In Turkish Stock Market," Proceedings of International Academic Conferences 4006651, International Institute of Social and Economic Sciences.
    6. Balaban, Ercan & Ozgen, Tolga, 2016. "Trading session effects on stock returns and their conditional volatility: Firm-level evidence from a European Union accession country," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 446(C), pages 264-271.

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