Market development and market efficiency: evidence based on nonlinear panel unit root tests
European Journal of Finance, cilt.25, sa.11, ss.979-993, 2019 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 25 Sayı: 11
- Basım Tarihi: 2019
- Doi Numarası: 10.1080/1351847x.2018.1560346
- Dergi Adı: European Journal of Finance
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
- Sayfa Sayıları: ss.979-993
- Anahtar Kelimeler: European stock markets, market development, Market efficiency, nonlinear panel unit root tests
- Ankara Hacı Bayram Veli Üniversitesi Adresli: Hayır
Özet
This study tests the weak form market efficiency of 32 European stock markets. Utilizing monthly data from June 2006 to June 2017, six different, newly developed nonlinear panel root tests were applied in three different groups of European markets: Frontier, Emerging and Developed. The results show that there is a meaningful relationship between different levels of economic development and the weak form market efficiency. Considering the nonlinear structure of the stock market indices, use of linear models might lead to wrong conclusions regarding market efficiency. Using several nonlinear panel root tests, the results of this study shed more light on the true data generating process of the stock market indices and more appropriately model market efficiency.