We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Finansal Piyasalarda Uzun Dönemli Bağımlılık ve Etkin Piyasalar Hipotezi.
- Authors
HATİPOĞLU, Mercan; BOZKURT, İbrahim
- Abstract
The aim of this paper is to test the efficient market hypothesis for America, England, Turkey and Russia financial markets by means of the long-term dependence approach. In study, Rescaled Range Analysis and Detrended Fluctuation Analysis are employed. The data used in daily frequency covers the period May 2013 to May 2015. As a result emerging markets are found more efficient than developed markets. Furthermore, the long memory property is more appeared in squares of returns used as proxies for volatility than returns.
- Publication
Kastamonu University Journal of Economics & Administrative Sciences Faculty / Kastamonu Üniversitesi Iktisadi ve Idari Bilimler Fakültesi Dergisi, 2018, Vol 20, Issue 3, p47
- ISSN
2147-6012
- Publication type
Article