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A Nonlinear Analysis of Weak Form Efficiency of Stock Index Futures Markets in Cce Emerging Economies

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dc.contributor.author Karadağlı, Ece Ceylan
dc.date.accessioned 2020-04-30T22:35:16Z
dc.date.available 2020-04-30T22:35:16Z
dc.date.issued 2012-08
dc.identifier.citation Karadagli, E.C.; Donmez, M.G., "A Nonlinear Analysis of Weak Form Efficiency of Stock Index Futures Markets in Cce Emerging Economies", International Research Journal of Finance and Economics, Vol. 95, pp. 61-71, (2012). tr_TR
dc.identifier.issn 14502887
dc.identifier.uri http://hdl.handle.net/20.500.12416/3571
dc.description.abstract Futures markets, through carrying considerable impact on the spot market, serving such functions as price discovery and risk reduction for all market participants, and providing beneficial effects on the economic growth process especially in emerging countries, appear to be a vital part of a well-functioning economy. Accordingly, this paper examines weak form futures market efficiency of five CEE Emerging Economies. For this purpose, besides the traditional unit root tests, to account for nonlinearities in financial data, we employ nonlinear unit root tests along with their panel extensions. The results suggest that although the examined markets are efficient in linear sense, inefficiencies prevail when we account for nonlinearities. These findings imply that the examined countries, especially Poland and Turkey, need to take precautions to overcome the obstacles in their prevailing market structures, especially inherited in the sources of nonlinearity in the financial data, and to ensure a more efficient futures markets tr_TR
dc.language.iso eng tr_TR
dc.rights info:eu-repo/semantics/closedAccess tr_TR
dc.subject Emerging Futures Markets tr_TR
dc.subject Linear and Nonlinear Unit Root and Panel Unit Root tr_TR
dc.subject Market Efficency tr_TR
dc.title A Nonlinear Analysis of Weak Form Efficiency of Stock Index Futures Markets in Cce Emerging Economies tr_TR
dc.type article tr_TR
dc.relation.journal International Research Journal of Finance and Economics tr_TR
dc.contributor.authorID 17735 tr_TR
dc.identifier.volume 95 tr_TR
dc.identifier.startpage 61 tr_TR
dc.identifier.endpage 71 tr_TR
dc.contributor.department Çankaya Üniversitesi, İktisadi İdari Bilimler Fakültesi, Bankacılık ve Finans Bölümü tr_TR


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