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Nonlinearities in emerging stock markets: evidence from Europe's two largest emerging markets

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dc.contributor.author Omay, Tolga
dc.contributor.author Hasanov, Mübariz
dc.date.accessioned 2016-04-28T12:56:50Z
dc.date.available 2016-04-28T12:56:50Z
dc.date.issued 2008
dc.identifier.citation Hasanov, M., Omay, T. (2008). Nonlinearities in emerging stock markets: evidence from Europe's two largest emerging markets. Applied Economics, 40(20), 2645-2658. http://dx.doi.org/10.1080/00036840600970310 tr_TR
dc.identifier.issn 0003-6846
dc.identifier.uri http://hdl.handle.net/20.500.12416/942
dc.description.abstract Recent developments in time series analysis allow proper modelling of nonlinearities in economic and financial variables. A growing body of research was dedicated to investigation of potential nonlinearities in conditional mean of many economic and financial variables, mainly concentrating in developed economies. However, nonlinearities in financial variables in developing economies have not been fully examined yet. In this article we investigate potential nonlinearity and cyclical behaviour of stock returns in Europe's two largest emerging stock markets, mainly in the Greek and Turkish stock markets. Specifically, we use STAR family models, which allow to model nonlinearities in the conditional mean, for modelling monthly returns on stock exchange indices of the Athens Stock Exchange and Istanbul Stock Exchange. Although we find no nonlinearity in conditional variance, we do find strong evidence in favour of nonlinear adjustment of stock returns. It is found that allowing for nonlinearity in conditional mean results in a superior model and provides good out-of-sample forecasts, which contradicts to efficient market hypothesis tr_TR
dc.language.iso eng tr_TR
dc.publisher Routledge Taylor&Francis Group tr_TR
dc.relation.isversionof 10.1080/00036840600970310 tr_TR
dc.rights info:eu-repo/semantics/closedAccess
dc.subject Transition Autoregressive Models tr_TR
dc.subject Real Exchange-Rate tr_TR
dc.subject Error-Correction Model tr_TR
dc.subject Financial-Markets tr_TR
dc.subject United-Kingdom tr_TR
dc.subject Returns tr_TR
dc.subject Predictability tr_TR
dc.subject Dynamics tr_TR
dc.subject Volatility tr_TR
dc.subject Adjustment tr_TR
dc.title Nonlinearities in emerging stock markets: evidence from Europe's two largest emerging markets tr_TR
dc.type article tr_TR
dc.relation.journal Applied Economics tr_TR
dc.identifier.volume 40 tr_TR
dc.identifier.issue 20 tr_TR
dc.identifier.startpage 2645 tr_TR
dc.identifier.endpage 2658 tr_TR
dc.contributor.department Çankaya Üniversitesi, Meslek Yüksek Okulu tr_TR


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