Testing The Random Walk Hypothesis: An Application in the BRIC Countries and Turkey
This paper investigates the weak form efficiency in the BRIC countries and Turkey with use of autocorrelation analysis, unit root tests, Johansen cointegration and Granger causality test. Monthly data covers the period from July 1997 to December 2013. Our findings indicate the efficiency among the s...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Editura ASE Bucuresti
2015-03-01
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| Series: | Romanian Economic Journal |
| Subjects: | |
| Online Access: | http://www.rejournal.eu/article/testing-random-walk-hypothesis-application-bric-countries-and-turkey-1 |
| _version_ | 1818012833880735744 |
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| author | Halime Temel Nalın Sevinç Güler |
| author_facet | Halime Temel Nalın Sevinç Güler |
| author_sort | Halime Temel Nalın |
| collection | DOAJ |
| description | This paper investigates the weak form efficiency in the BRIC countries and Turkey with use of autocorrelation analysis, unit root tests, Johansen cointegration and Granger causality test. Monthly data covers the period from July 1997 to December 2013. Our findings indicate the efficiency among the stock markets in the weak form. The empirical findings indicate monthly closing prices of indices follow the random walk procedure. According to Granger causality and Johansen cointegration tests we found the long-run relationship between China and India, also China and Turkey. |
| first_indexed | 2024-04-14T06:25:26Z |
| format | Article |
| id | doaj.art-c2e8aa94a74b4767a1766028371a1956 |
| institution | Directory Open Access Journal |
| issn | 1454-4296 2286-2056 |
| language | English |
| last_indexed | 2024-04-14T06:25:26Z |
| publishDate | 2015-03-01 |
| publisher | Editura ASE Bucuresti |
| record_format | Article |
| series | Romanian Economic Journal |
| spelling | doaj.art-c2e8aa94a74b4767a1766028371a19562022-12-22T02:07:50ZengEditura ASE BucurestiRomanian Economic Journal1454-42962286-20562015-03-01XVIII55129148Testing The Random Walk Hypothesis: An Application in the BRIC Countries and TurkeyHalime Temel Nalın 0Sevinç Güler 1Bulent Ecevit University, Department of Business Administration, Faculty of Economics and Administrative Sciences, Zonguldak, Turkey, e-mail: halimetemel@gmail.comDokuz Eylul University, Izmir, Turkey and Visiting Scholar, University of Arkansas at Little Rock (UALR), AR, USA.This paper investigates the weak form efficiency in the BRIC countries and Turkey with use of autocorrelation analysis, unit root tests, Johansen cointegration and Granger causality test. Monthly data covers the period from July 1997 to December 2013. Our findings indicate the efficiency among the stock markets in the weak form. The empirical findings indicate monthly closing prices of indices follow the random walk procedure. According to Granger causality and Johansen cointegration tests we found the long-run relationship between China and India, also China and Turkey.http://www.rejournal.eu/article/testing-random-walk-hypothesis-application-bric-countries-and-turkey-1Random Walk TheoryBRIC-T CountriesWeak Form EfficiencyUnit RootJohansen CointegrationCausality. |
| spellingShingle | Halime Temel Nalın Sevinç Güler Testing The Random Walk Hypothesis: An Application in the BRIC Countries and Turkey Romanian Economic Journal Random Walk Theory BRIC-T Countries Weak Form Efficiency Unit Root Johansen Cointegration Causality. |
| title | Testing The Random Walk Hypothesis: An Application in the BRIC Countries and Turkey |
| title_full | Testing The Random Walk Hypothesis: An Application in the BRIC Countries and Turkey |
| title_fullStr | Testing The Random Walk Hypothesis: An Application in the BRIC Countries and Turkey |
| title_full_unstemmed | Testing The Random Walk Hypothesis: An Application in the BRIC Countries and Turkey |
| title_short | Testing The Random Walk Hypothesis: An Application in the BRIC Countries and Turkey |
| title_sort | testing the random walk hypothesis an application in the bric countries and turkey |
| topic | Random Walk Theory BRIC-T Countries Weak Form Efficiency Unit Root Johansen Cointegration Causality. |
| url | http://www.rejournal.eu/article/testing-random-walk-hypothesis-application-bric-countries-and-turkey-1 |
| work_keys_str_mv | AT halimetemelnalın testingtherandomwalkhypothesisanapplicationinthebriccountriesandturkey AT sevincguler testingtherandomwalkhypothesisanapplicationinthebriccountriesandturkey |