References
- ABRAHAM, A., FAZAL, J., SULAIMAN, A. (2002). Testing the random walk behavior and efficiency of the Gulf stock markets. The Financial Review, 37, 469-480. DOI: 10.1111/0732-8516.0000810.1111/0732-8516.00008
- ALEXEEV, V., TAPON, F. (2011). Testing weak-form efficiency on the Toronto stock exchange. Journal of Empirical Finance, 18(4), 661-691. DOI: 10.1016/j.jempfin.2011.05.00210.1016/j.jempfin.2011.05.002
- AL-LOUGHANI, N., CHAPPELL, D. (1997). On the validity of the weak-form efficient markets hypothesis applied to the London stock exchange. Applied Financial Economics, 7(2), 173-176. DOI: 10.1080/09603109733373610.1080/096031097333736
- ALOM, K., RAQUIB, M. (2014). Capital market efficiency and portfolio equity inflows in Bangladesh. World Vision Research Journal, 8(1), 202-215.
- ANANZEH, I. E. N. (2014). Testing the weak-form of efficient market hypothesis: Empirical evidence from Jordan. International Business and Management, 9(2), 119-123. DOI: 10.3968/552410.3968/5524
- ANANZEH, I.E.N. (2016). Weak-form efficiency of the Amman stock exchange: An empirical analysis (2000-2013). International Journal of Business and Management, 11(1), 173-180. DOI: 10.5539/ijbm.v11n1p17310.5539/ijbm.v11n1p173
- ANLAS, T., TORAMAN, C. (2016). Analysing the efficiency of the Turkish stock market with multiple structural breaks. International Journal of Academic Research in Business and Social Sciences, 6(12), 721-740. DOI: 10.6007/IJARBSS/v6-i12/253110.6007/IJARBSS/v6-i12/2531
- ANORUO, E., MURTHY, V.N.R. (2014). Testing nonlinear inflation convergence for the central African economic and monetary community. International Journal of Economics and Financial Issues, 4(1), 1-7.
- ATAKAN, T. (2008). Testing the day-of-the-week effect and January effect anomalies at Istanbul stock exchange with arch-garch models. Istanbul University Journal of the School of Business Administration, 37(2), 98-110.
- ATAN, S.D., OZDEMIR, Z.A., ATAN, M. (2009). Weak efficiency on the stock exchange market: An empirical study on ISE. Dokuz Eylul University, Journal of the Faculty of Economics and Administrative Sciences, 24(2), 33-48.
- BASHIR, T., ILYAS, M., FURRUKH, A. (2011). Testing the weak-form efficiency of Pakistani stock markets: An empirical study in banking sector. European Journal of Economics, Finance and Administrative Sciences, 31, 160-175.
- BORGES, M.R. (2010). Efficient market hypothesis in European stock markets. The European Journal of Finance, 16(7), 711-726. DOI: 10.1080/1351847X.2010.49547710.1080/1351847X.2010.495477
- BOZKURT, C., OKUMUS, I. (2016). Are fluctuations in oil consumption permanent or transitory? Evidence from linear and nonlinear unit root test in BRICS-T countries. Cukurova University, Journal of the Faculty of Economics and Administrative Sciences, 20(1), 27-37.
- BROOKS, C. (2014). Modelling long-run relationships in finance. In: Introductory Econometrics for Finance (3rd edition). Cambridge: Cambridge University Press.
- BUGUK, C., BRORSEN, B.W. (2003). Testing weak-form market efficiency: Evidence from ISE. International Review of Financial Analysis, 12(5): 579-590. DOI: 10.1016/S1057-5219(03)00065-610.1016/S1057-5219(03)00065-6
- CELIK, T.T., TAS, O. (2007). Efficient market hypothesis and emerging markets. İstanbul Teknik Üniversitesi Dergisi, Sosyal Bilimler, 4(2), 11-22.
- CHAN, K.C., GUP, B.E., PAN, M.S. (1997). International stock market efficiency and integration: A study of eighteen nations. Journal of Business Finance & Accounting, 24(6), 803-813. DOI: 10.1111/1468-5957.0013410.1111/1468-5957.00134
- CHAUDHURI, K., WU, Y. (2003). Random walk versus breaking trend in stock prices: Evidence from emerging markets. Journal of Banking and Finance, 27, 575-592. DOI: 10.1016/S0378-4266(01)00252-7.10.1016/S0378-4266(01)00252-7
- CHOUDHRY, T. (1997) Stochastic trends in stock prices: Evidence from Latin American markets. Journal of Macroeconomics, 19(2), 285-304. DOI: 10.1016/S0164-0704(97)00016-510.1016/S0164-0704(97)00016-5
- CHUVAKHIN, N. (2001). Efficient market hypothesis and behavioral finance is a compromise in sight. Available at http://ncbase.com/papers/EMH-BF.pdf
- CONKAR, M.K, CANBAZ, M.F., ARIFOGLU, A. (2018). Causality relationship between the credits of commercial and Islamic banks and economic growth: An econometric analysis. Afyon Kocatepe University Journal of Economics and Administrative Sciences, 20(1), 1-11. DOI: 10.5578/jeas.61920.10.5578/jeas.61920
- ELLIOT, G., ROTHENBERG, T.J., STOCK, J.H. (1996). Efficient test for an autoregressive unit root. Econometrica, 64(4), 813-836. DOI: 10.2307/217184610.2307/2171846
- EZEPUE, P.O., OMAR, M.T. (2012). Weak-form market efficiency of the Nigerian stock market in the context of financial reforms and global financial crises. Journal of African Business, 13(3), 209-220. DOI: 10.1080/15228916.2012.727750.10.1080/15228916.2012.727750
- DRAGOTA, V., TILICA, E. (2014). Market efficiency of the post-communist east european stock markets. Central European Journal of Operations Research, 22(2), 307-337. DOI: 10.1007/s10100-013-0315-610.1007/s10100-013-0315-6
- FAMA, E. F. (1965). The behavior of stock market prices. The Journal of Business, 38(1), 34-105. DOI: 10.1086/29474310.1086/294743
- FAMA, E.F. (1970). Efficient capital markets: A review of theory and empirical works. Journal of Finance, 25(2), 383-417. DOI: 10.2307/232548610.2307/2325486
- FAMA, E.F. (1991). Efficient capital markets: II. The Journal of Finance, V.XLVI(5), 1575-1576. DOI: 10.1111/j.1540-6261.1991.tb04636.x10.1111/j.1540-6261.1991.tb04636.x
- GEMICI, E., POLAT, M. (2018). Random walk hypothesis in MIST stock markets. Eskisehir Osmangazi University Journal of Economics and Administrative Sciences, 13(1), 129-142.
- GILANI, R.T.S., NAWAZ, M., SHAKOOR, M. I., ASAB, M. Z. (2015). Testing the weak-form efficiency of Islamabad stock exchange. Developing Country Studies, 4(11), 79-86.
- GOURISHANKAR, S.H., SADATH, A., KAMAIAH, B. (2009). On the random walk characteristics of stock returns in India. Artha Vijnana, 51(1), 85-96.
- GOZBASI, O. (2014). Testing weak-form efficiency of the Borsa Istanbul stock market: a nonlinear approach. Verimlilik Dergisi, 0(4), 7-18.
- GOZBASI, O., KUÇUKKAPLAN, I. NAZLIOGLU, S. (2014). Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests, Economic Modelling, 38, 381-384. DOI: 10.1016/j.econmod.2014.01.021.10.1016/j.econmod.2014.01.021
- GUMUS, F.B., ZEREN, F. (2014). Analyzing the efficient market hypothesis with the fourier unit root tests: Evidence from G-20 countries. Ekonomski Horizonti, 16(3), 225-237. DOI: 10.5937/ekonhor1403225g10.5937/ekonhor1403225g
- HAQUE, A., LIU, H-C., NISA, F-U. (2011). Testing the weak-form efficiency of Pakistani stock market (2000–2010). International Journal of Economics and Financial Issues, 1(4), 153-162.
- HARRIS, D., MCCABE, B.P., LEYBOURNE, S.J. (2003). Same limit theory for auto-covariances whose order depends on sample size. Econometric Theory, 10, 829-864.
- HARVEY, D.I., LEYBOURNE, S.J. (2007). Testing for time series linearity. Econometrics Journal, 10(1), 149-165. DOI: 10.1111/j.1368-423X.2007.00203.x10.1111/j.1368-423X.2007.00203.x
- HARVEY, D.I., LEYBOURNE, S.J., XIAO, B. (2008). A powerful test for linearity when the order of integration is unknown. Studies Nonlinear Dynamics and Econometrics, 12(3), 1-24. DOI: 10.2202/1558-3708.158210.2202/1558-3708.1582
- HASANOV, M., OMAY, T. (2007). Are the transition stock markets efficient? Evidence from non-linear unit root tests. Central Bank Review, 2(2007), 1-12.
- HEPSAG, A., AKCALI, B.Y. (2015). The analysis of weak-form efficiency with asymmetric nonlinear unit root test: The case of G-7 and E-7 countries. BDDK Bankacılık ve Finansal Piyasalar, 9(2), 73-90.
- HOOI, L., SMYTH, R. (2007). Are Asian real exchange rates mean reverting? Evidence from univariate and panel LM unit root tests with one and two structural breaks. Applied Economics, 39, 2109-2120. DOI: 10.1080/0003684060072233110.1080/00036840600722331
- HUSSAIN, S., NATH, S.K.D., BHUIYAN, Y.A. (2016). Weak-form efficiency of the Chittagong stock exchange: An empirical analysis (2006-2016). International Journal of Business and Social Research, 6(11), 58-66. DOI: 10.18533/ijbsr.v6i11.1015.
- ILALAN, D. (2018). An empirical study of BIST 100 index with nonlinear unit root testing. International Journal of Management Economics and Business, 14(3), 656-665.
- IRFAN, M., MARIA, I., MUHAMMAD, A. (2010). Investigating the weak-form efficiency of an emerging market using parametric tests: Evidence from Karachi stock market of Pakistan. Electronic Journal of Applied Statistical Analysis, 3(1), 52-64.
- KAPETANIOS, G., SHIN, Y., SNELL, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. DOI: 10.1016/S0304-4076(02)00202-610.1016/S0304-4076(02)00202-6
- KARAN, M.B. (2004). Yatırım analizi ve portföy yönetimi, Ankara: Gazi Kitabevi.
- KAWAKATSU, H., MOREY, M.R. (1999). Financial liberalization and stock market efficiency: An empirical examination of nine emerging market countries. Journal of Multinational Financial Management, 9(3-4), 353-371. DOI: 10.1016/S1042-444X(99)00007-910.1016/S1042-444X(99)00007-9
- KHAN, N.U, KHAN, S. (2016). Weak-form of efficient market hypothesis evidence from Pakistan. Business & Economic Review, 8, 1-18.
- KIM, J.H., SHAMSUDDIN, A., LIM, K.P. (2011). Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data. Journal of Empirical Finance, 18(5), 868-879. DOI: 10.1016/j.jempfin.2011.08.00210.1016/j.jempfin.2011.08.002
- KIM, S-W., MOLLICK, A.V., NAM, K. (2008). Common nonlinearities in long-horizon stock returns: Evidence from the G-7 stock markets, Global Finance Journal, 19(1), 19-31.
- KIYILAR, M. (1997). Etkin pazar kuramı ve ektin pazar kuramının IMKB’de irdelenmesi ve test edilmesi. Ankara: Sermaye Piyasası Kurulu, No. 86.
- KIYILAR, M. (1998). Etkin pazar kuramının test edilmesi. Yönetim, 9(29), 34-51.
- KOFARBAI, H.Z., ZUBAIRU, M. (2016). Efficient market hypothesis in emerging market-a conceptual analysis. European Scientific Journal, 12(25), 260-270. DOI: 10.19044/esj.2016.v12n25p260
- KRUSE, R. (2011). A new unit root test against ESTAR based on a class of modified statistics. Statistic Papers, 52(1), 71-85. DOI: 10.1007/s00362-009-0204-110.1007/s00362-009-0204-1
- LEAN, H.H., SMYTH, R. (2007). Do Asian stock markets follow a random walk? Evidence from LM unit root tests with one and two structural breaks. Review of Pacific Basin Financial Markets and Policies, 10, 15-31. DOI: 10.1142/S021909150700093310.1142/S0219091507000933
- LEE, C., LEE, J., LEE, C. (2010). Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks. Japan and the World Economy, 22(1), 49-58. DOI: 10.1016/j.japwor.2009.04.00210.1016/j.japwor.2009.04.002
- LEE, J., STRAZICICH, M.C. (2003). Minimum LM unit root test with two structural breaks. The Review of Economics and Statistics, 85(4), 1082-1089. DOI: 10.1162/00346530377281596110.1162/003465303772815961
- LEE, C., TSONG, C., LEE, C. (2014). Testing for the efficient market hypothesis in stock prices: International evidence from nonlinear heterogeneous panels. Macroeconomic Dynamics, 18(4), 943-958. DOI: 10.1017/S136510051200069710.1017/S1365100512000697
- LI, W.K., LAM, K. (1995). Modelling asymmetry in stock returns by a threshold autoregressive conditional heteroscedastic model. Journal of the Royal Statistical Society, 44(3), 333-341.
- LIU, T. (2010). Stock Market Development and Market Efficiency on China Stock Market. Euro Journals Publishing, Inc.
- LO, A.W., MACKINLAY, A.C. (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. The Review of Financial Studies, 1(1), 41-66. DOI: 10.1093/rfs/1.1.4110.1093/rfs/1.1.41
- MANASSEH, C.O., OZUZU, C.K., OGBUABOR, J.E. (2016). Semi strong form efficiency test of the Nigerian stock market: Evidence from event study analysis of bonus issues. International Journal of Economics and Financial Issues, 6(4), 1474-1490.
- MALCIOGLU, G., AYDIN, M. (2016). Analysis of market efficiency at Borsa Istanbul: Harvey linearity test. Journal of Accounting, Finance and Auditing Studies, 2(1), 112-123.
- MALHOTRA, N., TANDON, K., TANDON, D. (2015). Testing the empirics of weak-form of efficient market hypothesis: Evidence from Asia-Pacific markets. IUP Journal of Applied Finance, 21(4), 18-37.
- MCMILLAN, D.G. (2005). Non-linear dynamics in international stock market returns. Review of Financial Economics, 14 (1), 81-91. DOI: 10.1016/j.rfe.2004.09.00110.1016/j.rfe.2004.09.001
- MEHMOOD, M.S., MEHMOOD, A., MUJTABA, B.G. (2012). Stock market prices follow the random walks: Evidence from the efficiency of Karachi stock exchange. European Journal of Economics, Finance and Administrative, 51, 71-80.
- MISHRA, P.K. (2011). Weak-form market efficiency: Evidence from emerging and developed world. The Journal of Commerce, 3(2), 26-34.
- MOLLAH, A.S. (2007). Testing weak-form market efficiency in emerging market: Evidence from Botswana stock exchange. International Journal of Theoretical and Applied Finance, 10(6), 1077-1094. DOI: 10.1142/S021902490700455X10.1142/S021902490700455X
- MUNIR, Q., MANSUR, K. (2009). Is Malaysian stock market efficient? Evidence from threshold unit root tests. Economics Bulletin, 29(2), 1359-1370.
- NARAYAN, P.K. (2005) Are the Australian and New Zealand stock prices nonlinear with a unit root?. Applied Economics, 37(18), 2161-2166. DOI: 10.1080/0003684050021788710.1080/00036840500217887
- NARAYAN, P.K. (2006). The behaviour of US stock prices: Evidence from a threshold autoregressive model. Mathematics and Computers in Simulation, 71(2), 103-108. DOI: 10.1016/j.matcom.2005.11.01610.1016/j.matcom.2005.11.016
- NARAYAN, P.K. (2008). Do shocks to G7 stock prices have a permanent effect? Evidence from panel unit root tests with structural change. Mathematics and Computers in Simulation, 77(4), 369-373. DOI: 10.1016/j.matcom.2007.03.00310.1016/j.matcom.2007.03.003
- NARAYAN, P., PRASAD, A. (2007). Mean reversion in stock prices: New evidence from panel unit root tests for seventeen European countries. Economics Bulletin, 3, 1-16.
- NARAYAN, P.K., SMYTH, R. (2004). Is South Korea's stock market efficient?. Applied Economics Letters, 11(1), 707-710. DOI: 10.1080/135048504200023656610.1080/1350485042000236566
- NARAYAN, P.K., SMYTH, R. (2007). Mean reversion versus random walk in G-7 stock prices evidence from multiple trend break unit root tests. Journal of International Financial Markets, Institutions and Money, 17(2017), 152-166. DOI: 10.1016/j.intfin.2005.10.00210.1016/j.intfin.2005.10.002
- NISAR, S., HANIF, M. (2012). Testing weak-form of efficient market hypothesis: Empirical evidence from South-Asia. World Applied Sciences Journal, 17(4), 414-427.
- NOVICKYTE, L., DEGUTIS, A. (2014). The efficient market hypothesis: A critical review of literature and methodology. Ekonomika, 93(2), 7-23. DOI: 10.15388/Ekon.2014.2.3549
- NWACHUKWU, J.C., SHITTA, O. (2015). Testing the weak-form efficiency of stock markets: A comparative study of emerging and industrialised economies. International Journal of Emerging Markets, 10(3), 409-426. DOI: 10.1108/IJoEM-07-2013-011510.1108/IJoEM-07-2013-0115
- OZDEMIR, Z.A. (2008). Efficient market hypothesis: Evidence from a small open-economy. Applied Economics, 40 (5), 633-641. DOI: 10.1080/0003684060072231510.1080/00036840600722315
- PELE, D.T., VOINEAGU, V. (2008). Testing market efficiency via decomposition of stock return: Application to Romanian capital market. Romanian Journal of Economic Forecasting, 5(3), 63-79.
- PERVEZ, M., RASHID, H.U., CHOWDHURY, A.I., RAHAMAN, M. (2018). Predicting the stock market efficiency in weak-form: A study on Dhaka stock exchange. International Journal of Economics and Financial Issues, 8(5), 88-95.
- PHILLIPS P.C.B., PERRON, P. (1988). Testing for a unit root in time series regression, Biometrika, 75(2), 335-346. DOI: 10.1093/biomet/75.2.33510.1093/biomet/75.2.335
- PHIRI, A. (2015). Efficient market hypothesis in South Africa: Evidence from linear and nonlinear unit root tests. Managing Global Transitions, 13(4), 369-387.
- RAHMAN, M.S., SIMON, H.M., HOSSAIN, M.M. (2016). An empirical analysis of weak-form market efficiency: Evidence from Chittagong stock exchange (CSE) of Bangladesh. Journal of Statistics Applications & Probability, 5(3), 535-542. DOI: 10.18576/jsap/050317
- RYALY, V.R., KUMAR, K.K., URLANKULA, B. (2014). A study on weak-form of market efficiency in selected Asian stock markets. Indian Journal of Finance, 8(11), 34-43. DOI: 10.17010/ijf/2014/v8i11/71842
- SAID, A., HARPER, A. (2015). The efficiency of the Russian stock market: A revisit of the random walk hypothesis. Academy of Accounting and Finance Studies Journal, 19(1), 42-48.
- SAKARYA, S., ZEREN, F., AKKUS, H. T. (2018). Testing the weak form market efficiency in participation indices: An application on Turkey. AKU Journal of Economics and Administrative Sciences, 20(1), 101-113
- SAMUELSON, P. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, Spring 6, 41-49.
- SARIKAMIS, C. (2000). Sermaye pazarları. Istanbul: Alfa Yayinlari, Genisletilmis 4. Baskı.
- SMITH, G., RYOO, H-J. (2003). Variance ratio tests of the random walk hypothesis for European emerging stock markets. European Journal of Finance, 9(3), 290-300. DOI: 10.1080/135184702100002577710.1080/1351847021000025777
- TARI, R. (2014). Ekonometri, Kocaeli: Umuttepe Yayinlari.
- TOKIĆ, S., BOLFEK, B., PEŠA, A. R. (2018). Testing efficient market hypothesis in developing eastern european countries. Investment Management and Financial Innovations, 15(2), 281-291. DOI: 10.21511/imfi.15(2).2018.25
- WORTHINGTON, A., HIGGS, H. (2004). Random walks and market efficiency in European equity markets. Global Journal of Finance and Economics, 1(1), 59-78.
- WORTHINGTON, A., HIGGS, H. (2006). Weak-form market efficiency in Asian emerging and developed equity markets: Comparative tests of random walk behavior. Accounting Research Journal, 19(1), 54-63.
- VASCONCELOS, C.B.F., JUNIOR, L.A.L. (2016). Validity of purchasing power parity for selected Latin American countries: Linear and non-linear unit root tests. EconomiA, 17(1), 114-125. DOI: 10.1016/j.econ.2015.11.00110.1016/j.econ.2015.11.001
- YANG, G.J-A., LEE, C., LEE, C-H. (2015). Random walk in the MIST. Journal of Asia-Pacific Business, 16(2), 92-104. DOI: 10.1080/10599231.2015.102830310.1080/10599231.2015.1028303
- YARTEY, C., ADJASI, C.K. (2007). Stock market development in Sub-Saharan Africa: Critical issue and challenges. International Monetary Fund Working Paper, No. 07/209.
- YUCEL, O. (2016). Financial market efficiency: A study on Borsa Istanbul. International Review of Economics and Management, 4(3), 107-123.
- ZAUBIA, K., ALNAHLEH, M. (2010). Financial markets efficiency: Empirical evidence from some Middle East & North Africa countries (MENA). International Research Journal of Finance and Economics, 49, 180-193.
- ZEREN, F., KONUK, F. (2013). Testing the random walk hypothesis for emerging markets: Evidence from linear and non-linear unit root tests. Romanian Economic and Business Review, 8(4), 61-71.