Omay, Tolga

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https://hdl.handle.net/20.500.14411/7237
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T.,Omay
Omay, Tolga
O., Tolga
Tolga, Omay
Omay,T.
O.,Tolga
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Omay T.
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Profesor Doktor
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tolga.omay@atilim.edu.tr
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Economics
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23978235900
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WoS Researcher ID
GDI-4259-2022

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80

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1218

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65

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55

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4

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431

Scopus Citation Count

500

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13

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6.63

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7.69

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32

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6

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Applied Economics5
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Springer Proceedings in Business and Economics -- 4th International Conference on Banking and Fice Perspectives, ICBFP 2019 -- 2 May 2019 through 3 May 2019 -- Famagusta -- 2737293
Mathematics3
Environmental Science and Pollution Research2
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End date: 2019Subject: Market efficiency

Scholarly Output Search Results

Now showing 1 - 2 of 2
  • Thumbnail Image
    Article
    Citation - WoS: 9
    Citation - Scopus: 9
    Market Development and Market Efficiency: Evidence Based on Nonlinear Panel Unit Root Tests
    (Routledge Journals, Taylor & Francis Ltd, 2019) Aktan, Ceyda; Iren, Perihan; Omay, Tolga
    This study tests the weak form market efficiency of 32 European stock markets. Utilizing monthly data from June 2006 to June 2017, six different, newly developed nonlinear panel root tests were applied in three different groups of European markets: Frontier, Emerging and Developed. The results show that there is a meaningful relationship between different levels of economic development and the weak form market efficiency. Considering the nonlinear structure of the stock market indices, use of linear models might lead to wrong conclusions regarding market efficiency. Using several nonlinear panel root tests, the results of this study shed more light on the true data generating process of the stock market indices and more appropriately model market efficiency.
  • Thumbnail Image
    Conference Object
    Nonlinearity in Emerging European Markets: Pre and Post Crisis Periods
    (Springer Science and Business Media B.V., 2019) Aktan,C.; Omay,T.
    Investigating the efficiency of emerging markets has been a popular research trend in the past decade, showing implications on both the economy and the policies of the countries in question. Market efficiency, in other words, informational efficiency, states that if markets are fully efficient, then all information is instantly reflected the prices of stocks. However, there are many arguments for and against this theory, especially on the discussions of the 2008 Global Financial Crisis. These past studies are seen to be showing mixed results. It is important the note that there is a nonlinear movement among the stock prices within stock markets and this needs to be incorporated in the tests that are used to measure their efficiency in order to obtain more accurate results. Therefore, in this study, we have tested the weak form efficiency of the emerging markets located in Europe, namely, Czech Republic, Greece, Hungary, Poland, Turkey, and Russia. Effects of the 2008 Global Financial Crisis were put forward by taking two different time periods (Pre: November 2005–September 2008 and Post: October 2008–February 2019—Crisis) and applying newly developed nonlinear unit root tests. Results of the study supported previous research and showed that the efficiency of most markets changed in the post-crisis period from efficient to inefficient. © 2019, Springer Nature Switzerland AG.