Testing the Efficiency of Emerging Markets: Evidence From Nonlinear Panel Unit Tests

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Testing the Efficiency of Emerging Turgutopbaş Omay Pan10.pdf (817.77 KB)

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2023

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Savez Ekonomista Vojvodine

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Economics
(1997)
Founded in 1997, the Department of Economics is among the founding departments of our University. The Department offers two extensive undergraduate programs, either in English or in Turkish. Our undergraduate programs are catered to developing our students’ skills of analytical thinking, and to practical education. In this regard, the Social Sciences Research and Training Laboratory, founded under the guidance of our department, offers hands-on training to our own students, students and academicians from other universities, and public institutions. Our Department also offers a Graduate Degree Program in Applied Economy and a Doctorate Degree Program in Political Economy for graduates of undergraduate and graduate degree programs.
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International Trade and Logistics
Commonly paired with the term logistics, international trade is an irreplaceable, ever-developing element that even pioneers theory with its practices. International trade and logistics is a field that involves developing areas of commerce such as “E-Commerce” and utilizes state-of-the-art technology. As we all know, E-Commerce reaches a volume of trillions of dollars due to special days and celebrations; whereas logistics is what fleshes it out. In addition, while e-commerce gains popularity during the global Covid-19 outbreak, logistics is what deems storage, transportation and customs duties possible. At our Department, the education is offered in English with a program and a staff that grasp development; in addition to hands-on training at our simulation center. Assigning expert academicians and instructors, the department grants the opportunity to make observations in turkey or abroad, every year and in each semester. Similarly, our Department sends students to Erasmus programs, every year. Thus, our graduates are never unemployed. Maintaining our state of being “the only”, “the first”, “and the best” in education, social life, and sports..

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Abstract

In this study, we investigate market efficiency considering nonlinear-ities by testing the weak-form market efficiency of the stock markets of Brazil, China, Russia, Turkey, and South Africa using recently proposed nonlinear panel unit root tests. The stock markets of these emerging countries are deliberately selected for their market capitalization to form a homogenous panel. The results of nonlinear models indicate that the stock market indexes are stationary and weak-form inefficient. This finding contributes to the contradictory results of the prior research using linear and nonlinear models about the efficiency of emerging stock markets in favor of nonlinear ones. Furthermore, we propose that studies using financial variables consider such nonlinearity in order to achieve more ac-curacy in findings related to such studies.

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Market efficiency, Stock market, Weak-form efficiency, ESTAR models

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Q4

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Q2

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Volume

70

Issue

2

Start Page

261

End Page

278

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https://doi.org/10.2298/PAN200309011T
 https://hdl.handle.net/20.500.14411/2554

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