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Globalization and Time-Varying Market Efficiency: An Innovative Approach
Abstract
The main purpose of this study is to determine time-varying weak form efficiency of 18 Borsa İstanbul sub-sector indices. In line with this purpose weak form efficiency is tested with innovative technique alongside traditional methods. The study indicated that bank, real estate invest trusts, holding & investments, telecommunication, wood, paper & printing, insurance, tourism and transportation indices are not linear. The weak form efficiency of aforementioned indices is analyzed with a rolling KSS unit root test developed by Yılancı. It is concluded depending on the applied tests that weak form efficiency of all of the nonlinear sub-sector indices has a time-varying structure. Results also showed that global scale events affect weak form efficiency of the indices in different durations. Findings gained from the study can be used by investors in strategic portfolio management decisions and by policy makers as well.
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