Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application

Serkan Eryılmaz; Feyyaz Zeren; Tayfun Yılmaz

doi:10.54821/uiecd.1568223

EN TR

Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application

Abstract

In this study, the validity of the Adaptive Market Hypothesis (AMH) for the Fragile Five countries (India, Brazil, Indonesia, Turkey, and South Africa) was investigated through daily data for the period 01.09.2013-30.06.2024. As a result of the time-varying KSS unit root test developed by Kapetanios, Shin and Snell (2003), it was found that the periodic weak form of market efficiency is valid for the Fragile Five countries and the AMH was confirmed for these markets. Therefore, it is understood that the random walk hypothesis is periodically valid and investors who use technical analysis methods have the potential to earn higher-than-normal returns when the random walk is not valid.

Keywords

References

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Details

Primary Language

English

Subjects

Finance, Financial Markets and Institutions

Journal Section

Research Article

Authors

Serkan Eryılmaz
0000-0002-8537-5607
Türkiye

Feyyaz Zeren ^*
0000-0003-0163-5916
Türkiye

Tayfun Yılmaz
0000-0002-7127-2017
Türkiye

Publication Date

March 31, 2025

Submission Date

October 16, 2024

Acceptance Date

February 16, 2025

Published in Issue

Year 2025 Volume: 7 Number: 1

DOI

https://doi.org/10.54821/uiecd.1568223

IZ

https://izlik.org/JA95AA69XF

Cite

RIS / Bibtex

APA

Eryılmaz, S., Zeren, F., & Yılmaz, T. (2025). Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application. International Journal of Business and Economic Studies, 7(1), 70-80. https://doi.org/10.54821/uiecd.1568223

AMA

1.Eryılmaz S, Zeren F, Yılmaz T. Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application. BES JOURNAL. 2025;7(1):70-80. doi:10.54821/uiecd.1568223

Chicago

Eryılmaz, Serkan, Feyyaz Zeren, and Tayfun Yılmaz. 2025. “Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application”. International Journal of Business and Economic Studies 7 (1): 70-80. https://doi.org/10.54821/uiecd.1568223.

EndNote

Eryılmaz S, Zeren F, Yılmaz T (March 1, 2025) Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application. International Journal of Business and Economic Studies 7 1 70–80.

IEEE

[1]S. Eryılmaz, F. Zeren, and T. Yılmaz, “Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application”, BES JOURNAL, vol. 7, no. 1, pp. 70–80, Mar. 2025, doi: 10.54821/uiecd.1568223.

ISNAD

Eryılmaz, Serkan - Zeren, Feyyaz - Yılmaz, Tayfun. “Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application”. International Journal of Business and Economic Studies 7/1 (March 1, 2025): 70-80. https://doi.org/10.54821/uiecd.1568223.

JAMA

1.Eryılmaz S, Zeren F, Yılmaz T. Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application. BES JOURNAL. 2025;7:70–80.

MLA

Eryılmaz, Serkan, et al. “Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application”. International Journal of Business and Economic Studies, vol. 7, no. 1, Mar. 2025, pp. 70-80, doi:10.54821/uiecd.1568223.

Vancouver

1.Serkan Eryılmaz, Feyyaz Zeren, Tayfun Yılmaz. Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application. BES JOURNAL. 2025 Mar. 1;7(1):70-8. doi:10.54821/uiecd.1568223

Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application

Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application

Abstract

Keywords

Adaptif Piyasa Hipotezinin Kırılgan Beşli Ülkeleri için Test Edilmesi: Zamanla Değişen KSS Birim Kök Testi Uygulaması

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