BibTex RIS Cite

Efficiency of The Foreign Exchange Rate Market: An Analysis for Turkey

Year 2014, Volume: 14 Issue: 4, 621 - 636, 01.11.2014

Abstract

In the literature, the effectiveness of the foreign exchange market is an important concept for traders and policy makers, if price reflects all information in the market, this market is said to be efficient. In other words, Fama et al. (1969) term of the efficient market were defined as a market which “ adapt quickly to new information”. At the weak form efficiency, in the market, all prices, past prices or returns can be reflected in all the information, on the other hand, at the semi-strong form efficiency, the exchange rates are not only reflect past information concerning exchange rates, but also they are reflect other currency exchange rates and information concerning macroeconomic variables. The main purpose of this study is whether TL / $ and TL / Euro exchange rate markets are efficient at the weak and semi-strong form or not is to analyze by using unit root and cointegration methods with structural breaks during the period 2006:04-2013:12 in Turkey. Analysis results show that the Turkish foreign exchange market is efficient at the weak form and not efficient at the semi-strong form and forward rate unbiasedness hypothesis is not valid for Turkey

References

  • Abaan, E.D. (1995) “Türkiye’de Serbest Döviz Piyasası Etkinliği” T.C.M.B. Araştırma Genel Müdürlüğü, Tartışma Tebliğ, 9512:253-295.
  • Ahmad, R., Rhee, S.G. ve Wong, Y.M. (2012) “Foreign Exchange Market Efficiency Under Recent Crises: Asia Pasific Focus” Journal of International Money and Finance, 31:1574-1592.
  • Akal, M. Birgili, E.V. ve Durmuşkaya, S. (2012) “IMKB30, IMKB100, Dolar ve Avro Futures Piyasalarının Etkinliğinin Testi” Business and Economics Research Journal, 3(4):1-20.
  • Allen, D.E. ve Taco, P. (2007) “Is the Australian Forex Market Efficient? A Test of the Forward Rate Unbiasedness Hypothesis” www.ecu.edu.au/_data/assets/ pdf_file/0017/40706/ wp0706da.pdf, (15.07.2013).
  • Azad, A.S.M. (2009) “Random Walk and Efficiency Tests in the Asia Pasific Foreign Exchange Markets: Evidence from the Post – Asian Currency Crisis Data” Research in International Business and Finance, 23: 322-338.
  • Bachelier, L. (1900) “Theorie de la speculation” Annales ScientiŞques de l’Ecole Normale Superieure Ser 3(17):21-86.
  • Bai, J. ve Perron, P. (1998) “Estimating and Testing Linear Models with Multiple Structural Changes” Econometrica, 66: 47-78.
  • Baillie, R. T. ve Bollerslev, T. (1994) “Cointegration, Fractional Cointegration, and Exchange Rate Dynamics” The Journal of Finance, 49: 737–745.
  • Beechey, M., Gruen, D. ve Vickery, J. (2000) “The Efficient Market Hypothesis: A Survey”, Reserve Bank of Australia, Research Discussion Paper, 01:1-33.
  • Bernstein, P.L. (1999) “A New Look at the EfŞcient Market Hypothesis” The Journal of Portfolio Management, 25(2):1-2.
  • Campell, J., Lo, A.W. ve Mackinly, A.C. (1997) The Econometrics of Financial Markets, USA New Jersey, Princeton University Press.
  • Ceylan, A. ve Korkmaz, T. (1993) Uygulamalı Portföy Yönetimi, Bursa, Ekin Kitapevi Yayınları.
  • Cheung, A.W.K., Su, J.J. ve Choo, A.K. (2011) “Are Euro Exchange Rates Markets Efficient? New Evidence from a Large Panel” Griffith Discussion Papers, No: 2011-09.
  • Coleman, M. (1990) “Cointegration-Based Tests of Daily Foreign Exchange Market Efficiency” Economics Letters, 32 53-59.
  • Copeland, L.S. (1991) “Cointegration Tests with Daily Exchange Rate Data” Oxford Bulletin of Economics and Statistics, 53:185-198.
  • Cowles, A. (1933) “Can Stock Market Forecasters Forecast?” Econometrica, 1(3):309-324.
  • Cuthbertson, K. (1996) Quantitative Financial Economics – Stocks, Bonds and Foreign Exchange - Series in Financial Economics and Quantitative Analysis, England, John Wiley & Sons.
  • Çiçek, M. (2014) “A Cointegration Test for Turkish Foreign Exchange Market Efficiency” Asian Economic and Financial Review, 4(4):451-471.
  • Dickey, D.A. ve Fuller, W.A. (1979) “Distribution of the Estimators for Autoregressive Time Series with a Unit Root” Journal of the American Statistical Association, 74:427-431.
  • Dowla, A. (1995) “Efficiency of the Black Market for Foreign Exchange” International Economic Journal, 9(2): 89-99.
  • Engle, R.R. ve Granger, C.W.J. (1987) “Cointegration and Error Correction: Representation, Estimation and Testing” Econometrica, 55:251-276.
  • Fama, F.E. (1965) “Random Walks in Stock Market Prices”, Edwim et al. (eds.) Security Evaluation and Portfolio Analyst, USA, Prentice-Hall Inc.
  • Fama, F.E., Fisher, L., Jensen, M.C. ve Roll, R. (1969) “The Adjustment of Stock Prices to New Information” International Economic Review, 10(1):1-21.
  • Fama, F.E. (1970) “Efficent Capital Markets: A Review of Theory Empirical Work” The Journal of Finance, 25(2):383-417.
  • Fama F.E. (1991) “Efficient Capital Markets: II” The Journal of Finance, 46 (5):1575-1617.
  • Fama, F.E. (1998) “Market EfŞciency, Long-term Returns and Behavioral Finance” Journal of Financial Economics, 49 (3):283-306.
  • Giannellis, N. ve Papadopoulos, A. P. (2006) “Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-based Approach” Economic Modelling, 26(1): 155-66.
  • Gregory, A.W. ve Hansen, B.E. (1996a) “Residual- Based Tests for Cointegration in Models with Regime Shifts” Journal of Econometrics, 70: 99-126.
  • Gregory, A.W. ve Hansen, B.E. (1996b) “Tests for Cointegration in Models with Regime and
  • Trend Shifts” Oxford Bulletin of Economics and Statistics, 58:555-560.
  • Gregory, A.W., Nason, J.M. ve Watt, D.G. (1996) “Testing for Structural Breaks in Cointegration Relationships” Journal of Econometrics, 71:321-341.
  • Grossman, S.J. ve Stiglitz, J.E. (1980) “On the Impossibility of Informationally EfŞcient Markets” The American Economic Review, 70(3):393-408.
  • Hakkio, C.S. ve Rush, M. (1989) “Market Efficiency and Cointegration: An Application to the Sterling and Deutschmark Exchange Markets” Journal of International Money and Finance, 8:75-88.
  • Hatemi-J, A. (2008) “Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration” Empirical Economics, 35:497-505.
  • Iwatsubo, K. ve Kitamura, Y. (2008) “Intraday Evidence of the Informational Efficiency of the Yen/ Dollar Exchange Rate” Kobe University Discussion Paper, No:0801.
  • İbrahim, J., Long, Y., Ghani, H.A. ve Salleh, S.I.M.(2011) “Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test” International Journal of Business and Management, 6(6):55-65.
  • Jensen, M.C. (1978) “Some Anomalous Evidence Regarding Market EfŞciency” Journal of Financial Economics, 6(2–3):95-101.
  • Johansen, S. (1988) “Statistical Analysis of Cointegration Vectors” Journal of Economic Dynamics and Control, 12: 231–254.
  • Johansen, S. (1991) “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models” Econometrica, 59: 1551-1580.
  • Kapetanios, G. (2005) “Unit-Root Testing Against the Alternative Hypothesis of up to m Structural Breaks” Journal of Time Series Analysis, 26:123-133.
  • Kıyılar, M. (1997) Etkin Pazar Kuramı ve Etkin Pazar Kuramının İrdelenmesi – Test Edilmesi, 1.Baskı, Ankara, S.P.K. Yayını No: 86.
  • Kisaka, S.E., Rose, N.W., Ganesh, P. ve Gituro, W. (2008) “An Analysis of the Efficiency of the Foreign Exchange Market in Kenya” Economics Bulletin, 14(2):1-13.
  • Kühl, M. (2007) “Cointegration in the Foreign Exchange Market and Market Efficiency Since the Introduction of the Euro: Evidence based on Bivariate Cointegration Analyses” Göttingen Discussion Papers, 68:1-28.
  • Lai, K.S. ve Lai, M. (1991) “ A Cointegration Test for Market Efficiency” The Journal of Future Markets, 11(5):567-575.
  • Laffont, J.J. ve Maskin, E.S. (1990) “The EfŞcient Market Hypothesis and Insider Trading on the Stock Market” Journal of Political Economy, 98(1):70-93.
  • Lean, H.H. ve Smyth, R. (2013) “Are Fluctuations in US Production of Renewable Energy Permanent or Transitory?” Applied Energy, 101:483-488.
  • Lee, C.C. ve Chang, C.P.L. (2007) “Mean Reversion of Inflation Rates in 19 OECD Countries: Evidence from Panel LM Unit Root Tests with Structural Breaks” Economics Bulletin, 3(23):1-15.
  • Lee, C.C. ve Chang, C.P. (2008) “Unemployment Hysteresis in OECD Countries: Centurial Time Series Evidence with Structural Breaks” Economic Modelling, 25(2):312-325.
  • Lee, J. ve Strazicich, M. C. (2003) “Minimum LM Unit Root Test with Two Structural Breaks” Review of Economics and Statistics, 85(4):1082-1089.
  • Lee, J. ve Strazicich, M.C. (2004) “Minimum LM Unit Root Test with One Structural Break”, Working Paper 04-17, http://econ.appstate.edu/RePEc/pdf/ wp0417.pdf (20.04.2012).
  • Lumsdaine, R.L. ve Papell, D.H. (1997) “Multiple Trend Breaks and The Unit Root Hypothesis” The Review of Economics and Statistics, 79(2):212- 218.
  • MacDonald, R. ve Taylor, M.P. (1992) “Exchange Rate Economics: A Survey” IMF Staff Papers, 39(1):1-57.
  • Maki, D. (2012) “Tests for Cointegration Allowing for an Unknown Number of Breaks” Economic Modelling, 29(5): 2011-2015.
  • MacDonald, R. ve Taylor, M.P. (1989) “Foreign Exchange Market Efficiency and Cointegration - Some Evidence from the Recent Float” Economics Letters, 29:63-68.
  • Megginson, W.L. (1992) Corporate Finance Theory, Addison - Wesley Edicational Publisher Inc., USA.
  • Mehrara, M. ve Oryare, A.R. (2012) “Efficient Market Hypothesis in Foreign Exchange Market Before and After the Global Financial Crisis of 2007-08” International Journal of Business and Social Science, 3(9):165-167.
  • Ortiz, E., Cabello, A., Jesus, R. de ve Johnson R. (2005) “Exchange rates, Market Efficiency and Purchasing Power Parity: Long-Run Tests for the Latin American Currencies” Problemas Del Desarrollo Rensta LatinoAmericana De Economia, 36(141):86-108.
  • Phillips, P.C.B. ve Perron, P. (1988) “Testing for a Unit Root in Time Series Regression” Biometrika, 75:335-346.
  • Phillips, P. ve Hansen, B. (1990) “Statistical Inference in Instrumental Variables Regression with I(1) Processes” Review of Economic Studies, 57:99-125.
  • Perron, P. (1989) “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis” Econometrica, 57:1361-1401.
  • Rapp, T. A. ve Sharma, S.C. (1999) “Exchange Rate Market Efficiency: Across and Within Countries” Journal of Economics and Business, 51:423-439.
  • Samuelson, P.A. (1965) “Proof that Properly EFMAANNUALMEETING/2013-Reading/papers/ complate-Wong&Ahmad.pdf, (15.07.2013). Anticipated Prices Fluctuate Randomly” Industrial Management Review, 6(2):41-49.
  • Sephton, P.S. ve Larsen, H.K. (1991) “Tests of Exchange Market Efficiency: Fragile Evidence from Unit Root Hypothesis” Journal of Business and Economic Cointegration Tests” Journal of International Money and Finance, 10:561-570.
  • Sen, A. (2003) “On Unit-Root Tests when the Alternative is a Trend-Break Stationary Process” Journal of Business and Economics Statistics, 21(1):174-184.
  • Sewell, M. (2011) “History of the Efficient Market Hypothesis” UCL Research Note, 1-14.
  • Stiglitz, J.E. (1981) “The Allocation Role of the Stock Market: Pareto Optimality and Competition” The Journal of Finance, 36(2):235-251.
  • TCMB, http://www.tcmb.gov.tr/
  • Wickremasinghe, G.B. (2004) “Efficiency of Foreign Exchange Markets: A Developing Country Perspective” ABERU Discussion Paper.
  • Wickremasinghe, G.B. (2008) “Predictability of Exchange Rates in Sri Lanka: A Test of the Efficient Market Hypothesis” Asian Academy of Management Journal of Accounting and Finance, 3(2):43-59.
  • Wong, Y.M. ve Ahmad, R. (2013) “Foreign Exchange Markets Efficiency Under Recent Crises: Evidence from the European Markets”, www.efmaefm.org/OEFMAMEETINGS /
  • Zivot, E. ve Andrews, D.W.K. (1992) “Further Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis” Journal of Business and Economic Statistics, 10(3): 251-70.

Döviz Piyasasının Etkinliği: Türkiye İçin Bir Analiz

Year 2014, Volume: 14 Issue: 4, 621 - 636, 01.11.2014

Abstract

Literatürde, döviz piyasasının etkinliği, döviz alım-satımı yapanlar ve politika yapıcılar için önemli bir kavram olup bir piyasada fiyat tüm bilgi setini yansıtıyor ise bu piyasanın etkin olduğu ifade edilmektedir. Bir diğer ifadeyle, Fama vd. (1969) etkin piyasa terimini “yeni bilgiye hızlı biçimde intibak eden” bir piyasa şeklinde tanımlamışlardır. Zayıf form etkinlikte, piyasada tüm fiyatlar, geçmiş fiyatlar veya getirilerde elde edilebilir tüm bilgiyi yansıtırken, yarı güçlü form etkinlikte ise döviz kurları sadece geçmiş döviz kurlarına ilişkin bilgiyi değil aynı zamanda diğer döviz kurları ve makroekonomik değişkenlere ilişkin bilgiyi de yansıtmaktadır. Bu çalışmanın temel amacı, Türkiye’de 2006:04-2013:12 döneminde TL/$ ve TL/Euro döviz piyasalarının zayıf ve yarı güçlü formlarda etkin olup olmadığını yapısal kırılmalı birim kök ve eşbütünleşme yöntemleriyle analiz etmektir. Analiz sonuçları, Türk döviz piyasasının zayıf formda etkin olduğunu gösterirken, yarı güçlü formda etkin olmadığını ve forward kur yansızlık hipotezinin Türkiye için geçerli olmadığını ortaya koymaktadır

References

  • Abaan, E.D. (1995) “Türkiye’de Serbest Döviz Piyasası Etkinliği” T.C.M.B. Araştırma Genel Müdürlüğü, Tartışma Tebliğ, 9512:253-295.
  • Ahmad, R., Rhee, S.G. ve Wong, Y.M. (2012) “Foreign Exchange Market Efficiency Under Recent Crises: Asia Pasific Focus” Journal of International Money and Finance, 31:1574-1592.
  • Akal, M. Birgili, E.V. ve Durmuşkaya, S. (2012) “IMKB30, IMKB100, Dolar ve Avro Futures Piyasalarının Etkinliğinin Testi” Business and Economics Research Journal, 3(4):1-20.
  • Allen, D.E. ve Taco, P. (2007) “Is the Australian Forex Market Efficient? A Test of the Forward Rate Unbiasedness Hypothesis” www.ecu.edu.au/_data/assets/ pdf_file/0017/40706/ wp0706da.pdf, (15.07.2013).
  • Azad, A.S.M. (2009) “Random Walk and Efficiency Tests in the Asia Pasific Foreign Exchange Markets: Evidence from the Post – Asian Currency Crisis Data” Research in International Business and Finance, 23: 322-338.
  • Bachelier, L. (1900) “Theorie de la speculation” Annales ScientiŞques de l’Ecole Normale Superieure Ser 3(17):21-86.
  • Bai, J. ve Perron, P. (1998) “Estimating and Testing Linear Models with Multiple Structural Changes” Econometrica, 66: 47-78.
  • Baillie, R. T. ve Bollerslev, T. (1994) “Cointegration, Fractional Cointegration, and Exchange Rate Dynamics” The Journal of Finance, 49: 737–745.
  • Beechey, M., Gruen, D. ve Vickery, J. (2000) “The Efficient Market Hypothesis: A Survey”, Reserve Bank of Australia, Research Discussion Paper, 01:1-33.
  • Bernstein, P.L. (1999) “A New Look at the EfŞcient Market Hypothesis” The Journal of Portfolio Management, 25(2):1-2.
  • Campell, J., Lo, A.W. ve Mackinly, A.C. (1997) The Econometrics of Financial Markets, USA New Jersey, Princeton University Press.
  • Ceylan, A. ve Korkmaz, T. (1993) Uygulamalı Portföy Yönetimi, Bursa, Ekin Kitapevi Yayınları.
  • Cheung, A.W.K., Su, J.J. ve Choo, A.K. (2011) “Are Euro Exchange Rates Markets Efficient? New Evidence from a Large Panel” Griffith Discussion Papers, No: 2011-09.
  • Coleman, M. (1990) “Cointegration-Based Tests of Daily Foreign Exchange Market Efficiency” Economics Letters, 32 53-59.
  • Copeland, L.S. (1991) “Cointegration Tests with Daily Exchange Rate Data” Oxford Bulletin of Economics and Statistics, 53:185-198.
  • Cowles, A. (1933) “Can Stock Market Forecasters Forecast?” Econometrica, 1(3):309-324.
  • Cuthbertson, K. (1996) Quantitative Financial Economics – Stocks, Bonds and Foreign Exchange - Series in Financial Economics and Quantitative Analysis, England, John Wiley & Sons.
  • Çiçek, M. (2014) “A Cointegration Test for Turkish Foreign Exchange Market Efficiency” Asian Economic and Financial Review, 4(4):451-471.
  • Dickey, D.A. ve Fuller, W.A. (1979) “Distribution of the Estimators for Autoregressive Time Series with a Unit Root” Journal of the American Statistical Association, 74:427-431.
  • Dowla, A. (1995) “Efficiency of the Black Market for Foreign Exchange” International Economic Journal, 9(2): 89-99.
  • Engle, R.R. ve Granger, C.W.J. (1987) “Cointegration and Error Correction: Representation, Estimation and Testing” Econometrica, 55:251-276.
  • Fama, F.E. (1965) “Random Walks in Stock Market Prices”, Edwim et al. (eds.) Security Evaluation and Portfolio Analyst, USA, Prentice-Hall Inc.
  • Fama, F.E., Fisher, L., Jensen, M.C. ve Roll, R. (1969) “The Adjustment of Stock Prices to New Information” International Economic Review, 10(1):1-21.
  • Fama, F.E. (1970) “Efficent Capital Markets: A Review of Theory Empirical Work” The Journal of Finance, 25(2):383-417.
  • Fama F.E. (1991) “Efficient Capital Markets: II” The Journal of Finance, 46 (5):1575-1617.
  • Fama, F.E. (1998) “Market EfŞciency, Long-term Returns and Behavioral Finance” Journal of Financial Economics, 49 (3):283-306.
  • Giannellis, N. ve Papadopoulos, A. P. (2006) “Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-based Approach” Economic Modelling, 26(1): 155-66.
  • Gregory, A.W. ve Hansen, B.E. (1996a) “Residual- Based Tests for Cointegration in Models with Regime Shifts” Journal of Econometrics, 70: 99-126.
  • Gregory, A.W. ve Hansen, B.E. (1996b) “Tests for Cointegration in Models with Regime and
  • Trend Shifts” Oxford Bulletin of Economics and Statistics, 58:555-560.
  • Gregory, A.W., Nason, J.M. ve Watt, D.G. (1996) “Testing for Structural Breaks in Cointegration Relationships” Journal of Econometrics, 71:321-341.
  • Grossman, S.J. ve Stiglitz, J.E. (1980) “On the Impossibility of Informationally EfŞcient Markets” The American Economic Review, 70(3):393-408.
  • Hakkio, C.S. ve Rush, M. (1989) “Market Efficiency and Cointegration: An Application to the Sterling and Deutschmark Exchange Markets” Journal of International Money and Finance, 8:75-88.
  • Hatemi-J, A. (2008) “Tests for Cointegration with Two Unknown Regime Shifts with an Application to Financial Market Integration” Empirical Economics, 35:497-505.
  • Iwatsubo, K. ve Kitamura, Y. (2008) “Intraday Evidence of the Informational Efficiency of the Yen/ Dollar Exchange Rate” Kobe University Discussion Paper, No:0801.
  • İbrahim, J., Long, Y., Ghani, H.A. ve Salleh, S.I.M.(2011) “Weak-Form Efficiency of Foreign Exchange Market in the Organisation for Economic Cooperation and Development Countries: Unit Root Test” International Journal of Business and Management, 6(6):55-65.
  • Jensen, M.C. (1978) “Some Anomalous Evidence Regarding Market EfŞciency” Journal of Financial Economics, 6(2–3):95-101.
  • Johansen, S. (1988) “Statistical Analysis of Cointegration Vectors” Journal of Economic Dynamics and Control, 12: 231–254.
  • Johansen, S. (1991) “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models” Econometrica, 59: 1551-1580.
  • Kapetanios, G. (2005) “Unit-Root Testing Against the Alternative Hypothesis of up to m Structural Breaks” Journal of Time Series Analysis, 26:123-133.
  • Kıyılar, M. (1997) Etkin Pazar Kuramı ve Etkin Pazar Kuramının İrdelenmesi – Test Edilmesi, 1.Baskı, Ankara, S.P.K. Yayını No: 86.
  • Kisaka, S.E., Rose, N.W., Ganesh, P. ve Gituro, W. (2008) “An Analysis of the Efficiency of the Foreign Exchange Market in Kenya” Economics Bulletin, 14(2):1-13.
  • Kühl, M. (2007) “Cointegration in the Foreign Exchange Market and Market Efficiency Since the Introduction of the Euro: Evidence based on Bivariate Cointegration Analyses” Göttingen Discussion Papers, 68:1-28.
  • Lai, K.S. ve Lai, M. (1991) “ A Cointegration Test for Market Efficiency” The Journal of Future Markets, 11(5):567-575.
  • Laffont, J.J. ve Maskin, E.S. (1990) “The EfŞcient Market Hypothesis and Insider Trading on the Stock Market” Journal of Political Economy, 98(1):70-93.
  • Lean, H.H. ve Smyth, R. (2013) “Are Fluctuations in US Production of Renewable Energy Permanent or Transitory?” Applied Energy, 101:483-488.
  • Lee, C.C. ve Chang, C.P.L. (2007) “Mean Reversion of Inflation Rates in 19 OECD Countries: Evidence from Panel LM Unit Root Tests with Structural Breaks” Economics Bulletin, 3(23):1-15.
  • Lee, C.C. ve Chang, C.P. (2008) “Unemployment Hysteresis in OECD Countries: Centurial Time Series Evidence with Structural Breaks” Economic Modelling, 25(2):312-325.
  • Lee, J. ve Strazicich, M. C. (2003) “Minimum LM Unit Root Test with Two Structural Breaks” Review of Economics and Statistics, 85(4):1082-1089.
  • Lee, J. ve Strazicich, M.C. (2004) “Minimum LM Unit Root Test with One Structural Break”, Working Paper 04-17, http://econ.appstate.edu/RePEc/pdf/ wp0417.pdf (20.04.2012).
  • Lumsdaine, R.L. ve Papell, D.H. (1997) “Multiple Trend Breaks and The Unit Root Hypothesis” The Review of Economics and Statistics, 79(2):212- 218.
  • MacDonald, R. ve Taylor, M.P. (1992) “Exchange Rate Economics: A Survey” IMF Staff Papers, 39(1):1-57.
  • Maki, D. (2012) “Tests for Cointegration Allowing for an Unknown Number of Breaks” Economic Modelling, 29(5): 2011-2015.
  • MacDonald, R. ve Taylor, M.P. (1989) “Foreign Exchange Market Efficiency and Cointegration - Some Evidence from the Recent Float” Economics Letters, 29:63-68.
  • Megginson, W.L. (1992) Corporate Finance Theory, Addison - Wesley Edicational Publisher Inc., USA.
  • Mehrara, M. ve Oryare, A.R. (2012) “Efficient Market Hypothesis in Foreign Exchange Market Before and After the Global Financial Crisis of 2007-08” International Journal of Business and Social Science, 3(9):165-167.
  • Ortiz, E., Cabello, A., Jesus, R. de ve Johnson R. (2005) “Exchange rates, Market Efficiency and Purchasing Power Parity: Long-Run Tests for the Latin American Currencies” Problemas Del Desarrollo Rensta LatinoAmericana De Economia, 36(141):86-108.
  • Phillips, P.C.B. ve Perron, P. (1988) “Testing for a Unit Root in Time Series Regression” Biometrika, 75:335-346.
  • Phillips, P. ve Hansen, B. (1990) “Statistical Inference in Instrumental Variables Regression with I(1) Processes” Review of Economic Studies, 57:99-125.
  • Perron, P. (1989) “The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis” Econometrica, 57:1361-1401.
  • Rapp, T. A. ve Sharma, S.C. (1999) “Exchange Rate Market Efficiency: Across and Within Countries” Journal of Economics and Business, 51:423-439.
  • Samuelson, P.A. (1965) “Proof that Properly EFMAANNUALMEETING/2013-Reading/papers/ complate-Wong&Ahmad.pdf, (15.07.2013). Anticipated Prices Fluctuate Randomly” Industrial Management Review, 6(2):41-49.
  • Sephton, P.S. ve Larsen, H.K. (1991) “Tests of Exchange Market Efficiency: Fragile Evidence from Unit Root Hypothesis” Journal of Business and Economic Cointegration Tests” Journal of International Money and Finance, 10:561-570.
  • Sen, A. (2003) “On Unit-Root Tests when the Alternative is a Trend-Break Stationary Process” Journal of Business and Economics Statistics, 21(1):174-184.
  • Sewell, M. (2011) “History of the Efficient Market Hypothesis” UCL Research Note, 1-14.
  • Stiglitz, J.E. (1981) “The Allocation Role of the Stock Market: Pareto Optimality and Competition” The Journal of Finance, 36(2):235-251.
  • TCMB, http://www.tcmb.gov.tr/
  • Wickremasinghe, G.B. (2004) “Efficiency of Foreign Exchange Markets: A Developing Country Perspective” ABERU Discussion Paper.
  • Wickremasinghe, G.B. (2008) “Predictability of Exchange Rates in Sri Lanka: A Test of the Efficient Market Hypothesis” Asian Academy of Management Journal of Accounting and Finance, 3(2):43-59.
  • Wong, Y.M. ve Ahmad, R. (2013) “Foreign Exchange Markets Efficiency Under Recent Crises: Evidence from the European Markets”, www.efmaefm.org/OEFMAMEETINGS /
  • Zivot, E. ve Andrews, D.W.K. (1992) “Further Evidence on the Great Crash, the Oil Price Shock and the Unit Root Hypothesis” Journal of Business and Economic Statistics, 10(3): 251-70.
There are 71 citations in total.

Details

Other ID JA39CF99MA
Journal Section Research Article
Authors

Burcu Berke This is me

Burcu Özcan This is me

Hatice İşın Dizdarlar This is me

Publication Date November 1, 2014
Published in Issue Year 2014 Volume: 14 Issue: 4

Cite

APA Berke, B., Özcan, B., & Dizdarlar, H. İ. (2014). Efficiency of The Foreign Exchange Rate Market: An Analysis for Turkey. Ege Academic Review, 14(4), 621-636.
AMA Berke B, Özcan B, Dizdarlar Hİ. Efficiency of The Foreign Exchange Rate Market: An Analysis for Turkey. ear. November 2014;14(4):621-636.
Chicago Berke, Burcu, Burcu Özcan, and Hatice İşın Dizdarlar. “Efficiency of The Foreign Exchange Rate Market: An Analysis for Turkey”. Ege Academic Review 14, no. 4 (November 2014): 621-36.
EndNote Berke B, Özcan B, Dizdarlar Hİ (November 1, 2014) Efficiency of The Foreign Exchange Rate Market: An Analysis for Turkey. Ege Academic Review 14 4 621–636.
IEEE B. Berke, B. Özcan, and H. İ. Dizdarlar, “Efficiency of The Foreign Exchange Rate Market: An Analysis for Turkey”, ear, vol. 14, no. 4, pp. 621–636, 2014.
ISNAD Berke, Burcu et al. “Efficiency of The Foreign Exchange Rate Market: An Analysis for Turkey”. Ege Academic Review 14/4 (November 2014), 621-636.
JAMA Berke B, Özcan B, Dizdarlar Hİ. Efficiency of The Foreign Exchange Rate Market: An Analysis for Turkey. ear. 2014;14:621–636.
MLA Berke, Burcu et al. “Efficiency of The Foreign Exchange Rate Market: An Analysis for Turkey”. Ege Academic Review, vol. 14, no. 4, 2014, pp. 621-36.
Vancouver Berke B, Özcan B, Dizdarlar Hİ. Efficiency of The Foreign Exchange Rate Market: An Analysis for Turkey. ear. 2014;14(4):621-36.