Mustafa TORUN, Serdar KURT

3213

TESTING WEAK AND SEMI-STRONG FORM EFFICIENCY OF STOCK EXCHANGES IN EUROPEAN MONETARY UNION COUNTRIES: PANEL DATA CAUSALITY AND CO-INTEGRATION ANALYSIS

This study investigated that whether or not there is weak and semi-strong form efficiency of stock ex-changes in European Monetary Union Countries with panel data variables stock market price index, con-sumer price index, purchasing power of euro, unemployment. In order to test the weak form efficiency, we used panel unit root tests and also for the testing semi-strong form efficiency panel co-integration and causality analysis. The result from unit root analysis show that stock markets of European Monetary Un-ion countries is weak efficient. According to results of co-integration and causality analysis, some coun-tries aren’t semi-strong form efficient.
Anahtar Kelimeler:

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TESTING WEAK AND SEMI-STRONG FORM EFFICIENCY OF STOCK EXCHANGES IN EUROPEAN MONETARY UNION COUNTRIES: PANEL DATA CAUSALITY AND CO-INTEGRATION ANALYSIS

This study investigated that whether or not there is weak and semi-strong form efficiency of stock ex-changes in European Monetary Union Countries with panel data variables stock market price index, con-sumer price index, purchasing power of euro, unemployment. In order to test the weak form efficiency, we used panel unit root tests and also for the testing semi-strong form efficiency panel co-integration and causality analysis. The result from unit root analysis show that stock markets of European Monetary Un-ion countries is weak efficient. According to results of co-integration and causality analysis, some coun-tries aren’t semi-strong form efficient.
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Uluslararası İktisadi ve İdari İncelemeler Dergisi-Cover
  • ISSN: 1307-9832
  • Yayın Aralığı: Yılda 4 Sayı
  • Başlangıç: 2008
  • Yayıncı: Kenan ÇELİK
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