Efficiency of the Turkish stock exchange with respect to monetary variables: A cointegration analysis

European Journal of Operational Research

Volumn 90, Issue 3, 1996, Pages 566-576

  Muradoglu, Yaz Gulnur ^a   Metin, Kivilcim ^a  

^a BILKENT UNIVERSITY   (Turkey)

Author keywords

Economics; Emerging markets; Finance; Stock price; Time series

Indexed keywords

COSTS; ECONOMICS; EFFICIENCY; FINANCE; MARKETING; NUMERICAL ANALYSIS; TIME SERIES ANALYSIS;

COINTEGRATION ANALYSIS; EMERGING MARKETS; MONETARY VARIABLES; STOCK PRICES; TIME SERIES ECONOMETRICS; TURKISH STOCK EXCHANGE;

OPERATIONS RESEARCH;

EID: 0030144890     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/0377-2217(95)00071-2     Document Type: Article

References (31)

1. Balvers, R.J., Cosimano, T.F., and McDonald, B. (1990), "Predicting stock returns in efficient markets", The Journal of Finance 45, 1109-1128.
2. Barone, E. (1990), "The Italian stock market: Efficiency and calendar anomalies", Journal of Banking and Finance 14, 483-510.
3. Boumahdi, R., and Thomas, A. (1991), "Testing for unit roots panel data: Application to the French stock market efficiency", Economics Letters 37, 77-79.
4. Cochran, S. J., and Defina, R.H. (1993), "Inflation's negative effects on real stock prices: New evidence and a test of the proxy effect hypothesis", Applied Economics 25, 263-274.
5. Darrat, A.F., and Mukherjee, T.K. (1987), "The behavior of the stock market in a developing economy", Economics Letters 22, 273-278.
6. Dickey, D.A., and Fuller, W.A. (1981), "Likelihood ratio statistics for autoregressive time series with a unit root", Econometrica 49, 1057-1072.
7. Engle, R.F., and Granger, C.W. (1987), "Cointegration and error correction: Representation, estimation, and testing", Econometrica 55, 251-276.
8. Engle, R.F., and Yoo, B.S. (1987), "Forecasting and testing in co-integrated systems", Journal of Eonometrics 35, 143-159.
9. Erol, U., and Aydogan, K. (1991), "Asset pricing in an emerging market: The Turkish case", Paper presented at the 18th Annual Meeting of the European Finance Association, Rotterdam, August, 1991, 29-31.
10. Fama, E.F. (1981), "Stock returns, real activity, inflation, and money", The American Economic Review 71, 545-565.
11. Fama, E.F. (1990), "Stock returns, expected returns, and real activity", The Journal of Finance 45, 1089-1108.
12. Fama, E.F. (1991), "Efficient capital markets: II", The Journal of Finance 46, 1575-1617.
13. Friedman, M. (1988), "Money and the stock market", Journal of Political Economy 2, 221-245.
14. Fuller, W.A. (1976), Introduction to Statistical Time Series, Wiley, New York.
15. Geske, R., and Roll, R. (1983), "The fiscal and monetary linkage between stock returns and inflation", The Journal of Finance 38, 1-33.
16. Gultekin, N.B. (1983), "Stock market returns and inflation: Evidence from other countries, The Journal Of Finance 38, 49-65.
17. Hancock, D.G. (1989), "Fiscal policy, monetary policy and the efficiency of the stock market", Economics Letters 31, 65-69.
18. Hsiao, C. (1981), "Autoregressive modelling and money income causality detection", Journal of Monetary Economics 7, 85-106.
19. Johansen, S. (1988), "Statistical analysis of cointegration vectors", Journal of Economic Dynamics and Control, 231-254.
20. Johansen, S., and Juselius, K. (1990), "Maximum likelihood estimation and inference on cointegration - With applications to the demand for money", Oxford Bulletin of Economics and Statistics 52, 169-210.
21. Metin, K. (1994), "Modelling the public sector deficit of the Turkish economy", Discussion Paper 1, Department of Economics, Bilkent University.
22. Metin, K. (1995), "An integrated analysis of Turkish inflation", Oxford Bulletin of Economics and Statistics 57/4, 513-531.
23. Mishkin, F.S. (1982), "Does anticipated monetary policy matter? An econometric investigation", Journal of Political Economy 90, 22-51.
24. Muradoglu, G. (1991), "Factors influencing the stock demand of individual investors in Turkey", in: Proceedings Izmir Iktisat Kongresi 3, 1-17.
25. Muradoglu, G., and Onkal, D. (1992), "Turk hisse senedi piyasasinda yari guclu etkinlik" (Semi-strong form efficiency in the Turkish stock market), METU Studies in Development 2, 197-207.
26. Muradoglu, G., and Unal, M. (1994), "Weak form efficiency in the thinly traded Istanbul Securities Exchange", The Middle East Business and Economic Review 6/2, 37-44.
27. Panas, E.E. (1990), "The behaviour of Athens stock prices", Applied Economics 22, 1715-1727.
28. Pearce, D.K., and Roley, V.V. (1983), "The reaction of stock prices to unanticipated changes in money: A Note", The Journal of Finance 38, 1323-1333.
29. Serletis, A. (1993), "Money and stock prices in the United States", Applied Financial Economics 3, 51-54.
30. Solnik, B. (1983), "The relation between stock prices and inflationary expectations: The international evidence", The Journal of Finance 38, 35-48.
31. Stulz, R.M. (1986), "Asset pricing and expected inflation", The Journal of Finance 41, 209-223.