Testing Market Efficiency with Nonlinear Methods: Evidence from Borsa Istanbul

Aliyev, Fuzuli

doi:10.3390/ijfs7020027

Cited by 19 publications

(12 citation statements)

References 29 publications

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“…Apart from Brazil, Russia, India, China, and South Africa as BRICS countries, the efficiency of the Turkish stock market, Borsa Istanbul, has been frequently analyzed individually and also within the emerging market segment. Most recently, Aliyev (2019) examined the efficiency of Borsa Istanbul by using a smooth transition autoregressive (STAR)-type nonlinear model, nonlinear ARCH and STAR models, and two linear models, which were the linear AR model and random walk model. He examined 10 years of weekly data and then, out-of-sample, forecast the next 12 weeks' return.…”

Section: The Results Of Unit Root Testsmentioning

confidence: 99%

Testing the efficiency of emerging markets: Evidence from nonlinear panel unit tests

Turguttopbaş

Omay

2023

Panoeconomicus

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In this study, we investigate market efficiency considering nonlinearities by testing the weak-form market efficiency of the stock markets of Brazil, China, Russia, Turkey, and South Africa using recently proposed nonlinear panel unit root tests. The stock markets of these emerging countries are deliberately selected for their market capitalization to form a homogenous panel. The results of nonlinear models indicate that the stock market indexes are stationary and weak-form inefficient. This finding contributes to the contradictory results of the prior research using linear and nonlinear models about the efficiency of emerging stock markets in favor of nonlinear ones. Furthermore, we propose that studies using financial variables consider such nonlinearity in order to achieve more accuracy in findings related to such studies.

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Section: The Results Of Unit Root Testsmentioning

confidence: 99%

Testing the efficiency of emerging markets: Evidence from nonlinear panel unit tests

Turguttopbaş

Omay

2023

Panoeconomicus

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“…Since financial series exhibit nonlinear structures Aliyev (2019), we look at some studies that focus on nonlinear dynamics. Mahalik et al (2017) reported a non-linear inverted U-shaped association between FinDev and EnCon for the period of 1971-2011 using cointegration test and ARDL model in Saudi Arabia.…”

Section: Literature Reviewmentioning

confidence: 99%

The Effect of Financial Development on Energy Consumption: Evidence from Russia

Mukhtarov

Karacan

Aliyev

et al. 2022

IJEEP

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This paper explores the effect of financial development, economic growth, and energy prices represented by consumer price index (CPI) on energy consumption in Russia by performing VECM, CCR, DOLS and FMOLS analyses to the annual data from 1995 to 2019. The findings of this empirical analysis reveal that financial development and economic growth have positive impact on energy consumption in Russia. Furthermore, the effects of energy prices expressed by CPI is revealed to be negative, which is consistent with the theory and expectations in practice. Based on the findings of this study, the nexus and impacts of financial development on energy consumption are discussed, as well as plausible explanations and policy implications.

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“…Standard GARCH models assume that positive and negative error terms have a symmetric effect on the volatility. However, financial time series in practice exhibit asymmetrical nonlinear patterns because of various reasons such as transaction costs, market frictions, arbitrage limits and others (Aliyev (2019)). This means that the impact of "bad news" or negative shocks on conditional volatility may persist longer than impact of "good news" or positive shocks.…”

Section: The Exponential Garch Modelmentioning

confidence: 99%

Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100

Aliyev

Ajayi

Gasim

2020

The Journal of Economic Asymmetries

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This paper models and estimates the volatility of nonfinancial, innovative and hi-tech focused stock index, the Nasdaq-100, using univariate symmetric and asymmetric GARCH models. We employ GARCH, EGARCH and GJR-GARCH using daily data over the period January 4, 2000 through March 19, 2019. We find that the volatility shocks on the index returns are quite persistent. Furthermore, our findings show that the index has leverage effect, and the impact of shocks is asymmetric, whereby the impacts of negative shocks on volatility are higher than those of positive shocks of the same magnitude.

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Testing Market Efficiency with Nonlinear Methods: Evidence from Borsa Istanbul

Cited by 19 publications

References 29 publications

Testing the efficiency of emerging markets: Evidence from nonlinear panel unit tests

Testing the efficiency of emerging markets: Evidence from nonlinear panel unit tests

The Effect of Financial Development on Energy Consumption: Evidence from Russia

Modelling asymmetric market volatility with univariate GARCH models: Evidence from Nasdaq-100

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