Market development and market efficiency: evidence based on nonlinear panel unit root tests
Document Type
Article
Source of Publication
European Journal of Finance
Publication Date
7-24-2019
Abstract
© 2018, © 2018 Informa UK Limited, trading as Taylor & Francis Group. This study tests the weak form market efficiency of 32 European stock markets. Utilizing monthly data from June 2006 to June 2017, six different, newly developed nonlinear panel root tests were applied in three different groups of European markets: Frontier, Emerging and Developed. The results show that there is a meaningful relationship between different levels of economic development and the weak form market efficiency. Considering the nonlinear structure of the stock market indices, use of linear models might lead to wrong conclusions regarding market efficiency. Using several nonlinear panel root tests, the results of this study shed more light on the true data generating process of the stock market indices and more appropriately model market efficiency.
DOI Link
ISSN
Publisher
Routledge
Volume
25
Issue
11
First Page
979
Last Page
993
Disciplines
Business
Keywords
European stock markets, market development, Market efficiency, nonlinear panel unit root tests
Scopus ID
Recommended Citation
Aktan, Ceyda; Iren, Perihan; and Omay, Tolga, "Market development and market efficiency: evidence based on nonlinear panel unit root tests" (2019). All Works. 2335.
https://zuscholars.zu.ac.ae/works/2335
Indexed in Scopus
yes
Open Access
no