Semi-strong efficiency in the stock market, the foreign exchange market and the interbank money market in Turkey is investigated by using the direct Granger causality tests. Significant deviations are reported from the efficient market hypothesis (EMH) with respect to changes in market liquidity...

This is a pioneering effort to test in 14 countries the relationship between stock market returns and their forecast volatility derived from the symmetric and asymmetric conditional heteroscedasticity models. Both weekly and monthly returns and their volatility are investigated. An out-of-sample...

The aim of this paper is to provide empirical evidence on the statistical distributions of returns on 32 UK sector indices as well as the FTSE-All and the FTSE-100 indices. These data are modelled for several holding periods, ranging from one day to one quarter, using symmetric stable Paretian...

The paper tests four hypotheses at the same time using an autoregressive return-generating process and an asymmetric conditional variance specification, both also including deterministic day of the week dummies. The daily stock index returns from 19 countries are employed to test: (H1)...

The primary objective is to investigate day of the week effects in an emerging stock market of a developing country, namely Turkey. Empirical results verify that although day of the week effects are present in Istanbul Securities Exchange Composite Index (ISECI) return data for the period...