Testing random walk hypothesis in Turkish foreign exchange market

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dc.authorscopusid35434367800
dc.authorscopusid57091744700
dc.authorscopusid57217859668
dc.contributor.authorÇıtak, Levent
dc.contributor.authorAkel, Veli
dc.contributor.authorÇetin, Murat
dc.date.accessioned2022-05-11T14:33:29Z
dc.date.available2022-05-11T14:33:29Z
dc.date.issued2015
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis chapter revisits the empirical validity of the weak-form efficient market hypothesis for Turkish foreign exchange markets. The random-walk hypothesis in foreign-exchange rates market is one of the most researched areas, particularly in developed economies. This chapter applies ADF and PP unit root test, Lo and MacKinlay's (1988) conventional variance ratio test and Ljung-Box Q tests to examine the validity of the random-walk hypothesis in the Turkish foreign-exchange market. The chapter utilizes weekly nominal TRY/USD exchange rate for data from January 2000 to December 2013. The results provide evidence rejecting the random walk hypothesis for weekly nominal exchange rate series. © 2015, IGI Global.
dc.identifier.doi10.4018/978-1-4666-7288-8.ch004
dc.identifier.endpage63
dc.identifier.isbn9781466672901
dc.identifier.isbn1466672889
dc.identifier.isbn9781466672895
dc.identifier.scopus2-s2.0-84956724725
dc.identifier.startpage51
dc.identifier.urihttps://doi.org/10.4018/978-1-4666-7288-8.ch004
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7762
dc.indekslendigikaynakScopus
dc.institutionauthorÇetin, Murat
dc.language.isoen
dc.publisherIGI Global
dc.relation.ispartofHandbook of Research on Strategic Developments and Regulatory Practice in Global Finance
dc.relation.publicationcategoryKitap Bölümü - Uluslararasıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.titleTesting random walk hypothesis in Turkish foreign exchange market
dc.typeBook Chapter

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