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İşletme Bölümü Tezleri

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Browsing İşletme Bölümü Tezleri by Author "Dönmez, Mehmet Gürhan"

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    Master Thesis
    An analysis of derivative markets efficiency in emerging economies
    (2011) Dönmez, Mehmet Gürhan
    In this study, Efficient Market Hypothesis in weak form is applied to futures markets in European Emerging Economies, by testing whether the price series of these markets contain unit root. The hypothesis that futures market price index follow a random walk tested for Greece, Hungary, Poland, Russia and Turkey, using the linear unit root tests (ADF and PP), linear panel unit root test, nonlinear unit root test developed by Kapetanios et al. (2003) and nonlinear panel unit root test developed by Ucar and Omay (2009). The data is monthly and it was collected from DataStream. There are 70 monthly observations for each market between the period of September 2005 and June 2011. The results of ADF and PP show that all futures markets are weak form efficient. Nonlinear unit root test results indicate that Polish and Turkish futures markets are not weak form efficient. The findings of the linear panel unit root test show that this group when considered as a whole, are efficient in the weak form while the findings of the nonlinear panel unit root test indicates that they are inefficient as a group.