Efficient market hypothesis in emerging stock markets: gradual shifts and common factors in panel data

被引：1

作者：

Nazlioglu, Saban ^{[1
,2
]}

Pazarci, Sevket ^{[3
]}

Kar, Asim ^{[1
]}

Varol, Osman ^{[1
]}

机构：

[1] Pamukkale Univ, Dept Int Trade & Finance, Denizli, Turkiye

[2] Nisantasi Univ, Dept Econ & Finance, Istanbul, Turkiye

[3] Nisantasi Univ, Dept Finance & Banking, Istanbul, Turkiye

来源：

APPLIED ECONOMICS LETTERS | 2024年 / 31卷 / 18期

关键词：

Efficient market hypothesis; gradual shifts; common factor; panel data; emerging markets; BREAKS;

D O I：

10.1080/13504851.2023.2206613

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We test the efficient market hypothesis (EMH) in emerging markets by simultaneously considering gradual shifts and common factors. Findings indicate that (i) while the test with sharp breaks does not support EMH, the tests with gradual/smooth shifts and common factors support EMH in emerging markets; (ii) considering structural breaks as a gradual process within a common factor framework is important for emerging financial markets; and finally (iii) increasing time span sheds light more on EMH.

引用

页码：1773 / 1779

页数：7

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