An Empirical Investigation of the Determinants of Market Efficiency in Borsa Istanbul
27 Pages Posted: 29 Oct 2019
Date Written: July 11, 2019
Following the last global financial crisis, efficiencies of stock markets have come to sight as a novel area of research. The question of what factors shape the efficiency of the stock market is naturally always of a curiosity in theory and practice. In line with the framework of this curiosity, this study examines the main determinants that play a crucial role in the efficiency of a certain stock market, Borsa Istanbul. Our study contributes to the literature by using five years and daily data belonging to both individual and institutional investors. We here aim to specify the ten determinants of market efficiency which are categorized under investor-based, market-based and country-based determinants. According to the three different regressions and VAR analysis, the results indicate the strong relationship between the market efficiency and the specified determinants such as turnover, market volatility, the share of foreign investors and interest rate.
Keywords: Market Efficiency, Borsa Istanbul, Individual Investors, Institutional Investors
JEL Classification: G1, G11, G14, G23
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