An Empirical Investigation of the Determinants of Market Efficiency in Borsa Istanbul

27 Pages Posted: 29 Oct 2019

See all articles by Yusuf VARLI

Yusuf VARLI

Ibn Haldun University

Ebubekir S. Sahin

Ibn Haldun University

Date Written: July 11, 2019

Abstract

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

Suggested Citation

VARLI, Yusuf and Sahin, Ebubekir S., An Empirical Investigation of the Determinants of Market Efficiency in Borsa Istanbul (July 11, 2019). Available at SSRN: https://ssrn.com/abstract=3472429

Yusuf VARLI (Contact Author)

Ibn Haldun University ( email )

Ulubatli Hasan Cd. No:2 34494
Basaksehir
Istanbul, 34494

Ebubekir S. Sahin

Ibn Haldun University ( email )

Ulubatli Hasan Cd. No:2 34494
Basaksehir
Istanbul, 34494

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