A COINTEGRATION TEST FOR TURKISH FOREIGN EXCHANGE MARKET EFFICIENCY

Journal Title: Asian Economic and Financial Review - Year 2014, Vol 4, Issue 4

Abstract

This study examines the within-country market efficiency of the Turkish foreign exchange markets on the basis of the forward rate unbiasedness hypothesis, in case of the Turkish lira/US dollar and the Turkish lira/Euro for the period February 5, 2005 through July 26, 2013 by Johansen cointegration method. Unit root test results support the market efficiency in its weak-form. However, the existence of cointegration between the forward rates and its corresponding future spot rates with a unitary cointegrating vector and there exists no systematic expectation errors provide evidence for forward rate unbiasedness hypothesis and thus against market efficiency in semi-strong form. In the Turkish lira/US dollar foreign exchange market, the speed of adjustment towards long run equilibrium is a bit faster, and also the forward rates explain a bit more proportion of the movements of the spot rates in comparison with the Turkish lira/Euro market.

Authors and Affiliations

Macide Çiçek| Associate Prof. Dr. Dumlupınar University, Faculty of Economics and Administrative Sciences, Departmant of Economics, Kütahya, Turkey

Keywords

Related Articles

THE LONG RUN AND SHORT RUN IMPACTS OF FOREIGN DIRECT INVESTMENT AND EXPORT ON ECONOMIC GROWTH OF VIETNAM

The determinants of economic growth have always been an important issue in economic research. This paper aims to study the short run and long run impact of foreign direct investment (FDI) and export on economic growth of...

THE STUDY OF CONSUMER PERCEPTION ON CORPORATE SOCIAL RESPONSIBILITY TOWARDS CONSUMERS ATTITUDE AND PURCHASE BEHAVIOR

In today?s competitive conditions which many of competitive indices of companies are similar, corporate social responsibility and morality have found a special place. Environmental issues like environmental pollution, g...

AN ANTI-AUSTERITY POLICY RECIPE AGAINST DEBT ACCUMULATION IN THE PRESENCE OF HIDDEN ECONOMY

Contrary to what the literature on the linkage between debt accumulation and hidden economy suggests, this paper advocates that the two relationships, tax-hidden economy size and inflation-hidden economy size, have to be...

NATURAL RESOURCES, CONFLICT AND GROWTH NEXUS

Using panel data and GMM estimators we find that conflict and less developed countries (LDCs) natural resources have a positive and significant impact on GDP in the developed countries (DCs), while the lagged value of th...

ARE ISLAMIC BANKS MORE RESILIENT TO GLOBAL FINANCIAL CRISIS THAN CONVENTIONAL BANKS?

Development of global finance in recent years is marketed with the fastest growth in Islamic finance. The recent global financial crisis is characterized by the failure of a number of conventional banks. This led many re...

Download PDF file
  • EP ID EP2021
  • DOI -
  • Views 491
  • Downloads 48

How To Cite

Macide Çiçek (2014). A COINTEGRATION TEST FOR TURKISH FOREIGN EXCHANGE MARKET EFFICIENCY. Asian Economic and Financial Review, 4(4), 451-471. https://europub.co.uk/articles/-A-2021