Open AccessTesting the efficiency of emerging markets: Evidence from nonlinear panel unit tests
Author(s) -
Neslihan Turguttopbaş,
Tolga Omay
Publication year - 2023
Publication title -
panoeconomicus
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.289
H-Index - 14
eISSN - 2217-2386
pISSN - 1452-595X
DOI - 10.2298/pan200309011t
Subject(s) - unit root , nonlinear system , econometrics , economics , stock (firearms) , capitalization , market capitalization , panel data , stock market , market efficiency , emerging markets , efficient market hypothesis , china , financial economics , financial market , macroeconomics , finance , engineering , mechanical engineering , paleontology , linguistics , philosophy , physics , horse , quantum mechanics , political science , law , biology
In this study, we investigate market efficiency considering nonlinearities by testing the weak-form market efficiency of the stock markets of Brazil, China, Russia, Turkey, and South Africa using recently proposed nonlinear panel unit root tests. The stock markets of these emerging countries are deliberately selected for their market capitalization to form a homogenous panel. The results of nonlinear models indicate that the stock market indexes are stationary and weak-form inefficient. This finding contributes to the contradictory results of the prior research using linear and nonlinear models about the efficiency of emerging stock markets in favor of nonlinear ones. Furthermore, we propose that studies using financial variables consider such nonlinearity in order to achieve more accuracy in findings related to such studies.