Open AccessDoes Corporate Governance Matter for Market Efficiency? Evidence from Turkish markets
Author(s) -
Dina Çakmur Yildirtan,
Alper Özün
Publication year - 2011
Publication title -
journal of management research
Language(s) - English
Resource type - Journals
ISSN - 1941-899X
DOI - 10.5296/jmr.v3i1.532
Subject(s) - corporate governance , turkish , autoregressive fractionally integrated moving average , index (typography) , equity (law) , volatility (finance) , financial economics , efficient market hypothesis , economics , business , accounting , monetary economics , stock market , econometrics , long memory , finance , political science , context (archaeology) , paleontology , linguistics , philosophy , biology , world wide web , computer science , law
This article examines informational efficiency in the Corporate Governance Index comprising of firms having corporate governance ratings in Turkish equity markets. By using ARFIMA FIGARCH model, it is empirically showed that Corporate Governance Index does not display long-memory effect, thus is in weak-form efficiency. The article has originality in that it examines Corporate Governance Index in Turkey in terms of market efficiency by employing ARFIMA-FIGARCH model that consider coexistence of long-term memory in return and volatility.
Key words: Corporate governance, market efficiency, long-memory models, Turkish equity markets
JEL codes: G32, G14, C14