Does Corporate Governance Matter for Market Efficiency? Evidence from Turkish markets | Zendy

DINA CAKMUR YILDIRTAN | Zendy; Alper Özün | Zendy

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Does Corporate Governance Matter for Market Efficiency? Evidence from Turkish markets

Author(s) -

DINA CAKMUR 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

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