TESTING WEAK AND SEMI-STRONG FORM EFFICIENCY OF STOCK EXCHANGES IN EUROPEAN MONETARY UNION COUNTRIES: PANEL DATA CAUSALITY AND CO-INTEGRATION ANALYSIS

Mustafa TORUN, Serdar KURT
1.686 543

Öz


This study investigated that whether or not there is weak and semi-strong form efficiency of stock ex-changes in European Monetary Union Countries with panel data variables stock market price index, con-sumer price index, purchasing power of euro, unemployment. In order to test the weak form efficiency, we used panel unit root tests and also for the testing semi-strong form efficiency panel co-integration and causality analysis. The result from unit root analysis show that stock markets of European Monetary Un-ion countries is weak efficient. According to results of co-integration and causality analysis, some coun-tries aren’t semi-strong form efficient.

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