Empirical investigation of market efficiency in the Borsa İstanbul electricity, gas, and water sector.
Karadeniz, Erdinç
Exploring the efficiency of financial markets has remained a prominent area of interest for researchers and market participants. However, the debate on market efficiency continues, with studies examining different sectors and markets to assess the reliability of the efficient market hypothesis. This study investigates the weak-form efficiency of the Borsa Istanbul Electricity, Gas, and Water (EGW) sector by applying structural break unit root tests. Monthly stock price data for 19 publicly traded EGW companies and the BIST Electricity Index (XELKT), from their initial listing dates through May 2023, are analyzed using the Lee-Strazicich unit root tests with one and two structural breaks. Additionally, the Karavias and Tzavalis (2014) panel unit root test is employed to assess sector-wide p...
Empirical investigation of market efficiency in the Borsa İstanbul electricity, gas, and water sector
Karadeniz, Erdinç
Exploring the efficiency of financial markets has remained a prominent area of interest for researchers and market participants. However, the debate on market efficiency continues, with studies examining different sectors and markets to assess the reliability of the efficient market hypothesis. This study investigates the weak-form efficiency of the Borsa Istanbul Electricity, Gas, and Water (EGW) sector by applying structural break unit root tests. Monthly stock price data for 19 publicly traded EGW companies and the BIST Electricity Index (XELKT), from their initial listing dates through May 2023, are analyzed using the Lee-Strazicich unit root tests with one and two structural breaks. Additionally, the Karavias and Tzavalis (2014) panel unit root test is employed to assess sector-wide p...