Gozbasi, Onur; Kucukkaplan, Ilhan; Nazlioglu, Saban - In: Economic Modelling 38 (2014) C, pp. 381-384
This paper re-examines the efficient market hypothesis (EMH) in the Turkish stock market by utilizing the recent developments in nonlinear unit root tests. To this end, we first employ the linearity test developed by Harvey et al. (2008) and then carry out the nonlinear ESTAR unit root test...