Purpose – This paper sets out to apply chaos theory to the prediction of stock returns using Greek and Turkish stock index data. The aim of the analysis is to empirically show whether the markets have informational efficiency, in a comparative perspective. Design/methodology/approach – The...

Purpose - The purpose of this paper is to introduce an empirical model for house price spillovers between real estate markets. The model is presented by using data from the US-UK and London-New York housing markets over a period of 1975Q1-2016Q1 by employing both static and dynamic...

We empirically analyze the main economic factors affecting the export and import levels in Turkish agriculture sector. Using monthly time series of certain domestic and international variables, we make three complementary analysis; namely, principal component analysis, causality and...

We employ duration-dependent Markov-switching vector auto-regression (DDMSVAR) methodology to construct an economic cycle model for an emerging economy. By modifying the software codes for DDMSVAR methodology written by Pelagatti (2003), we show how to estimate the economic cycles in an emerging...

This paper examines the weak form efficiency in the Istanbul Stock Exchange in the period between 1987 and 1998 by using daily ISE National 100 Index. Unlike previous empirical papers, it employs different methodologies to take account the effects of thin trading, non-linear behaviour in stock...