A note on the efficiency of financial markets in a developing country

Abstract

Semi-strong efficiency in the stock market, the foreign exchange market and the interbank money market in Turkey is investigated by using the direct Granger causality tests. Significant deviations are reported from the efficient market hypothesis (EMH) with respect to changes in market liquidity in all these markets for the period of January 1989 to July 1995. It is also found that these markets are pairwise interdependent. However, market liquidity cannot be predicted by using developments in the financial market. Possible implications for domestic and foreign investors and for monetary policy makers are discussed.

^*Address all correspondence to Kürşat Kunter

^*Address all correspondence to Kürşat Kunter

Notes

^*Address all correspondence to Kürşat Kunter