Market Efficiency, Thin Trading and Non‐linear Behaviour: Evidence from an Emerging Market
利用伊斯坦布尔证券交易所数据，在考虑稀薄交易、非线性行为和监管变化后，发现早期市场效率低下，但监管改善后价格能更快反映信息，市场趋于有效。
Emerging markets efficiency has been widely investigated, with mixed results. However such evidence is only reliable if the methodology adopted accounts for the institutional features of the market. Unlike previous studies this paper corrects for thin trading and incorporates possible non‐linear behaviour and regulatory changes. Using Istanbul Stock Exchange data we show that in its early years the exchange was characterised by non‐linear behaviour and inefficient pricing. However, regulatory changes encouraged participation, improved information quality and led to prices impounding information more rapidly, suggesting markets become efficient with high trading volume, reliable information and an appropriate institutional framework.