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Dergiler / Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty / 2026 / Volume: 11 Issue: 1

Heterogeneous Market Hypothesis in Major European Stock Exchanges

Aykut Karakaya(RECEP TAYYIP ERDOGAN UNIVERSITY)0000-0001-6491-132X
Melih Kutlu(SAMSUN UNIVERSITY)0000-0002-8634-6330
Sayfa
—
Yayın Tarihi
2024-03-31
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Short-term global volatility shock has been effective on European stock markets.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:The aim of this study is to investigate heterogeneous market efficiency in European stock exchanges using Augmented HAR-RV model.
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Temel Bulgular & Veri:According to the heterogeneous market efficiency hypothesis, investors create portfolios according to different time horizons and different market situations may arise in the reflection of information on price.
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Sonuç & Katkı:Short-term global volatility shock has been effective on European stock markets.
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Heterogeneous Market Hypothesis · European Stock Exchanges · Realized Volatility

Abstract

The aim of this study is to investigate heterogeneous market efficiency in European stock exchanges using Augmented HAR-RV model. According to the heterogeneous market efficiency hypothesis, investors create portfolios according to different time horizons and different market situations may arise in the reflection of information on price. We find evidence of the validity of the heterogeneous market efficiency model in European stock exchanges. Investors interpret information differently at different time horizons. Medium- and long-term investment decisions are a major influence. These results help explain the volatility that may occur in different time horizons. Portfolio diversification should also be made according to different investments in different horizons. Short-term global volatility shock has been effective on European stock markets.

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Bu Makaleye Atıf Yap

Karakaya, A., Kutlu, M. (2024). Heterogeneous Market Hypothesis in Major European Stock Exchanges. Journal of Mehmet Akif Ersoy University Economics and Administrative Sciences Faculty, Volume: 11 Issue: 1. https://doi.org/10.30798/makuiibf.1220275

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