The efficiency of the new reference rate in Türkiye

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dc.authorid0000-0002-9216-5210en_US
dc.authorid0000-0001-8870-8502en_US
dc.authorid0000-0003-2628-5027en_US
dc.contributor.authorGök, Remzi
dc.contributor.authorPirgaip, Burak
dc.contributor.authorBouri, Elie
dc.date.accessioned2024-04-03T07:01:33Z
dc.date.available2024-04-03T07:01:33Z
dc.date.issued2024en_US
dc.departmentDicle Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.description.abstractThe transition from the reference rate based on interbank offered rates, such as the Turkish lira interbank offer rate (TRLIBOR), to the risk-free rate (RfR), the Turkish lira overnight reference rate (TLREF), in Türkiye is a critical juncture, but it is not clear how it affects the market's ability to incorporate information precisely and promptly. Drawing on the adaptive market hypothesis (AMH), we examine the impact of transitioning from TRLIBOR to TLREF on the efficiency of Turkish financial markets. Our results reveal pronounced and time-varying persistence patterns in both reference rates and highlight heterogeneity in their efficiency, which seems influenced by fluctuations in national political conditions and monetary policies. TLREF consistently demonstrates higher market efficiency than TRLIBOR. The findings offer insights into the dynamics of market efficiency in Türkiye and highlight the broader implications of switching to RfR-based reference rate regimes.en_US
dc.identifier.doi10.1016/j.bir.2023.12.009
dc.identifier.endpage13en_US
dc.identifier.issn2214-8450
dc.identifier.scopus2-s2.0-85181797852
dc.identifier.scopusqualityQ1
dc.identifier.startpage1en_US
dc.identifier.urihttps://www.sciencedirect.com/science/article/pii/S2214845023001606?via%3Dihub
dc.identifier.urihttps://hdl.handle.net/11468/13799
dc.identifier.wosWOS:001154222500006
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorGök, Remzi
dc.language.isoenen_US
dc.publisherBorsa İstanbul Anonim Şirketien_US
dc.relation.ispartofBorsa Istanbul Review
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectGeneralized hurst exponenten_US
dc.subjectInterest ratesen_US
dc.subjectLong-range dependenceen_US
dc.subjectMarket efficiencyen_US
dc.subjectTLREFen_US
dc.subjectTRLIBORen_US
dc.titleThe efficiency of the new reference rate in Türkiyeen_US
dc.titleThe efficiency of the new reference rate in Türkiye
dc.typeArticleen_US

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