Abstract:
The purpose of this study is to test the efficiency of the Turkish Markets in terms of the monthly inflation announcement effect. The study examines the reaction of the financial services sector to monthly inflation announcements, particularly, in case of unexpectedly low or high levels of inflation. Strong evidence emerges that the Turkish financial services sector does not react significantly to the announcements that are in line with the expectations. In other words, the cumulative abnormal returns around such inflation announcements are not significantly different from 0. The results of the robustness tests for no news, indicate that the t-statistics calculated by means of the Moving Average Approach are insignificant for the sector, which is in line with the results of the original approach. The results of the two robustness tests are found to be supporting the original findings of the adaptive approach.
