The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis

Financial Innovation

Table 4 The results of long memory and nonlinear unit root tests

	Geweke and Porter-Hudack (1983) test		Robinson and Henry (1999) test		KSS unit root test
	d	p-value	d	p-value	Statistic	Critical value (%5)
Panel A: the GFC
RBIST	0.1008	0.0751	0.0938	0.0125	− 3.2881	− 2.93
RINDUSTRIAL	0.1252	0.0270	0.1460	0.0375	− 4.5641	− 2.93
RFINANCIALS	0.1123	0.0473	0.0815	0.0300	− 3.3959	− 2.93
RSERVICES	0.0169	0.0643	0.0285	0.0480	− 2.9840	− 2.93
RINFORMATION TECH	0.1142	0.0436	0.1094	0.0036	− 3.4788	− 2.93
RMETALS	0.1516	0.0074	0.1460	0.0001	− 3.9961	− 2.93
RTOURISM	0.1303	0.0214	0.1054	0.0050	− 4.7485	− 2.93
RREALESTATE	0.1248	0.0274	0.1537	0.0000	− 2.9412	− 2.93
RCHEMPETPLAS	0.1394	0.0138	0.1271	0.0007	− 3.1307	− 2.93
The COVID − 19 outbreak
RBIST	0.0679	0.2356	0.0472	0.2142	− 3.1661	− 2.93
RINDUSTRIAL	0.1368	0.0169	0.0667	0.0792	− 3.9240	− 2.93
RFINANCIALS	0.0619	0.0796	0.0500	0.0881	− 3.2987	− 2.93
RSERVICES	0.0978	0.0878	0.0586	0.0829	− 4.4558	− 2.93
RINFORMATIONTECH	0.1781	0.0019	0.1746	0.0000	− 5.4153	− 2.93
RMETALS	0.0421	0.0623	0.0116	0.0600	− 3.9878	− 2.93
RTOURISM	0.2193	0.0001	0.1439	0.0002	− 4.8779	− 2.93
RREALESTATE	0.1272	0.0264	0.0780	0.0401	− 6.3491	− 2.93
RCHEMPETPLAS	0.1657	0.0038	0.0776	0.0411	− 3.2916	− 2.93