Abstract EN:

Since the 1980's, deregulation and liberalization of capital markets have energized of an expansion of investment opportunities for international investors, led mainly by the stock markets of emerging South-Eastern Asian, South-Eastern American, South African, Middle Eastern and Eastern European Country's. From this point of view, as an emerging stock exchange, the Istanbul Stock Exchange (ISE) has rapidly been essentially as an attractive alternative in terms of investments and portfolio diversification for the Turkish and international capitals. Becoming an attraction pole for the world-wide liquidity the ISE deserves special attention in terms of academic research. This is precisely what is proposed in this research by presenting a complete theoretical and empirical lighting of the recent development of this stock exchange. In conjunction to a presentation of the efficiency theory, the long memory process and the dynamic of groups, intented to a better understanding the operational environment of emerging financial markets, three empirical studies are realized to test empirically these three aspects of their development, by considering specifically the Turkish emerging financial market as the empirical support. At the conclusion of empirical tests, the ISE appears as the image of other emerging stock markets, such as: rejecting of the random walk hypothesis ; presenting a long memory ; presenting herding behaviour. Despite its attractiveness, the ISE has some difficulty in acquiring long-term stability and continues to be regarded as an stock exchange which should be approached with caution, and where there are regularly observed important variations in volatility.