Testing The Weak Form Efficiency of The Turkish Stock Market
Yükleniyor...
Dosyalar
Tarih
2011
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Academıc Journals
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This paper examines the random walk hypothesis to determine the validity of weak-form efficiency for the Istanbul Stock Exchange (ISE) in Turkey. Data are obtained from daily observations of the ISE indices (ISE-100 index, services index, financial index, industrial index and technology index) for the period October 23, 1987 to July 15, 2011. The random walk hypothesis is tested using parametric and non-parametric tests. The parametric tests include Augmented Dickey-Fuller unit root test, serial autocorrelation test and variance ratio test. The nonparametric tests include Phillips-Peron unit root test and runs test. The empirical results of this study showed that Turkish stock market is weak-form inefficient. With the exception of the results from runs test for both services and technology indices, results from runs test, serial autocorrelation test and variance ratio test are similar and reject random walk hypothesis for Turkish stock market. However, Turkish stock market is inefficient at the weak level; as a result, this is likely to be an evidence that the prudent investor who deals with Turkish stock market will achieve abnormal returns using historical data of stock prices.
Açıklama
Anahtar Kelimeler
Efficient market hypothesis, weak-form efficiency, the Istanbul stock exchange, parametric and non-parametric tests
Kaynak
Afrıcan Journal of Busıness Management
WoS Q Değeri
N/A
Scopus Q Değeri
Cilt
5
Sayı
34
Künye
Büyükşalvarcı, A., Abdioğlu, H., (2011). Testing The Weak Form Efficiency of The Turkish Stock Market. Afrıcan Journal of Busıness Management, 5(34), 13044-13056. DOI: 10.5897/AJBM11.2089
