Testing The Weak Form Efficiency of The Turkish Stock Market

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dc.contributor.authorBüyükşalvarcı, Ahmet
dc.contributor.authorAbdioğlu, Hasan
dc.date.accessioned2020-03-26T18:16:31Z
dc.date.available2020-03-26T18:16:31Z
dc.date.issued2011
dc.departmentSelçuk Üniversitesien_US
dc.description.abstractThis 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.en_US
dc.identifier.citationBüyükşalvarcı, 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
dc.identifier.doi10.5897/AJBM11.2089en_US
dc.identifier.endpage13056en_US
dc.identifier.issn1993-8233en_US
dc.identifier.issue34en_US
dc.identifier.startpage13044en_US
dc.identifier.urihttps://dx.doi.org/10.5897/AJBM11.2089
dc.identifier.urihttps://hdl.handle.net/20.500.12395/26882
dc.identifier.volume5en_US
dc.identifier.wosWOS:000299744300012en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.institutionauthorBüyükşalvarcı, Ahmet
dc.institutionauthorBüyükşalvarcı, Ahmet
dc.institutionauthorAbdioğlu, Hasan
dc.language.isoenen_US
dc.publisherAcademıc Journalsen_US
dc.relation.ispartofAfrıcan Journal of Busıness Managementen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.selcuk20240510_oaigen_US
dc.subjectEfficient market hypothesisen_US
dc.subjectweak-form efficiencyen_US
dc.subjectthe Istanbul stock exchangeen_US
dc.subjectparametric and non-parametric testsen_US
dc.titleTesting The Weak Form Efficiency of The Turkish Stock Marketen_US
dc.typeArticleen_US

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