Testing weak form efficiency of the Turkish stock market


Ozean B., Yilanci V.

IKTISAT ISLETME VE FINANS, vol.24, no.274, pp.100-115, 2009 (Journal Indexed in SSCI) identifier

  • Publication Type: Article / Article
  • Volume: 24 Issue: 274
  • Publication Date: 2009
  • Doi Number: 10.3848/iif.2009.274.5941
  • Title of Journal : IKTISAT ISLETME VE FINANS
  • Page Numbers: pp.100-115
  • Keywords: Random Walk, Market Efficiency, Nonlinearity, Unit Root Tests, BDS Test, NONLINEAR STAR FRAMEWORK, UNIT-ROOT, DYNAMICS, MODELS

Abstract

The aim of this paper is to investigate whether Turkish stock market is weak form efficient, by using week v Istanbul Stock Exchange 100 index data. The assumptions of the random walk model must be valid in order to accept the validity of the weak form efficient market hypothesis. We use the KSS test, introduced by Kapetanios, Shin and Snell (2003), to test for the unit root condition of random walk model and examine the independent and identically distributed (i.i.d) condition by using the BDS test. introduced by Brock, Dechert and Scheinkman (1986). We conclude that ISE-100 price index is predictable, that is stock prices in Turkey are not weak form efficient since the error terms of random model are not i.i.d..