TESTING RANDOM WALK HYPOTHESIS FOR ISTANBUL STOCK EXCHANGE

Authors : Oktay TAS, Cigdem GULEROGLU ATAC

Pages : 48-53

Doi:10.17261/Pressacademia.2019.1063

View : 15 | Download : 13

Publication Date : 2019-07-30

Article Type : Research Paper

Abstract :Purpose- This study investigates weak form market efficiency of Istanbul Stock Exchange insert ignore into journalissuearticles values(ISE); via Random Walk Hypothesis insert ignore into journalissuearticles values(RWH);. Methodology-  Two random walk tests, Dickey-Fuller and Runs test are used to search for random walk in stock market. Natural log returns of BIST-30 index firms, BIST-30 index, participation index firms and participation index are analysed by both tests over a five year period from 2013 to 2018. Therefore, BIST30 index returns together with BIST100 and BISTTUM indexes are analysed in a longer period from 2000 to 2018 including 2001 and 2008 financial crises in Turkey. Findings- Weak form market efficiency is justified according to Dickey Fuller test, but not for Runs test. Conclusion- While Dickey Fuller test results reject random walk in ISE, which leads that weak form market efficiency is not justified; Runs test are failed to give certain results on market efficiency for the same data set and time period.
Keywords : Market efficiency in weak form, Dickey Fuller random walk test, runs test, Istanbul Stock Exchange Indexes, efficient market hypothesis