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Journals / PressAcademia Procedia / 2018 / Cilt: 8 - Sayı: 1

RE-VISITING THE TURKISH STOCK MARKET EFFICIENCY: EVIDENCE FROM ADAPTIVE WILD BOOTSTRAP TESTING PROCEDURES

Efe Caglar CAGLİ
Pages
38–42
Publication Date
2018-12-30
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The price indices follow a random-walk process; thus, it is fruitless to conduct trading strategies based on past price information to reap excess returns.

📌 3 Key Takeaways

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Objective & Hypothesis:Purpose - This study aims to test the weak form efficient market hypothesis in Borsa Istanbul (BIST).
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Key Findings & Data:We analyze weekly price indices, BIST-100, BIST-Financials, BIST-Industrials, BIST-Service, and BIST Technology over the period January 1988 – September 2018.Methodology – In addition to well-known unit root tests, we apply adaptive wild bootstrap testing procedures proposed by Cavaliere et al. (2018) and Boswijk and Zu (2018), both considering the non-stationary volatility process.Findings – The standard unit root tests provide mixed results.
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Conclusion & Impact:The price indices follow a random-walk process; thus, it is fruitless to conduct trading strategies based on past price information to reap excess returns.
🔬Design:Research Article
📍Scope:2018 Verileri
⚙️Variables:Market Efficiency · Borsa Istanbul · Unit Root

Abstract

Purpose - This study aims to test the weak form efficient market hypothesis in Borsa Istanbul (BIST). We analyze weekly price indices, BIST-100, BIST-Financials, BIST-Industrials, BIST-Service, and BIST Technology over the period January 1988 – September 2018.Methodology – In addition to well-known unit root tests, we apply adaptive wild bootstrap testing procedures proposed by Cavaliere et al. (2018) and Boswijk and Zu (2018), both considering the non-stationary volatility process.Findings – The standard unit root tests provide mixed results. However, Carrion-i-Silvestre et al. (2009) and Maki (2015) unit root tests, and adaptive wild bootstrap testing procedures of both Boswijk and Zu’s (2018) and Cavaliere et al. (2018) suggest that all price indices contain unit root at 5% level.Conclusion- The Turkish stock market is informationally weak-form efficient. The price indices follow a random-walk process; thus, it is fruitless to conduct trading strategies based on past price information to reap excess returns.

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Cite This Article

CAGLİ, E. C. (2018). RE-VISITING THE TURKISH STOCK MARKET EFFICIENCY: EVIDENCE FROM ADAPTIVE WILD BOOTSTRAP TESTING PROCEDURES. PressAcademia Procedia, Cilt: 8 - Sayı: 1, 38–42. https://ajindex.com/articles/842248

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