TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY

Abstract

We implemented several parametric and non-parametric tests to investigate random walk hypothesis and market efficiency theorem for Turkey’s two main markets, Turkish Derivatives Exchange and Borsa İstanbul(new name for İstanbul Stock Exchange). 12/02/2007 – 08/02/2013 period is our testing period and we used daily log returns. According to our findings in the very short term null hypothesis of random walk is accepted.