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Dergiler / PressAcademia Procedia / 2026 / Volume: 9 Issue: 1

TESTING RANDOM WALK HYPOTHESIS FOR ISTANBUL STOCK EXCHANGE

Oktay Tas0000-0002-7570-549X
Cigdem Guleroglu Atac0000-0003-2367-0878
Sayfa
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Yayın Tarihi
2019-07-30
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

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.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:Purpose- This study investigates weak form market efficiency of Istanbul Stock Exchange (ISE) via Random Walk Hypothesis (RWH).
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Temel Bulgular & Veri: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.
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Sonuç & Katkı: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.
🔬Tür:Research Article
📍Kapsam:2013 Verileri
⚙️Değişkenler:Market efficiency in weak form · Dickey Fuller random walk test · runs test

Abstract

Purpose- This study investigates weak form market efficiency of Istanbul Stock Exchange (ISE) via Random Walk Hypothesis (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.

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Bu Makaleye Atıf Yap

Tas, O., Atac, C. G. (2019). TESTING RANDOM WALK HYPOTHESIS FOR ISTANBUL STOCK EXCHANGE. PressAcademia Procedia, Volume: 9 Issue: 1. https://doi.org/10.17261/Pressacademia.2019.1063

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