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In Which Sectors Can Historical Prices Be Used for Return Predictability? An Empirical Study on Istanbul Stock Exchange with Automatic Portmanteau Test

Author

Listed:
  • Ozkan, Oktay

    (Tokat Gaziosmanpasa University)

Abstract

The aim of this study, to compare return predictability in other words, the weak form of market efficiency of different sectors in Turkey. For this purpose, analyses were carried out by automatic portmanteau test with a 2-year sub-sample size using the daily data between 19.04.2000-07.02.2020 of 19 primary sector indexes within Borsa Istanbul. As a result of the analyses, it was understood that Transportation, Insurance, Electricity, and Metal Products Machinery sectors have higher return predictability periods and therefore their weak form market efficiency is lower than other sectors. In addition, it was determined that the sectors that have the least predictable periods of return, in other words, that have more weak form efficiency than other sectors, are Food Beverage, Banks, Wholesale and Retail Trade, and Wood Paper Printing.

Suggested Citation

  • Ozkan, Oktay, 2020. "In Which Sectors Can Historical Prices Be Used for Return Predictability? An Empirical Study on Istanbul Stock Exchange with Automatic Portmanteau Test," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 11(3), pages 703-712, July.
    • Handle: RePEc:ris:buecrj:0499
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    More about this item

    Keywords

    Return Predictability; Automatic Portmanteau Test; Return; Efficient Markets Hypothesis; Stock Market;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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