IDEAS home Printed from https://ideas.repec.org/h/pkk/meb018/343-352.html
   My bibliography  Save this book chapter

Testing The Weak Form of Efficient Market Hypothesis on Stock Market: Comparison of Turkey and Hungary

Author

Listed:
  • Emre Esat TopaloÄŸlu

    (Department of Accounting and Finance, Sirnak University, Turkey,)

  • Ilhan EGE

    (Department of Business Administration, Mersin University, Turkey,)

Abstract

In the study, we aimed to test the weak form of effıcıent market hypothesıs on stock market of turkey and hungary. In this context, the observations are monthly closing values of stock market indices for Turkey and Hungary. Observations are taken for the period October 2003 to January 2018. BIST100, BIST30, BISTservice, BISTfinancial and BISTindustrial indices from Turkey; Budapest SE, BUMIX, FTSE Hungary and HTX (HUF) indices from Hungary were investigated. Unit root tests were used to test the market efficiency in the study. Carrion, I.Silvestre et all. (2005) Multiple Break Test KPSS, Pesaran (2007) CADF and CIPS, Breuer vd. (2002) SUR ADF, Bai and Ng (2004) Panic and Hadri and Kurozumi (2012) HK Panel unit root tests under cross section dependence were selected for test of unit root. Results of the analyses, The Turkish and Hungarian stock market indeces (except for BUMIX according to KPSS test) appear to dont have a unit root (stationary structure) and we can conclude that the both countries stock markets are not a weakform efficient Keywords: Efficient Market Hypothesis, Stock Markets, Unit Root Tests.

Suggested Citation

  • Emre Esat TopaloÄŸlu & Ilhan EGE, 2018. "Testing The Weak Form of Efficient Market Hypothesis on Stock Market: Comparison of Turkey and Hungary," Proceedings- 11th International Conference on Mangement, Enterprise and Benchmarking (MEB 2018),, Óbuda University, Keleti Faculty of Business and Management.
    • Handle: RePEc:pkk:meb018:343-352
    as

    Download full text from publisher

    File URL: http://kgk.uni-obuda.hu/sites/default/files/MEB%202018_Proceedings_w.pdf
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pkk:meb018:343-352. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Alexandra Vécsey (email available below). General contact details of provider: https://edirc.repec.org/data/gkbmfhu.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.