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Testing Random Walk Hypothesis For Istanbul Stock Exchange

Author

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  • Oktay Tas

    (Istanbul Technical University, Faculty of Management, Departmant of Accounting and Finance)

  • Salim Dursunoglu

Abstract

The primary objective of this study is to testing weak form market efficiency of Istanbul Stock Exchange. A random walk test is performed for weakform efficiency. The testing of market efficiency of the market it was used istanbul stock exchange's daily stock returns for random walk over the period from January-1995 to January-2004. Istanbul stock exchange is the well known the growing emerging market. We used in the survey Istanbul stock exchange's ISE National-30 index companies. ISE 30 indices were tested using Dickey-Fuller unit root test. For the market efficiency, a model is used that explains the market inefficiencies. We accept that ISE is inefficient because the level of trade volume and market market capitalization of shares are mostly low. In order to test weak form efficiency hypothesis, we analyzed runs tests. It is also tested Dickey-Fuller unit root test wich is well known populer test for the testing of the market efficiency. The run test is also used as a powerful tool to test of random walk in the stock market indicies. It is concluded that both the results of Dickey-Fuller tests and the results of run tests are similar and rejected random walk in ISE. Presented at the 15th International Conference,Istanbul, Turkey, May 2005.

Suggested Citation

  • Oktay Tas & Salim Dursunoglu, 2005. "Testing Random Walk Hypothesis For Istanbul Stock Exchange," International Trade and Finance Association Conference Papers 1035, International Trade and Finance Association.
    • Handle: RePEc:bep:itfapp:1035
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    Cited by:

    1. RIZWAN QAMAR Muhammad & SHEIKH Ali Nawaz, 2014. "Random Walk Behavior Of Emerging Stocks Markets: Evidence From Karachi Stock Exchange," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 9(3), pages 97-106, December.
    2. Emilian DOBRESCU, 2016. "Controversies over the Size of the Public Budget," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-34, December.
    3. Yunus Kilic & Mehmet Fatih Bugan, 2016. "The Efficient Market Hypothesis: Evidence from Turkey," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 6(10), pages 262-272, October.

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