TY  - JOUR
T1  - TESTING RANDOM WALK HYPOTHESIS FOR ISTANBUL STOCK EXCHANGE
AU  - Tas, Oktay
AU  - Guleroglu Atac, Cigdem
PY  - 2019
DA  - July
DO  - 10.17261/Pressacademia.2019.1063
JF  - PressAcademia Procedia
JO  - PAP
PB  - Suat TEKER
WT  - DergiPark
SN  - 2459-0762
SP  - 48
EP  - 53
VL  - 9
IS  - 1
LA  - en
AB  - Purpose- Thisstudy 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 areused to search for random walk in stock market. Natural log returns of BIST-30index firms, BIST-30 index, participation index firms and participation indexare analysed by both tests over a five year period from 2013 to 2018.Therefore, BIST30 index returns together with BIST100 and BISTTUM indexes areanalysed in a longer period from 2000 to 2018 including 2001 and 2008 financialcrises in Turkey.Findings- Weakform market efficiency is justified according to Dickey Fuller test, but notfor Runs test.Conclusion- WhileDickey Fuller test results reject random walk in ISE, which leads that weakform market efficiency is not justified; Runs test are failed to give certainresults on market efficiency for the same data set and time period.
KW  - Market efficiency in weak form
KW  - Dickey Fuller random walk test
KW  - runs test
KW  - Istanbul Stock Exchange Indexes
KW  - efficient market hypothesis
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UR  - https://doi.org/10.17261/Pressacademia.2019.1063
L1  - https://dergipark.org.tr/en/download/article-file/769898
ER  -