Year 2018, Volume 8, Issue 1, Pages 38 - 42 2018-12-30

RE-VISITING THE TURKISH STOCK MARKET EFFICIENCY: EVIDENCE FROM ADAPTIVE WILD BOOTSTRAP TESTING PROCEDURES

Efe Caglar Cagli [1]

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Purpose - This study aims to test the weak form efficient market hypothesis in Borsa Istanbul (BIST). We analyze weekly price indices, BIST-100, BIST-Financials, BIST-Industrials, BIST-Service, and BIST Technology over the period January 1988 – September 2018.

Methodology – In addition to well-known unit root tests, we apply adaptive wild bootstrap testing procedures proposed by Cavaliere et al. (2018) and Boswijk and Zu (2018), both considering the non-stationary volatility process.

Findings – The standard unit root tests provide mixed results. However, Carrion-i-Silvestre et al. (2009) and Maki (2015) unit root tests, and adaptive wild bootstrap testing procedures of both Boswijk and Zu’s (2018) and Cavaliere et al. (2018) suggest that all price indices contain unit root at 5% level.

Conclusion- The Turkish stock market is informationally weak-form efficient. The price indices follow a random-walk process; thus, it is fruitless to conduct trading strategies based on past price information to reap excess returns.

Market Efficiency, Borsa Istanbul, Unit Root, Long Memory, Adaptive Wild Bootstrap Testing
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Primary Language en
Subjects Humanities, Multidisciplinary
Journal Section Articles
Authors

Orcid: 0000-0002-8250-141X
Author: Efe Caglar Cagli (Primary Author)

Bibtex @research article { pap506093, journal = {PressAcademia Procedia}, issn = {}, eissn = {2459-0762}, address = {PressAcademia}, year = {2018}, volume = {8}, pages = {38 - 42}, doi = {10.17261/Pressacademia.2018.977}, title = {RE-VISITING THE TURKISH STOCK MARKET EFFICIENCY: EVIDENCE FROM ADAPTIVE WILD BOOTSTRAP TESTING PROCEDURES}, key = {cite}, author = {Cagli, Efe Caglar} }
APA Cagli, E . (2018). RE-VISITING THE TURKISH STOCK MARKET EFFICIENCY: EVIDENCE FROM ADAPTIVE WILD BOOTSTRAP TESTING PROCEDURES. PressAcademia Procedia, 8 (1), 38-42. DOI: 10.17261/Pressacademia.2018.977
MLA Cagli, E . "RE-VISITING THE TURKISH STOCK MARKET EFFICIENCY: EVIDENCE FROM ADAPTIVE WILD BOOTSTRAP TESTING PROCEDURES". PressAcademia Procedia 8 (2018): 38-42 <http://dergipark.org.tr/pap/issue/42051/506093>
Chicago Cagli, E . "RE-VISITING THE TURKISH STOCK MARKET EFFICIENCY: EVIDENCE FROM ADAPTIVE WILD BOOTSTRAP TESTING PROCEDURES". PressAcademia Procedia 8 (2018): 38-42
RIS TY - JOUR T1 - RE-VISITING THE TURKISH STOCK MARKET EFFICIENCY: EVIDENCE FROM ADAPTIVE WILD BOOTSTRAP TESTING PROCEDURES AU - Efe Caglar Cagli Y1 - 2018 PY - 2018 N1 - doi: 10.17261/Pressacademia.2018.977 DO - 10.17261/Pressacademia.2018.977 T2 - PressAcademia Procedia JF - Journal JO - JOR SP - 38 EP - 42 VL - 8 IS - 1 SN - -2459-0762 M3 - doi: 10.17261/Pressacademia.2018.977 UR - https://doi.org/10.17261/Pressacademia.2018.977 Y2 - 2019 ER -
EndNote %0 PressAcademia Procedia RE-VISITING THE TURKISH STOCK MARKET EFFICIENCY: EVIDENCE FROM ADAPTIVE WILD BOOTSTRAP TESTING PROCEDURES %A Efe Caglar Cagli %T RE-VISITING THE TURKISH STOCK MARKET EFFICIENCY: EVIDENCE FROM ADAPTIVE WILD BOOTSTRAP TESTING PROCEDURES %D 2018 %J PressAcademia Procedia %P -2459-0762 %V 8 %N 1 %R doi: 10.17261/Pressacademia.2018.977 %U 10.17261/Pressacademia.2018.977
ISNAD Cagli, Efe Caglar . "RE-VISITING THE TURKISH STOCK MARKET EFFICIENCY: EVIDENCE FROM ADAPTIVE WILD BOOTSTRAP TESTING PROCEDURES". PressAcademia Procedia 8 / 1 (December 2019): 38-42. https://doi.org/10.17261/Pressacademia.2018.977