TESTING RANDOM WALK HYPOTHESIS FOR ISTANBUL STOCK EXCHANGE

Yıl 2019, Cilt: 9 Sayı: 1, 48 - 53, 30.07.2019

Oktay Tas Cigdem Guleroglu Atac

https://doi.org/10.17261/Pressacademia.2019.1063

Öz

Purpose- This
study 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 are
used to search for random walk in stock market. Natural log returns of BIST-30
index firms, BIST-30 index, participation index firms and participation index
are analysed by both tests over a five year period from 2013 to 2018.
Therefore, BIST30 index returns together with BIST100 and BISTTUM indexes are
analysed in a longer period from 2000 to 2018 including 2001 and 2008 financial
crises in Turkey.

Findings- Weak
form market efficiency is justified according to Dickey Fuller test, but not
for Runs test.

Conclusion- While
Dickey Fuller test results reject random walk in ISE, which leads that weak
form market efficiency is not justified; Runs test are failed to give certain
results on market efficiency for the same data set and time period.

Anahtar Kelimeler

Market efficiency in weak form, Dickey Fuller random walk test, runs test, Istanbul Stock Exchange Indexes, efficient market hypothesis

Kaynakça

• Aytekin, S. & Erol, A. (2017). A Testing the Weak–Form Market Efficiency on the Borsa Istanbul (BIST) Sustainability Index (XUSRD): Runs Test Application. International Journal of Business and Management Invention, Volume 6, Issue 5, pp. 68-75.
• Balaban, E. (1995, February). Informational Efficiency of the Istanbul Securities Exchange and Some Rationale for Public Regulation. The Central Bank of the Republic of Turkey, Discussion Paper No: 9502, 1-27.
• Cai, B. M., Cai, C. X. & Keasey, K. (2005). Market efficiency and returns to simple technical trading rules: further evidence from U.S., U.K., Asian and Chinese stock markets. Asia-Pacific Financial Markets, 12(1), 45-60.
• Chan, K. & Gup, B. (1992). An empirical analysis of stock prices in major Asian markets and the United States. The Financial Review, 27(2), 289–307.
• Ely, R. A. (2011). Returns predictability and stock market efficiency in Brazil. Brazilian Review of Finance, 9(4), 571-584.
• Grossman, S. J., Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. The American Economic Review, 70(3), 393-408.
• Hamid, K., Suleman, M. T., Shah, S. & Akash, R. (2010). Testing the weak form of efficient market hypothesis: empirical evidence from Asia-Pacific markets. International Research Journal of Finance and Economics, 58, 121-133..
• Jefferis, K., & Graham, S. (2005). The changing efficiency of African stock markets. South African Journal of Economics, 73(1), 54-67.
• Karahan, M., & Alsu, E. (2016). Are the eastern European markets efficient? Evidence from nonlinear unit root test. International Journal of Academic Research in Economics and Management Sciences. 5(4): 252-263.
• Khrapko, V. (2013). Testing the weak-form efficiency hypothesis in the Ukranian stock markets versus those of the USA, Russia, and Poland. Ekonomika, 92(2), 108-121.
• Kumar, S., & Kumar, L. (2015). Market efficiency in India: an empirical study of random walk hypothesis of Indian stock market - NSE midcap. ZENITH International Journal of Multidisciplinary Research, 5(1), 167-177.
• Lim, T. C., Huang, W., Yun, J. L., & Zhao, D. (2013). Has stock market efficiency improved? Evidence from China. Journal of Finance & Economics, 1(1), 01-09.
• Onali, E. & John, G. (2011). Are European equity markets efficient? New evidence from fractal analysis. International Review of Financial Analysis, 20(2), 59-67.
• Pham, V., Nguyen, D. & Tô, T. (2007). Abnormal returns after large stock price changes: evidence from Asia-Pacific markets.
• Tas, O., & Dursunoglu, S. (2005). Testing Random Walk Hypothesis for Istanbul Stock Exchange. International Trade and Finance Association 15th International Conference (s. 1-17). Istanbul: International Trade and Finance Association Conference Papers.
• Urrutia, J. L. (1995). Tests of random walk and market efficiency for Latin American emerging equity markets. The Journal of Financial Research, 18(3), 299-309.