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

Emre Esat TopaloÄŸlu () and Ilhan Ege ()
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Emre Esat TopaloÄŸlu: Department of Accounting and Finance, Sirnak University, Turkey,
Ilhan Ege: Department of Business Administration, Mersin University, Turkey,

from Óbuda University, Keleti Faculty of Business and Management

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.

Date: 2018
ISBN: 978-963-449-097-5
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