TESTING RANDOM WALK HYPOTHESIS FOR ISTANBUL STOCK EXCHANGE

Oktay Tas and Salim Dursunoglu
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Oktay Tas: Istanbul Technical University, Faculty of Management, Departmant of Accounting and Finance

No 1035, International Trade and Finance Association Conference Papers from International Trade and Finance Association

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.

Date: 2005-05-18
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