The main purpose of this study is testing weak-form market efficiency hypothesis in ISE using the broadest sample and time series coverage that have been ever used. We use stock prices data of all companies that constitute ISE index with time series covering years. We test not only whether ISE is efficient in the weak-form sense, but also whether and how it is becoming more efficient.

For this purpose, we use generalized auto-regressive conditional heteroscedastic GARCH model.

However, remaining part of the individual stocks exhibit significant random walk behavior. The findings for the ISE national index provide support to the evolving market efficiency hypothesis.

While ISE index do not follow random walk for the initial period of the analysis, it gains random-walk behavior in the second period. The discrimination analysis between stocks whose returns do not follow random walk behavior and those whose returns follow random walk behavior do not significantly discriminate them.

Muslumov, Alovsat and Aras, Guler and Kurtulus, Bora, Evolving Market Efficiency in Istanbul Stock Exchange. Istanbul Technical University Selected Articles, pp. International Corporate Finance eJournal.

Testing weak-form market efficiency: Evidence from the Istanbul Stock Exchange

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Alovsat Historical exchange rate turkish lira euro Dogus University Guler Aras Yildiz Technical University Bora Kurtulus Dogus University.

EFFICIENT MARKET HYPOTHESIS | Ruth Badru - bozunoteyuta.web.fc2.com

Abstract The main purpose of this study is testing weak-form market efficiency hypothesis in ISE using the broadest sample and time series coverage that have been ever used.

Alovsat Muslumov Contact Author Dogus University email Zeamet Sok. Bora Kurtulus Dogus University email Zeamet Sok.

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Evolving Market Efficiency in Istanbul Stock Exchange by Alovsat Muslumov, Guler Aras, Bora Kurtulus :: SSRN

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