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

Efe Caglar CAGLİ

doi:https://doi.org/10.17261/Pressacademia.2018.977

Makale detayları

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

Yazarlar:

Efe Caglar CAGLİ

Yayıncı:

PressAcademia

Ana Başlıklar:

Sosyal Bilimler

Dergi:

PressAcademia Procedia 2018 Vol.8 Issue 1, pp.38-42

Belge Tipi:

Makale

Yayın Tarihi:

12/2018

Belge Dili:

İngilizce

Document ID (Org No.):

2000775701

Sıklık:

Üç Yıllık

eISSN:

2459-0762

DOI:

https://doi.org/10.17261/Pressacademia.2018.977

Özet:

 


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.

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Makale detayları

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

Yazarlar: Efe Caglar CAGLİ

Yayıncı: PressAcademia

Ana Başlıklar: Sosyal Bilimler

Dergi: PressAcademia Procedia 2018 Vol.8 Issue 1, pp.38-42

Belge Tipi: Makale

Yayın Tarihi: 12/2018

Belge Dili: İngilizce

Document ID (Org No.): 2000775701

Sıklık: Üç Yıllık

eISSN: 2459-0762

DOI: https://doi.org/10.17261/Pressacademia.2018.977

Sayı

Yazarlar:

Efe Caglar CAGLİ

Yayıncı:

PressAcademia

Ana Başlıklar:

Sosyal Bilimler

Dergi:

PressAcademia Procedia 2018 Vol.8 Issue 1, pp.38-42

Belge Tipi:

Makale

Yayın Tarihi:

12/2018

Belge Dili:

İngilizce

Document ID (Org No.):

2000775701

Sıklık:

Üç Yıllık

eISSN:

2459-0762

DOI:

https://doi.org/10.17261/Pressacademia.2018.977