TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY

Year 2013, Volume: 5 Issue: 2, 10 - 22, 01.12.2013

Gizay Daver Merve Karacaer Hülya Ünlü

Abstract

We implemented several parametric and non-parametric tests to investigate
random walk hypothesis and market efficiency theorem for Turkey’s two main
markets, Turkish Derivatives Exchange and Borsa İstanbul(new name for İstanbul
Stock Exchange). 12/02/2007 – 08/02/2013 period is our testing period and we
used daily log returns. According to our findings in the very short term null
hypothesis of random walk is accepted.

Keywords

Efficient Markets, Random Walk, Borsa İstanbul, ISE, TurkDEX, runs test

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