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

Year 2018, Volume: 8 Issue: 1, 38 - 42, 30.12.2018

Efe Caglar Cagli

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

Abstract

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.

Keywords

Market Efficiency, Borsa Istanbul, Unit Root, Long Memory, Adaptive Wild Bootstrap Testing

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