İstanbul Menkul Kıymetler Borsası (İMKB) İçin Zayıf Etkinlik Sınaması: Stokastik Birim Kök ve Kalman Filtre Yaklaşımı

Authors : Ferhan ÇEVİK, Yeliz YALÇIN

Pages : 21-36

View : 34 | Download : 13

Publication Date : 2003-06-01

Article Type : Research Paper

Abstract :In this study, the weak efficiency of the Istanbul Stock Exchange insert ignore into journalissuearticles values(1SE); National 100 Price Index was investigated using weekly data between 1986-2002 period employing Random Walk Process. As an alternative to the previous studies concerning the weak efficiency of ISE, stochastic unit root analysis was performed for price changes. Secondly, roots for each time point were estimated by Kalman Filter Method. Thus, weak efficiency of the ISE was determined for each time point instead of a periodic determination. Moreover, with the exception of 1987, ISE data was not seen to be weak in efficiency.
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