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

Authors : Efe Caglar CAGLİ

Pages : 38-42

Doi:10.17261/Pressacademia.2018.977

View : 28 | Download : 6

Publication Date : 2018-12-30

Article Type : Research Paper

Abstract :Purpose - This study aims to test the weak form efficient market hypothesis in Borsa Istanbul insert ignore into journalissuearticles values(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. insert ignore into journalissuearticles values(2018); and Boswijk and Zu insert ignore into journalissuearticles values(2018);, both considering the non-stationary volatility process. Findings – The standard unit root tests provide mixed results. However, Carrion-i-Silvestre et al. insert ignore into journalissuearticles values(2009); and Maki insert ignore into journalissuearticles values(2015); unit root tests, and adaptive wild bootstrap testing procedures of both Boswijk and Zu’s insert ignore into journalissuearticles values(2018); and Cavaliere et al. insert ignore into journalissuearticles values(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