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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

References

  • Campbell, John Y., Lo, Andrew W., & MacKinlay, A.Craig. (1997), “The
  • Econometrics of Financial Marketes”, New Jersey: Princeton University Press Ehrhardt, M.C., & Brigham, E.F.(2011), Financial Management: Theory and Practice (13th ed.) , Ohio: South-Western Cengage Learning.
  • Sharpe, W., Alexander, G.J., & Bailey, J.V. (1998), Investments (6th ed.), New
  • Jersey: Prentice Hall. Borges, Maria. Rosa (2011), “Random walk tests for the Lisbon stock market.”, Applied Economics, 43(5), pp.631-639.
  • Büyükşalvarcı, Ahmet, & Abdioğlu, Hasan (2011), “Testing weak form efficiency of the Turkish stock market”, African Journal of Business Management, Vol. 5 No.34, pp.13044-13056
  • Charels, Amélie,& Darné, Oliver (2009), “Variance-Ratio Tests Of Random
  • Walk: An Overview”, Journal Of Economic Surveys, Vol.23 No.3, pp.503-527
  • Crouch, R. L. (1970), “A Nonlinear Test of the Random-Walk Hypothesis.”,
  • American Economic Review, 60(1), pp.199-202. Ergül, Nuray (2009), “Ulusal Hisse Senetleri Piyasası’nda Etkinlik”, Journal Of
  • Administrative Sciences, 7(1), pp.101-117. Fama, Eugene F. (1965), “Random Walks in Stock Market Prices”, Financial
  • Analysts Journal , Vol. 21, No. 5, pp. 55-59
  • Jašić, Teo., & Wood, Douglas. (2006), “Testing for efficiency and non-linearity in market and natural time series.”, Journal Of Applied Statistics, 33(2), pp.113-138.
  • Jiang, George. J., & Tian, Yisong. S. (2012), “A random walk down the options market.”, Journal Of Futures Markets, 32(6), pp.505-535.
  • Khan, Walayet,& Vieito, João Paulo (2012), “Stock exchange mergers and weak form of market efficiency: The case of Euronext Lisbon”, International Review of
  • Economics & Finance, Volume 22, Issue 1, pp.173-189
  • Kleiman, Robert T., Payne, James E., & Sahu, Anandi P. (2002), “Random Walks and Market Efficiency: Evidence from International Real Estate Markets.”,
  • Journal Of Real Estate Research, 24(3), pp.279-297. Lock, Dat Bue, (2007),"The Taiwan stock market does follow a random walk.",
  • Economics Bulletin, Vol. 7, No. 3, pp.1-8
  • Payne, James E., & Sahu, Anandi P. (2004), “Random Walks, Cointegration, And The Transmission Of Shocks Across Global Real Estate And Equity Markets.”,
  • Journal Of Economics & Finance, 28(2), pp.198-210. Smith, Graham (2002), “Tests of the random walk hypothesis for London gold prices.”, Applied Economics Letters, 9(10), pp.671-674.
  • Smith, Graham, & Ryoo, Hyun-Jung (2003), “Variance ratio tests of the random walk hypothesis for European emerging stock markets”, The European Journal of Finance, Vol.9, pp.290-300
  • Tunçel, Ahmet Kamil (2007), “Rassal Yürüyüş(Random Walk) Hipotezi’nin
  • İMKB’de Test Edilmesi: Koşu Testi Uygulaması”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), pp.1-18. Urrutia, Jorge. L. (1995), “Tests Of Random Walk And Market Efficiency For
  • Latin American Emerging Equity Markets.”, Journal Of Financial Research, (3), pp.299-309. Van Horne, James C., & Parker, George C. (1967), “The Random-Walk Theory:
  • An Empirical Test.”, Financial Analysts Journal, 23(6), pp.87-92. Lo, Andrew W. & MacKinlay, A. Craig(1986:1987), “A Simple Specification
  • Test Of Random Walk Hypothesis”, Rodney L. White Center For Financial Research Working Papers 13-87, Pennsylvania: Wharton School of the University of Pennsylvania Borsa Verileri, verileri/endeks-verileri, [Accessed 24.07.2013]
  • IFC-İstanbul (2009), Strategy And Action Plan For İstanbul International Financial
  • Center, http://www.ifm.gov.tr/Shared%20Documents/Strategy%20and%20Action %20Plan%20for%20IFC%20Istanbul.pdf, [Accessed 03.10.2012]
  • İMKB (2013), Veriler, http://www.imkb.gov.tr/Data/StocksData.aspx, [Accessed 02.2013]
  • İstanbul Menkul kıymetler Borsası (2013), VOB-İMKB Birleşme Süreci Hk., pdf?sfvrsn=0, [Accessed 23.07.2013]
  • Türkiye Büyük Millet Meclisi (2012), Sermaye Piyasası Kanunu Tasarısı ile Plan ve Bütçe Komisyonu
  • Raporu(1/638), http://www.tbmm.gov.tr/sirasayi/donem24/yil01/ss337.pdf, Accessed 03.03.2013] VOB (2013),
  • Veriler, http://www.vob.org.tr/VOBPortalTur/DesktopModules/QuotaHistoricSho wCSV.aspx ,[Accessed 10.02.2013] (2013), Endeks http://borsaistanbul.com/veriler/verileralt/hisse-senetleri-piyasasi- http://borsaistanbul.com/docs/default-source/viop/genel-mektup

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

Gizay Daver Merve Karacaer Hülya Ünlü

Abstract

References

  • Campbell, John Y., Lo, Andrew W., & MacKinlay, A.Craig. (1997), “The
  • Econometrics of Financial Marketes”, New Jersey: Princeton University Press Ehrhardt, M.C., & Brigham, E.F.(2011), Financial Management: Theory and Practice (13th ed.) , Ohio: South-Western Cengage Learning.
  • Sharpe, W., Alexander, G.J., & Bailey, J.V. (1998), Investments (6th ed.), New
  • Jersey: Prentice Hall. Borges, Maria. Rosa (2011), “Random walk tests for the Lisbon stock market.”, Applied Economics, 43(5), pp.631-639.
  • Büyükşalvarcı, Ahmet, & Abdioğlu, Hasan (2011), “Testing weak form efficiency of the Turkish stock market”, African Journal of Business Management, Vol. 5 No.34, pp.13044-13056
  • Charels, Amélie,& Darné, Oliver (2009), “Variance-Ratio Tests Of Random
  • Walk: An Overview”, Journal Of Economic Surveys, Vol.23 No.3, pp.503-527
  • Crouch, R. L. (1970), “A Nonlinear Test of the Random-Walk Hypothesis.”,
  • American Economic Review, 60(1), pp.199-202. Ergül, Nuray (2009), “Ulusal Hisse Senetleri Piyasası’nda Etkinlik”, Journal Of
  • Administrative Sciences, 7(1), pp.101-117. Fama, Eugene F. (1965), “Random Walks in Stock Market Prices”, Financial
  • Analysts Journal , Vol. 21, No. 5, pp. 55-59
  • Jašić, Teo., & Wood, Douglas. (2006), “Testing for efficiency and non-linearity in market and natural time series.”, Journal Of Applied Statistics, 33(2), pp.113-138.
  • Jiang, George. J., & Tian, Yisong. S. (2012), “A random walk down the options market.”, Journal Of Futures Markets, 32(6), pp.505-535.
  • Khan, Walayet,& Vieito, João Paulo (2012), “Stock exchange mergers and weak form of market efficiency: The case of Euronext Lisbon”, International Review of
  • Economics & Finance, Volume 22, Issue 1, pp.173-189
  • Kleiman, Robert T., Payne, James E., & Sahu, Anandi P. (2002), “Random Walks and Market Efficiency: Evidence from International Real Estate Markets.”,
  • Journal Of Real Estate Research, 24(3), pp.279-297. Lock, Dat Bue, (2007),"The Taiwan stock market does follow a random walk.",
  • Economics Bulletin, Vol. 7, No. 3, pp.1-8
  • Payne, James E., & Sahu, Anandi P. (2004), “Random Walks, Cointegration, And The Transmission Of Shocks Across Global Real Estate And Equity Markets.”,
  • Journal Of Economics & Finance, 28(2), pp.198-210. Smith, Graham (2002), “Tests of the random walk hypothesis for London gold prices.”, Applied Economics Letters, 9(10), pp.671-674.
  • Smith, Graham, & Ryoo, Hyun-Jung (2003), “Variance ratio tests of the random walk hypothesis for European emerging stock markets”, The European Journal of Finance, Vol.9, pp.290-300
  • Tunçel, Ahmet Kamil (2007), “Rassal Yürüyüş(Random Walk) Hipotezi’nin
  • İMKB’de Test Edilmesi: Koşu Testi Uygulaması”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), pp.1-18. Urrutia, Jorge. L. (1995), “Tests Of Random Walk And Market Efficiency For
  • Latin American Emerging Equity Markets.”, Journal Of Financial Research, (3), pp.299-309. Van Horne, James C., & Parker, George C. (1967), “The Random-Walk Theory:
  • An Empirical Test.”, Financial Analysts Journal, 23(6), pp.87-92. Lo, Andrew W. & MacKinlay, A. Craig(1986:1987), “A Simple Specification
  • Test Of Random Walk Hypothesis”, Rodney L. White Center For Financial Research Working Papers 13-87, Pennsylvania: Wharton School of the University of Pennsylvania Borsa Verileri, verileri/endeks-verileri, [Accessed 24.07.2013]
  • IFC-İstanbul (2009), Strategy And Action Plan For İstanbul International Financial
  • Center, http://www.ifm.gov.tr/Shared%20Documents/Strategy%20and%20Action %20Plan%20for%20IFC%20Istanbul.pdf, [Accessed 03.10.2012]
  • İMKB (2013), Veriler, http://www.imkb.gov.tr/Data/StocksData.aspx, [Accessed 02.2013]
  • İstanbul Menkul kıymetler Borsası (2013), VOB-İMKB Birleşme Süreci Hk., pdf?sfvrsn=0, [Accessed 23.07.2013]
  • Türkiye Büyük Millet Meclisi (2012), Sermaye Piyasası Kanunu Tasarısı ile Plan ve Bütçe Komisyonu
  • Raporu(1/638), http://www.tbmm.gov.tr/sirasayi/donem24/yil01/ss337.pdf, Accessed 03.03.2013] VOB (2013),
  • Veriler, http://www.vob.org.tr/VOBPortalTur/DesktopModules/QuotaHistoricSho wCSV.aspx ,[Accessed 10.02.2013] (2013), Endeks http://borsaistanbul.com/veriler/verileralt/hisse-senetleri-piyasasi- http://borsaistanbul.com/docs/default-source/viop/genel-mektup
There are 33 citations in total.

Details

Other ID JA23PC27RT
Journal Section Articles
Authors

Gizay Daver This is me

Merve Karacaer This is me

Hülya Ünlü

Publication Date December 1, 2013
Published in Issue Year 2013 Volume: 5 Issue: 2

Cite

APA Daver, G., Karacaer, M., & Ünlü, H. (2013). TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY. International Journal of Economics and Finance Studies, 5(2), 10-22.
AMA Daver G, Karacaer M, Ünlü H. TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY. IJEFS. December 2013;5(2):10-22.
Chicago Daver, Gizay, Merve Karacaer, and Hülya Ünlü. “TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY”. International Journal of Economics and Finance Studies 5, no. 2 (December 2013): 10-22.
EndNote Daver G, Karacaer M, Ünlü H (December 1, 2013) TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY. International Journal of Economics and Finance Studies 5 2 10–22.
IEEE G. Daver, M. Karacaer, and H. Ünlü, “TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY”, IJEFS, vol. 5, no. 2, pp. 10–22, 2013.
ISNAD Daver, Gizay et al. “TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY”. International Journal of Economics and Finance Studies 5/2 (December 2013), 10-22.
JAMA Daver G, Karacaer M, Ünlü H. TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY. IJEFS. 2013;5:10–22.
MLA Daver, Gizay et al. “TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY”. International Journal of Economics and Finance Studies, vol. 5, no. 2, 2013, pp. 10-22.
Vancouver Daver G, Karacaer M, Ünlü H. TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY. IJEFS. 2013;5(2):10-22.