The Efficient Market Hypothesis: Evidence from Turkey

Kılıç, Yunus; Buğan, Mehmet Fatih

doi:10.6007/ijarbss/v6-i10/2356

Cited by 12 publications

(6 citation statements)

References 31 publications

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“…As a solution, they need to contact the securities analysts having more information for selecting the bought and sold stocks to get a positive return. Hence, this study affirms the theory of efficient market in the weak form and supports the research of Fawson et al (1996), Tambotoh and Sunarto (2001), Capobianco et al (2002), Asiri (2008), Munir and Mansur (2009), Ajao and Osayuwu (2012), Sheefeni (2015), and Kiliç and Buğan (2016).…”

Section: Discussionsupporting

confidence: 90%

“…Unfortunately, the concept of the inefficient market in the weak form is still debatable. This condition gets confirmed by some researchers supporting the perspective of the weak-form efficiency market by stating the market index movement follows a random walk (Fawson, Glover, Fang, & Chang, 1996;Tambotoh & Sunarto, 2001;Capobianco, Cister, & Maceiό, 2002;Asiri, 2008;Munir & Mansur, 2009;Ajao & Osayuwu, 2012;Sheefeni, 2015;Andrianto & Mirza, 2016;Kiliç & Buğan, 2016). By considering two different points of view and their supporting evidence, this research proves the efficient market theory in the weak form by the return of the market index in Indonesia from 2014 to 2018.…”

Section: Introductionmentioning

confidence: 74%

“…Similarly, Andrianto and Mirza (2016) validate this proof once investigating the daily return of stocks forming the Kompas 100, LQ45, and Islamic Jakarta indexes from 2013 to 2014. In their investigation on Istanbul Stock Exchange (ISE) 30, ISE50, ISE100, and ISE Composite indices between January 2nd, 2003 and September 30th, 2015, Kiliç and Buğan (2016) report that all of their return moves randomly. By mentioning the efficient market theory in the weak shape and the relevant study evidence, hypothesis one offered is in this way: H1: The movement of the market index follows a random walk.…”

Section: Literature Reviewmentioning

confidence: 99%

“…By referring to the explanation of Hartono (2012), this research only employs one variable. According to Tambotoh and Sunarto (2001), Munir and Mansur (2009), Sheefeni (2015), and Kiliç and Buğan (2016), market index return is the relevant variable in the efficient market in the weak shape examination. The derivation of this variable into indicators, furthermore, can be looked at in Table 1.…”

Section: B the Operational Definition Of The Research Variablementioning

confidence: 99%

“…The derivation of this variable into indicators, furthermore, can be looked at in Table 1. Munir and Mansur (2009), Sheefeni (2015), and Kiliç and Buğan (2016)…”

Section: B the Operational Definition Of The Research Variablementioning

confidence: 99%

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Does The Efficient Market Theory In The Weak Form Exist? Evidence From Indonesia

Hadianto

Hendrik

Yuwana

2021

jmi

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In the weak-form market efficiency theory, investors cannot predict the movement of all prices because of randomness. This circumstance happens because of a quick market reaction to new information. Conversely, suppose the market is not efficient in this shape; in that case, the investors can obtain an abnormal return. One of the reasons is the thin market, where many inactive stocks to be traded are available. Based on these issues, this research intends to examine this theory by employing runs testing on the daily returns of the Indonesia Composite Index (ICI) between January 2014 and December 2018 for each year and a whole. Once performing this test, this research demonstrates that the daily returns of the ICI are random for both situations. By denoting these facts, this research concludes that the capital market in Indonesia is efficient in a weak form and experiences a decrease in the thin level, reflected by the escalation in trading frequency, volume, and value, as well as the number of dynamic shares transacted. This research suggests that investors without sufficient information should utilize the service of the securities analysts to select the stocks they buy and sell to get the capital gain. Keywords – an efficient market in the weak form; market index return; runs test; thin market

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Section: Discussionsupporting

confidence: 90%

Section: Introductionmentioning

confidence: 74%

Section: Literature Reviewmentioning

confidence: 99%

Section: B the Operational Definition Of The Research Variablementioning

confidence: 99%

“…The derivation of this variable into indicators, furthermore, can be looked at in Table 1. Munir and Mansur (2009), Sheefeni (2015), and Kiliç and Buğan (2016)…”

Section: B the Operational Definition Of The Research Variablementioning

confidence: 99%

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Does The Efficient Market Theory In The Weak Form Exist? Evidence From Indonesia

Hadianto

Hendrik

Yuwana

2021

jmi

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Impact of major global events on the Turkish stock market efficiency

Aktan

2022

Hitit Sosyal Bilimler Dergisi

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Market efficiency is of great importance to many investors, policy makers, as well as researchers. It provides them with information regarding the market and acts as a guide in their decision-making process. For this reason, there have been extensive amount of research done through the years. However, the World has witnessed several major events in the last couple of decades, which has been of great importance for financial markets, having both direct and indirect impacts. The Global Financial Crisis of 2008 and the COVID-19 pandemic can be the two most important events the World has experienced. Although past research shows that the impact of both events on the efficiency of the stock markets were looked at in separate studies, there is lack of studies involving both major events and analysing how the efficiency of the stock market is changing between these periods. The aim of this study is to analyse the weak-form efficiency of the Turkish stock market and how it has evolved over time. There are 4 different data sets used to observe the changes in market efficiency, with full sample ranging from February 1988 to September 2022. Monthly closing prices of the BIST100 Index are analysed using both the traditional linear Augmented Dickey-Fuller unit root test and 5 different non-linear unit root tests. Results show that different tests have different strengths in capturing the stationarity and due to the LNV test Turkish Stock Market was found not to be weak form efficient.

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Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul

Burhan

Acar

2021

Sosyoekonomi

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The adaptive market hypothesis (AMH) has recently attracted significant interest in the financial literature. The AMH has started to be considered an alternative to the efficient market hypothesis. In this respect, this study, first of all, examines the AMH for the BIST100 index of Turkey's Borsa Istanbul stock exchange market by testing the return predictability. The applications are performed via automatic portmanteau and the generalized spectral (GS) tests using daily closing price data between January 1988 and December 2017. Secondly, the results of these tests are utilized for a hidden Markov model (HMM) application to examine the periods that yield return predictability. According to the results, it is observed that there is strong evidence for the validity of AMH within the scope of Borsa Istanbul's BIST100. Additionally, the results of the HMM application confirm the periodic predictability regarding the determinants of the index.

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The Efficient Market Hypothesis: Evidence from Turkey

Cited by 12 publications

References 31 publications

Does The Efficient Market Theory In The Weak Form Exist? Evidence From Indonesia

Does The Efficient Market Theory In The Weak Form Exist? Evidence From Indonesia

Impact of major global events on the Turkish stock market efficiency

Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul

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