Evolving Market Efficiency in Istanbul Stock Exchange

Istanbul Technical University Selected Articles, pp. 271-291, 2003

19 Pages Posted: 23 Mar 2006

See all articles by Alovsat Muslumov

Alovsat Muslumov

Dogus University

Guler Aras

Yildiz Technical University

Bora Kurtulus

Dogus University

Abstract

The main purpose of this study is testing weak-form market efficiency hypothesis in ISE using the broadest sample and time series coverage that have been ever used. We use stock prices data of all companies that constitute ISE-100 index with time series covering 1990-2002 years. We test not only whether ISE is efficient in the weak-form sense, but also whether and how it is becoming more efficient. For this purpose, we use generalized auto-regressive conditional heteroscedastic (GARCH) model. Our research findings show that the stock returns of the individual stocks that constitute 65% of the sample space do not show random walk behavior. However, remaining part of the individual stocks exhibit significant random walk behavior. The findings for the ISE-100 national index provide support to the evolving market efficiency hypothesis. While ISE-100 index do not follow random walk for the initial period of the analysis, it gains random-walk behavior in the second period. The discrimination analysis between stocks whose returns do not follow random walk behavior and those whose returns follow random walk behavior do not significantly discriminate them.

Keywords: market efficiency, istanbul stock exchange, GARCH

JEL Classification: G14

Suggested Citation

Muslumov, Alovsat and Aras, Guler and Kurtulus, Bora, Evolving Market Efficiency in Istanbul Stock Exchange. Istanbul Technical University Selected Articles, pp. 271-291, 2003, Available at SSRN: https://ssrn.com/abstract=890077

Alovsat Muslumov (Contact Author)

Dogus University ( email )

Zeamet Sok. 21
Acibadem, Kadikoy
Istanbul, 34722
Turkey

Guler Aras

Yildiz Technical University ( email )

Istanbul
Turkey
+90 212 3832515 (Phone)
+90 212 2594202 (Fax)

HOME PAGE: http://guleraras.com

Bora Kurtulus

Dogus University ( email )

Zeamet Sok. 21
Acibadem, Kadikoy
Istanbul, 34722
Turkey

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