Weak form efficiency tests in Istanbul Stock Exchange
Author
Unal, Mustafa
Advisor
Şengül, Gülnur
Date
1992Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
Capital markets play an important role in allocating the
nation's capital resources. One way of evaluating their efficiency
in this process is to examine the behavior of share prices.
Efficient Market Hypothesis suggests that if this markets are
efficient in weak sense then the resulting prices should change
over time in a way such that past changes in prices should provide
no clues to future changes, otherwise there would be opportunities
for making profit and the markets would not be efficient.
This study tests the weak form efficiency of the
Stock Exchange. The data is composed of daily adjusted
prices of twenty major stocks and covers the period
January 1988 and December 1991. In the study, widely
statistical tests and trade rules test were applied,
randomness and distribution of daily prices
Istanbul
closing
between
accepted
Independence,
were tested
statistically, while trade rules tests were used to find whether
some mechanical trading rules (filtering) consistently and
significantly profitable over a naive buy-and-hold policy.
All tests used were against the weak form efficiency of the
Istanbul Stock Exchange. For all of the sample stocks, it was
found that people can beat the market by using appropriate filter
rules.