Weak form efficiency tests in Istanbul Stock Exchange by using moving averages
Author
Yılmaz, H. Serkan
Advisor
Muradoğlu, Gülnur
Date
1996Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
76
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28
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Abstract
This study tests the weak-foim efficiency in Istanbul Stock Exchange by forming
portfolios of randomly selected stocks and applying moving averages
methodology on these portfolios. Differing moving average rules are applied on
random portfolios for the time period 1/1/1988-30/9/1995. Finally, returns of the
selected strategies are compared with naive buy hold policy by computing
excess returns and t ratios.
This study shows that Istanbul Stock Exchange is not weak-form efficient. The
returns of certain strategies brought returns significantly higher than the naive
buy-hold policy.