Weak form efficiency tests in Istanbul Stock Exchange by using moving averages

Date

1996

Editor(s)

Advisor

Muradoğlu, Gülnur

Supervisor

Co-Advisor

Co-Supervisor

Instructor

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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.

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Keywords

Degree Discipline

Business Administration

Degree Level

Master's

Degree Name

MBA (Master of Business Administration)

Citation

Published Version (Please cite this version)

Language

English

Type