The distributional properties and weak efficiency in Istanbul Stock Exchange: a sectoral analysis

Abstract

The purpose of this study is to present some empirics of the Turkish stock market which is a fast growing emerging market. Statistical properties of daily, weekly and monthly returns on sector price indexes on the Istanbul Securities Exchange (ISE) are employed to investigate the distributional properties and efficiency of returns. Empirical evidence indicates that returns of Turkish stocks are found to be heavily leptokurtic and non-normal in all frequencies. Also daily and weekly stock returns exhibit a strong ARCH (Auto Regressive Conditional Heteroscedaticity) effect. The BDS test fails to reject the null hypothesis that ISE stocks are independently and identically distributed in all frequencies. Finally the weak form efficiency is rejected for stock price index changes at all frequencies using both autocorrelation and randomness tests.