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2017 Annals Constantin Brancusi U. Targu Jiu, Letters & Soc. Sci. Series 35 (2017)
The Testing of Efficient Market Hypothesis in Borsa Istanbul

handle is hein.journals/ancnbt2017 and id is 197 raw text is: Annals of the ,,Constantin Brincusi University of Thrgu Jiu, Letter and Social Science Series, 2/2017 THE TESTING OF EFFICIENT MARKET HYPOTHESIS IN BORSA ISTANBUL Assistant Prof. Dr. Ali AKGUN Selcuk University, Konya, Turkey Assistant Prof. Dr. I. Erem SAHIN Selcuk University, Konya, Turkey eremsahin@secuk.edu.tr Abstract The purpose of this study is to investigate the existence of the efficient market hypothesis in BIST 100, BIST Industry, BIST Service and BIST Financial indexes located in Stock Exchange Istanbul. The data related to the indices used in the study were taken as daily closing prices between 04.01.2010-02.11.2017 and the daily returns of the indices were calculated taking the closing prices into consideration. In the study, the volatility of the index returns will be tested with unit root tests and structural breaked unit root tests and the results will be evaluated in terms of the efficient market hypothesis. Keywords: BIST, Efficient Market Hypothesis, Structural Break, Unit Root. ** This paper has been presented at 4th International Conference on Business and Economics Studies held in Istanbul, Turkey on December 8-10, 2017 1. INTRODUCTION Stock exchanges, which have increased in importance in recent years due to funding especially for developing countries and which have financial resources in terms of companies, are considered as an alternative investment tool in terms of investors who want to evaluate their savings. Naturally, investors will want to get more returns from their investments. From this point of view, it is very important to determine the security prices correctly when calculating the gains. Stock exchanges, especially developed under the influence of globalization, brought the question of whether stock prices could be predicted in the future. The sharp increases in the capital movements that have flowed to the developing countries have brought about the discussions on the efficiency of these markets. In the economic literature, until Samuelson (1965), no theory about the current price movements in capital markets has been developed. After Samuelson, in 1970, Fama's Efficient ,,ACADEMICA BRANCUSIPUBLISHER 35