İstanbul Menkul Kıymetler Borsası’nda Tesadüfi Yürüyüş Testi(Testing for Random Walks in the Istanbul Stock Exchange)

İstanbul Menkul Kıymetler Borsası’nda Tesadüfi Yürüyüş Testi(Testing for Random Walks in the Istanbul Stock Exchange)

Random walk model is one of the models that are used to test weak-form efficiency. If changes in stock prices follow a random walk model, the price changes will not have serial correlation. In this study, the Istanbul Stock Exchange 100 Index closing price changes for one, five, nine, and sixteen da...

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Bibliographic Details
Main Authors: Derya Kahraman, Mehmet Erkan
Format: Article
Language:deu
Published: Celal Bayar University 2005-01-01
Series:Yönetim ve Ekonomi
Subjects:
Bilgisel Etkinlik
Zayıf Formda Etkinlik
Tesadüfi Yürüyüş Modeli
Serisel Korelasyon Testi
Informational Efficiency
Weak-Form Efficiency
Random Walk Model
Serial Correlation Test
Online Access:http://www2.bayar.edu.tr/yonetimekonomi/dergi/pdf/C12S12005/DKME.pdf
Description
Summary:Random walk model is one of the models that are used to test weak-form efficiency. If changes in stock prices follow a random walk model, the price changes will not have serial correlation. In this study, the Istanbul Stock Exchange 100 Index closing price changes for one, five, nine, and sixteen day differencing intervals for 1.1.1996-27.10.2004 period and three non-overlapping sub periods are tested for serial correlation. Since the results verify that the Istanbul Stock Exchange 100 Index does not follow a random walk model during any of the periods tested, investors may be able to profit from some carefully designed trading rules.
ISSN:1302-0064

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