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

• 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

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.