HARVEY DOĞRUSALLIK TESTİ İLE BİST PİYASA ETKİNLİĞİNİN ANALİZİ
ANALYSIS OF MARKET EFFICIENCY AT BIST WITH HARVEY LINEARITY TEST
Author(s): Hasan Ayaydın, Alper Veli Çam, Abdulkadir Barut, Fahrettin PalaSubject(s): Evaluation research, Financial Markets
Published by: Sage Yayınları
Keywords: Market Activity; Bist; Harvey Lınearıty Test;
Summary/Abstract: Market efficiency is the most important factor affecting whether or not financial market players gain or lose excessive profits. In the study, BISST-100, whether the index derivation has a linear structure, was examined by Harvey's linearity test. The Harvey linearity test used, in contrast to the other tests, performs linearity analysis without requiring any prerequisites. This increases the strength of the test. Data used in the study consist of weekly observations between 31.01.1997 and 27.01.2017. In the analysis results, linearity BISST-100 was found to be linear. As a result, the result is that BİST is not an effective market in weak form
Journal: TURAN-SAM
- Issue Year: 10/2018
- Issue No: 40
- Page Range: 547-553
- Page Count: 7
- Language: Turkish