TEST OF THE WEAK FORM EFFICIENT MARKET HYPOTHESIS FOR THE ISTANBUL STOCK EXCHANGE BY MARKOV CHAINS METHODOLOGY

Bu çalışma İstanbul Menkul Kıymetler Borsası 100 endeksine ait günlük getirilerinin rassal yürüyüş gösterip göstermediği Markov zincirleri yöntemi ile test edilmektedir. Eğer bir piyasada zayıf formda etkinlik hipotezi geçerli ise hisse senedi getirileri rassal yürüyüş özelliği gösterecektir. Rassal yürüyüş teorisi hisse senedi getirilerinin tarihsel fiyat verileriyle tahmin edilemeyeceğini öngörür. Böylece rassal yürüyüş özelliği gösteren bir piyasada tarihsel fiyat verilerine dayanılarak gerçekleştirilen teknik analiz yöntemleri geçersiz olacaktır.

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Test of The Weak Form Efficient Market Hypothesis for The Istanbul Stock Exchange By Markov Chains Methodology

In this study Markov chain methodology is used to test whether or not the daily returns of the Istanbul Stock Exchange ISE 100 index follows a martingale random walk process If the Weak Form Efficient Market Hypothesis EMH holds in any stock market stocks prices or returns follow a random walk process The random walk theory asserts that price movements will not follow any patterns or trends and that past price movements cannot be used to predict future price movements hence technical analysis is no use

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