BORSA İSTANBUL İÇİN YAPILAN YARI-GÜÇLÜ FORMDA PİYASA ETKİNLİĞİ TESTİ ÇALIŞMALARI ÜZERİNE BİR LİTERATÜR İNCELEMESİ
A LITERATURE REVIEW OF SEMI-STRONG FORM MARKET EFFICIENCY TEST STUDIES CARRIED OUT FOR BORSA ISTANBUL

Summary/Abstract: Purpose: The purpose of this study is to make a literature review of the scientific/academic studies in which the semi-strong form market efficiency hypothesis is tested for Borsa Istanbul (BIST) Share Market by using the event study methodology.Method: The methodological basis of the study is the literature review approach and the sample of the study consists of a total of 63 scientific/academic studies belonging to the period between 2002-2017/9, which is deemed compatible with the purpose of the study.Findings: Findings of the study: The study indicates that, although the subject portfolio is relatively diverse, there is especially a relatively excessive number of studies on the merger and acquisition announcements; the studies have been mostly written in Turkish; the clustering problem is present in some studies; the lengths of the event window and estimation window vary from study to study; the market model has been predominantly used for calculating normal (expected) returns; the most frequently used variable representing the market portfolio is the BIST-100 index; the stock and stock market index price data that has been used are in Turkish Lira and daily frequency, and parametric tests have been predominantly used in determining the statistical significance of abnormal returns and cumulative abnormal returns.Results: Based on the results of the study: the future studies could be written in English; in order to prevent the literature from being superficial, future studies should be carried out on new subjects; instead of BIST-100 index, other indices could be used to represent the market portfolio; stock price and stock market index data in USD could be used in studies, and there is a gap in Turkish literature in terms of theoretical and methodological scientific/academic studies on the event study methodology

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