Hangi Sektörlerde Getiri Öngörülebilirliği İçin Tarihsel Fiyatlar Kullanılabilir? Otomatik Portmanteau Testi ile Borsa İstanbul Üzerine Ampirik Bir Çalışma
In Which Sectors Can Historical Prices Be Used for Return Predictability? An Empirical Study on Istanbul Stock Exchange with Automatic Portmanteau Test
Author(s): Oktay ÖZKANSubject(s): Financial Markets
Published by: Adem Anbar
Keywords: Return Predictability; Automatic Portmanteau Test; Return; Efficient Markets Hypothesis;
Summary/Abstract: The aim of this study, to compare return predictability in other words, the weak form of market efficiency of different sectors in Turkey. For this purpose, analyses were carried out by automatic portmanteau test with a 2-year sub-sample size using the daily data between 19.04.2000-07.02.2020 of 19 primary sector indexes within Borsa Istanbul. As a result of the analyses, it was understood that Transportation, Insurance, Electricity, and Metal Products Machinery sectors have higher return predictability periods and therefore their weak form market efficiency is lower than other sectors. In addition, it was determined that the sectors that have the least predictable periods of return, in other words, that have more weak form efficiency than other sectors, are Food Beverage, Banks, Wholesale and Retail Trade, and Wood Paper Printing.
Journal: Business and Economics Research Journal
- Issue Year: 11/2020
- Issue No: 3
- Page Range: 703-712
- Page Count: 10
- Language: Turkish