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The European Journal of Finance

Volume 10, Issue 6, 2004

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Abstract

This study documents the statistical properties of the stock returns on the Istanbul Stock Exchange (ISE) for the January 1988 to December 1999 period and tries to assess the evolution of the underlying stochastic structure over this time period. It also investigates empirically the relative efficiency of the ISE to test whether the rapid development of this market over the last decade caused it to become a relatively more efficient market. This is accomplished through a number of parametric and non-parametric tests of the random walk hypothesis using daily, weekly and monthly observations of the value-weighted ISE-100 index series. The emphasis is more on the evolution of the price process than on static tests of a random walk model as such. The findings indicate that the price mechanism in the ISE has evolved into a more informationally efficient process in little more than a decade of existence.

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Details

  • Published online: 19 Aug 2006

Author affiliations

  • a Faculty of Economics & Administrative Sciences , Boǧaziçi University , Istanbul, Turkey
  • b School of Management , University of Texas at Dallas , USA
  • c School of Management, Accounting Department , University of Texas at Dallas , P.O. Box 830688, SM 41, Richardson, Texas, 75083-0688, USA Phone: +1(972)883-4426 Fax: +1(972)883-4426 E-mail:

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