Testing the weak–form market efficiency on the Borsa Istanbul (BIST) Sustainability Index (XUSRD): Runs test application

Abstract

An efficient market is a concept discussed and maintained in the financial literature. This concept expressed as the instant reflection of all the information concerning the stocks defends that there shouldn’t be any stocks that are low or overvalued on the market. The purpose in this study is the weak-form efficiency of stock market in Turkey to be analyzed with the help of Runs Test. In the research, daily session closing prices of the stocks being currently traded in the Borsa Istanbul (Istanbul Stock Exchange) Sustainability Index within a 12–month period between the dates 01.12.2015 and 30.11.2016 have been employed and tested whether or not the consecutive price changes in said range of time were independent from each other. The fact that consecutive price changes were dependent on each other has revealed that the Random Walk Hypothesis was not applicable in terms of the index examined. The outcome acquired contains findings that BIST stock market is not a weak– form efficient market.