EFFICIENT MARKETS HYPOTHESIS: BIST APPLICATION
ETKİN PİYASALAR HİPOTEZİ: BİST UYGULAMASI

Author : Ahmet BAYRAKTAR
Number of pages : 183-200

Abstract

Efficient markets are defined as the markets where the securities prices reflect all available information. The Efficient Markets Hypothesis (EMH) suggests that publicly disclosed information is reflected in financial asset prices without delay and that information that will affect the price of each future financial instrument, either positively or negatively, will be reflected in the current price of the asset. According to the hypothesis, market processes evaluate information rationally, related information is not ignored and systematic errors are not made. In this study, BIST National 100 Index changes were examined in 2018-2020. BIST Index changes are periodically performed quarterly. According to the results of the study, in the 10-day period following the announcement of the index change, the above-normal return (210% in total) can be obtained within the framework of the newly added stocks. This result does not comply with the assumption that an abnormal return cannot be obtained in an efficient market. According to the results of the study, changes in index reveal new information about stocks. Investors make or review investment decisions within the framework of new information that reaches the market.

Keywords

Index Changes, Abnormal Return, Efficient Markets Hypothesis

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