Abstract:

The aim of this study is to have an active role in G-20 countries (USA, Germany, Argentina, Australia, Brazil, China, Indonesia, France, South Africa, South Korea, India, England, Italy, Japan, Canada, Mexico, Russia, Saudi Arabia and Turkey). The aim of this study is to examine the validity of the market hypothesis by considering the non-normal distribution in the data set, non-linearity and structural breaks, unlike the literature. In this context, ADF, RALS-ADF, Fourier-ADF and Fourier-CSS unit root tests were used. According to the empirical findings of the tests applied, it has been concluded that the efficient market hypothesis is valid in all unit root tests applied to the stock market indices of Germany, Argentina, Australia, France, South Africa, South Korea, Japan and Saudi Arabia. On the other hand, it has been concluded that China's stock market index follows a static process in all unit root tests, that is, the efficient market hypothesis is invalid. It has been observed that the results vary according to the method used for the USA, Brazil, Indonesia, India, England, Italy, Canada, Mexico, Russia and Turkey.

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