Abstract:

The aim of this study is to examine the validity of Fama's efficient market hypothesis for G7 countries. In this context, the effectiveness test on weak form was conducted with the help of the non-stationary panel unit root tests within the G7 countries for the period of 1990-2020. Firstly, cross section dependence is examined with CDlm test. As a result of the presence of cross section dependency, CADF and Hadri Kurozumi second generation non-stationary panel unit root tests, which take into account the cross section dependence, were used. In line with the empirical findings obtained, it has been concluded that the markets in G7 countries are weakly efficient. According to this result, all the information that a financial asset has in the past is reflected in the price of the financial asset and it is not possible to determine the future price of any financial instrument by looking at the historical price movement. The fact that financial asset prices are not stable in weakly active markets with a random walk means that future financial asset markets cannot be predicted based on past prices. Key Words: Efficient Market Hypothesis, Panel Data Analysis, Panel Unitroot Test JEL Classification: C23, F30, F37