Abstract:

Do house price movements in Turkish housing market, which has been one of the prominent sectors of Turkish economy in recent years, indicate an efficient market? In this study, we aim to answer this question by testing Efficient Market Hypothesis for Turkish housing market with both traditional unit root tests and unit root tests with structural breaks. House price index, hedonic house price index, new housing price index and existing housing price index series have been analyzed using traditional unit root test of Augmented Dickey-Fuller (ADF) and Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and unit root tests with two structural breaks of Lee- Strazicich (LS) and Clemente, Montañés and Reyes (CMR) for the period of 2010M01-2018M07. Unit root tests applied to the natural logarithm of the series indicate the presence of unit root in all series. This evidence suggests that Turkish housing market is efficient in its weak form. 

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