Özet:

Purpose- This study investigates weak form market efficiency of Istanbul Stock Exchange (ISE) via Random Walk Hypothesis (RWH). Methodology-  Two random walk tests, Dickey-Fuller and Runs test are used to search for random walk in stock market. Natural log returns of BIST-30 index firms, BIST-30 index, participation index firms and participation index are analysed by both tests over a five year period from 2013 to 2018. Therefore, BIST30 index returns together with BIST100 and BISTTUM indexes are analysed in a longer period from 2000 to 2018 including 2001 and 2008 financial crises in Turkey. Findings- Weak form market efficiency is justified according to Dickey Fuller test, but not for Runs test. Conclusion- While Dickey Fuller test results reject random walk in ISE, which leads that weak form market efficiency is not justified; Runs test are failed to give certain results on market efficiency for the same data set and time period.

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