Özet:

Markets where investors are rational and where abnormal returns cannot be obtained by using past price movements are considered as efficient. Fama (1965, 1970) suggests that with the efficient market hypothesis, new information coming to the markets will be spread immediately in the markets and this information will be reflected in the securities prices instantly. The efficient market hypothesis has been accepted in the financial literature until the 1990s and has been supported by many studies by researchers. The validity of the efficient market has become open to debate with claims such as calendar anomalies, behavioral errors and biases, and investors are not being rational since the early 1990s. The validity of the efficient market hypothesis has started to be examined with the permanent effect of shocks occur on the markets in recent years. The fact that the impact of a shock occurring in the market shows a permanent feature indicates that the market is efficient in weak form and if the impact of the shock is transitory, the market is not efficient in weak form. Accordingly, in this study, the permanent property of shocks occurring in BRICS-T country stock indexes for the period of April 2003-May 2020 has been examined. Methodology- In the study, the second-generation panel unit root tests, which consider the cross-section dependency, were used to evaluate the permanent and transitory shocks in the country stock market indices. Accordingly, country stock market indexes were analyzed through SURADF, which ignores the structural break and Panel KPSS unit root tests, which take into account the structural break. Findings- According to empirical results that are ignoring the structural break, it is found that Brazil, India and Turkey stock markets are stationary, but Russia, China and South Africa stock markets are non-stationary. Structural break unit root test results showed that all stock market indexes examined in the study were stationary with structural breaks. The stationary of the stock index series indicates that the impact of a shock in the countries on the indices is transitory and the index will stabilize over time, but it is not efficient in weak form in terms of market efficiency. As a result, it shows that investors operating in the markets of these countries can develop a profitable investment strategy by following past price movements.

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