Corrigendum to “Analysis of market efficiency at Borsa Istanbul : Harvey Linearity Test” [Journal of Accounting, Finance and Auditing Studies 2/1 (2016) 113-124]

Abstract

Market efficiency is the most important factor affecting the situation as to whether to obtain excessive profits of the investors. In the study, the return of BIST-100 Index and the efficiency of its sub-indices Industrial, Technology, Financial and Service Indices were examined. Used Harvey linearity test, beside other tests analysis linearity without any pre-condition. This increases the power of the test. The data set used in this study is the period between 07.03.2000 and 09.22.2015 consists of 3723 observations. The results of the study say that the analyzed variables are nonlinear. According to the results of the nonlinear unit root test, all the variables examined have a stationary structure. The excess returns are concerned. Therefore, the efficient market hypothesis in weak form in the markets is not valid.

Piyasa etkinligi, finansal piyasa oyuncularinin asiri kazanc elde edip etmeme durumunu etkileyen en onemli faktordur. Calismada BIST100 Endeks getirisini ve alt endeksleri olan Sinai, Teknoloji, Mali ve Hizmet Endekslerinin etkinligi incelenmistir. Kullanilan Harvey dogrusallik testi, diger testlerin aksine, hicbir on kosul gerektirmeden dogrusallik analizi yapmaktadir. Bu da testin gucunu arttirmaktadir. Calismada kullanilan veriler 03.07.2000 ile 22.09.2015 yillari arasinda olup 3723 gozlemden olusmaktadir. Analiz sonuclarinda, dogrusalligi incelenen tum degiskenlerin, dogrusal bir yapida olmadigi tespit edilmistir. Dogrusal olmayan birim kok testi sonuclarina gore ise incelenen tum degiskenler duragan bir yapidadir. Dolayisiyla ele alinan piyasalarda zayif formda etkin piyasa hipotezinin gecerli olmadigi sonucuna ulasilmistir.