Testing the adaptive market hypothesis in Borsa Istanbul sector indices

Although the Effective Market Hypothesis and Behavioral Finance issues have been introduced to the literature in different periods, the conflicts between the two views have been continuing since these concepts entered the literature. With the introduction of the Adaptive Market Hypothesis in the literature in 2004, researchers had the opportunity to examine the existing differences with a more unifying perspective. The Adaptive Market Hypothesis has shown a compromise between the two existing cases. This hypothesis affirmed that markets must adapt to changing conditions. This hypothesis, proposed as an alternative to the Efficient Market Hypothesis, focused on the behavioral characteristics of individuals in the decision process. Lo (2004) stated that anomalies, which are considered to be in conflict with the Efficient Market Hypothesis, may exist in the market. He refused market efficiency and stated that in some cases an above average yield could be obtained. He stated that individuals can make mistakes and develop learning behaviors based on these mistakes. It drew attention to issues such as competition, innovation and adaptation. He approached cases from an evolutionary and more behavioral perspective. In this study, daily closing prices of 17 different sectors, especially BIST100 covering the period between January 1997 and August 2020, were tested with the help of automatic portmanteau test and variance ratio test. In addition, the existing data were analyzed using the 300-day rolling window approach method. According to the results of the automatic portmanteau test and the variance ratio test, some sectors gave meaningful consequences with AMH and some sectors gave meaningless consequences with AMH. According to the results of the 300-day rolling window approach analysis, all sectors with the Adaptive Market Hypothesis as a result of the data on different indices.