Efficient market hypothesis: An application on the Turkish banking sector

The efficient market hypothesis; is a hypothesis that the prices formed randomly and hence the expected future price of the relevant stocks cannot be presumed by looking at today's prices. For the investors a marketing whether efficent or not is a big matter. As a matter of fact, if a market is efficient, investors cannot get return above average. This research is intending for testing weak-form efficiency of Turkish banking sector. In this context 12 banks' monthly closing prices including BIST Bank Index got analyzed and were tested wheter weak-form efficiency or not. These banks BIST Bankalar Endeksi, Akbank, Albaraka, QNB Finansbank, Garanti Bankası, Halk Bankası, ICBC Turkey Bank, Türkiye İş Bankası, Türkiye Kalkınma ve Yatırım Bankası, Şekerbank, Türkiye Sınai ve Kalkınma Bankası and Vakıfbank. The monthly closing prices of these banks' July 2007 – February 2020 periods are implemented with variance ratio test and ADF, PP, KPSS unit root tests. In the result of research above all the banks except Şekerbank and Kalkınma Bankası, other banks are effective in weak form in variance ratio test for conclusion. Also according to achieved unit root test results, in the ADF and PP unit root test except Akbank the other 11 banks are efficient at weak form level but in KPSS unit root test at %5 significance level except Halkbank it was concluded 11 banks are efficient at weak-form level. Keywords: Efficient Market Hypothesis, Weak-Form Efficiency, Turkish Banking Sector, Unit Root Tests, Variance Ratio Test