Gayrimenkul piyasasının etkinliği: İstanbul konut piyasası örneği

Efficient market hypothesis means that the future price of securities are unpredictable with respect to the current available information. The gist of this research is to test market efficiency of real estate using the dynamics of efficient market hypothesis, as put forth by Eugene Fama (1970). In this light, the study is conducted to test the market efficiency of Istanbul real estate markets as to whether the market prices /returns of real estates are random. Thus, the study benefited from a large body of existing literature to adapt an empirical model known as the random walk model. To ascertain/test if the Istanbul residential real estate market prices are random, the study's statistical random walk model enveloped three prominent tests; autocorrelation test, run test and variance ratio test. The study employed a time-series data, thus warranting for unit root testing, on order to regulate stationarity. The study found the data unstable and went ahead for the first difference. The study followed the SIC/AIC to select the lag length for the model. As it is the case with studies investigating market efficiency, results, especially those of emerging markets are always mixed. The results cast doubts in Turkey's real estate market efficiency. The output rejects completely the null hypothesis of weak form market efficiency, suggesting that Istanbul Market is not efficient in its weak form. This shows that investors can make huge returns from real estate because they posses information of past prices that could be used to forecast future prices.