Analysis of efficient markets hypothesis in share market with long memory models

Efficient market hypothesis; It is a concept that states that prices are formed randomly, and therefore, the expected price of the stocks in the future cannot be predicted by looking at their current prices. Whether a market is efficient or not is of great importance for investors. After all, if a market is efficient, investors cannot earn an above-average return. Fama (1970) was the person who brought the efficient market hypothesis to the literature as a result of his research on the formation of stock prices in the market.According to Fama, the efficient market hypothesis is; It is the market where the prices of the securities always fully reflect all the information in the market. The efficient market hypothesis examines the effect of all information about the security on the price changes of securities. For the market to be effective; any information should reach all investors in the stock market at the same time and information about all businesses should be accessible to all actors in the market.As a result, if a market is active, information reaches every investor at the same time, it is reflected in the prices at the same time, and as a result, no investor can earn more than normal from the stock market. The validity of the efficient market hypothesis depends on many assumptions and these assumptions are related to the functioning of the market and the behavior of the investor. It is very optimistic and extreme that the prices of financial assets reflect all the information. In his work at Fama, he gathered the efficiency of the market under three headings. These; weak-form effectiveness, semi-strong-form effectiveness, strong-form effectiveness. This study aims to test whether the BIST 100 index is effective in weak form, semi-strong form and strong form. We can find many studies on this subject in the literature. The point that makes this study different is that it is tested with current econometric methods.