Weak form efficiency in capital markets: An application on Borsa Istanbul

The efficient markets hypothesis argues that the security price includes all available and accessible information and that prices change randomly. According to the hypothesis, it is not possible to make predictions about future prices by using past price movements. The validity of the hypothesis has been examined by researchers in national and international literature for years. The findings obtained from the studies reveal that the validity of the hypothesis varies depending on the scope of the studies and the method used. This study aims to investigate whether the share prices of 4 companies operating in air transportation and ground handling services, traded in Borsa Istanbul (BIST), are weak form efficient. For this purpose, Fourier function FKPSS, FLM, FADF and FGLS unit root tests, which are considered a more up-to-date method in econometric practice, were used to test the effectiveness of the share prices of the 4 companies in question. According to the results of the study, a common conclusion has been reached for the companies CLEBI, PGSUS, TAVHL and THYAO, which are engaged in air transportation and ground handling activities, and the series of relevant share prices are found to have unit roots, that is, they are not stationary, in all frequencies examined (daily, weekly and monthly). It has been concluded that the weak form efficient market hypothesis is valid for CLEBI, PGSUS, TAVHL and THYAO companies operating in ground handling services. As a result, stock prices in the market include all past price information and investors will not be able to make more profit by using this information.