This paper investigates the Efficient Market Hypothesis (EMH) for ISE30, ISE50, ISE100 and ISE Composite indices with unit root tests which were adapted for the non-linear ESTAR process. Firstly, Harvey et al. (2008) linearity test is employed. The test results indicate that all indices have non-linear behavior. Afterwards, non-linear unit root tests developed by Kapetanios et al. (2003) and Kruse (2011) were conducted. While the Kapetanios et al. (2003) test accepts the existence of EMH for all indices, the Kruse (2011) test which is relatively more recent rejects the hypothesis.
Copyright: © 2018 The Author(s)
Published by Human Resource Management Academic Research Society (www.hrmars.com)
This article is published under the Creative Commons Attribution (CC BY 4.0) license. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this license may be seen at: http://creativecommons.org/licences/by/4.0/legalcode
