The efficient market hypothesis, a topic discussed for over a half century, has been tested with different econometric models in the literature.Linear and non-linear series have to be tested with different unit root tests.In this study, ADF and PP unit root tests are applied to linear series and Kapetanios et al. (2003) and Kruse (2011) unit root tests were applied to nonlinear series.In our study, Poland and Russia showed linear characteristics and Turkey, Czech Republic and Hungary showed nonlinear characteristics. Linear and nonlinear unit root tests have been used in this regard. According to the analysis results, other Eastern European countries included in the sample outside Turkey exhibit a weak-form efficiency characteristic
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