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BUSINESS AND ECONOMICS RESEARCH JOURNAL

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Article Information
Journal: Business and Economics Research Journal
Title of Article: Analysis of Forecasting Performance of Investors in Turkey
Within Framework of the Random Walk Model
Author(s): Banu Tanrıöver, Duygu Arslantürk Çöllü
Volume: 6
Number: 2
Year: 2015
Page: 127-139
ISSN: 1309-2448
Abstract
The purpose of this study is to test the weak form efficiency within framework of the random walk model by using price movements of BIST-100 Index and to evaluate forecasting performance of investors in Turkish stock market. Whether investors can earn excess returns or not has been decided with determination of whether the stock price movements and expectations of investors follow a random walk or not at the period of 1990:01-2014:06 in Turkey. Firstly for this purpose, the randomness of price movements of BIST-100 Index has been tested by using Ljung-Box and LM analysis. The second assumption of random walk model, randomness of expectations of investor and each of information entering market has been analysed with BDS test. Empirical evidences show that investors in Turkish capital market can forecast by using historical stock price movements, investors can have all information which is likely to affect the stock price in advance, and investors can earn excess returns by taking decisions based on this information.
Keywords: Random walk model, weak-form efficiency, autocorrelation analysis, BDS test
JEL Classification: C12, C22, C58, G14

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