In Which Sectors Can Historical Prices Be Used for Return Predictability? An Empirical Study on Istanbul Stock Exchange with Automatic Portmanteau Test

Article Information
Journal: Business and Economics Research Journal
Title of Article: In Which Sectors Can Historical Prices Be Used for Return Predictability? An Empirical Study on Istanbul Stock Exchange with Automatic Portmanteau Test
Author(s): Oktay Ozkan
Volume: 11
Number: 3
Year: 2020
Page: 703-712
ISSN: 2619-9491
DOI Number: 10.20409/berj.2020.278
Abstract
The aim of this study, to compare return predictability in other words, the weak form of market efficiency of different sectors in Turkey. For this purpose, analyses were carried out by automatic portmanteau test with a 2-year sub-sample size using the daily data between 19.04.2000-07.02.2020 of 19 primary sector indexes within Borsa Istanbul. As a result of the analyses, it was understood that Transportation, Insurance, Electricity, and Metal Products Machinery sectors have higher return predictability periods and therefore their weak form market efficiency is lower than other sectors. In addition, it was determined that the sectors that have the least predictable periods of return, in other words, that have more weak form efficiency than other sectors, are Food Beverage, Banks, Wholesale and Retail Trade, and Wood Paper Printing.

Keywords: Return Predictability, Automatic Portmanteau Test, Return, Efficient Markets Hypothesis, Stock Market

JEL Classification: C12, C22, G11, G14

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