Analyzing the Efficient Market Hypothesis with the Structural Break and Nonlinear Unit Root Tests: An Application on Borsa Istanbul

The literature on finance defines the concept of an efficient market as a market where information about securities is instantly reflected in prices. Investors who trade on efficient markets cannot obtain abnormal returns. All market participants are assumed to have instant access to the information coming to the market, with everyone knowing the same information. The aim of this study is to test within the framework of information efficiency the weak-form efficiency market hypothesis using statistical tests with daily, weekly, and monthly frequencies for the BIST100 index over the period of October 2011-October 2021. The study uses the runs test, variance ratio test, unit root tests, structural break unit root tests, and nonlinear unit root tests to test weak form efficiency for this period. According to the findings, the BIST100 market index has been concluded to show a random walk at all frequencies in the relevant period (i.e., it has weak form efficiency)