TESTING THE WEAK FORM MARKET EFFICIENCY IN PARTICIPATION INDICES: AN APPLICATION ON TURKEY

As an effective market plays an important role in the development of the general economy and financial markets in different ways, this issue is being investigated extensively by financial participants or decision makers. However, the number of studies on the effectiveness of Islamic markets is few. In this study, weak-form efficiency of participation indices in Turkey (Participation-30, Participation-50 and Participation Model Portfolio indices) taking the Islamic criteria into account was investigated. Analyzes were conducted with the weekly index returns between 2011-2017 for the Participation-30 index, and between 2014-2017 for the other two indices. As a result of the study using the time-varying KSS unit root test, the Participation-50 index was found to have been priced in terms of weak-form efficiency across the entire data range studied. In addition, Participation-30 and Participation Model Portfolio indices were found to be in accordance with the weak-form efficiency hypothesis, whereas in some periods deviations from the random walk hypothesis were observed. In situations where these deviations occur, it is seen that investors be able to obtain returns more than normal by using the methods of technical analysis