Research Information System
EKOIST-JOURNAL OF ECONOMETRICS AND STATISTICS, no.43, pp.165-183, 2025 (ESCI, TRDizin)
The degree of efficiency in financial markets plays a crucial role in shaping investment strategies and analysing market behaviour. This study evaluates the weak-form efficiency of 27 sector indices traded on Borsa Istanbul by applying Bahmani-Oskooee, Chang ve Ranjbar (2017) Fourier Quantile Unit Root Test. While the Fourier approach accounts for unknown structural breaks in the time series, the quantile-based analysis allows for the examination of stationarity patterns across different segments of the distribution. Using monthly data spanning the period from January2000 to March 2025, the empirical results reveal thatthe unit root hypothesis is rejected in only nine indices, suggesting that in certain market conditions, past price movements may have predictive power for future prices. For the remaining 18 indices, the unit root could not be rejected, implying that the weak-form efficiency holds under most circumstances. Furthermore, findings based on the constant coefficients indicate that some sectors exhibit wider shock intervals, reflecting higher sensitivity to market fluctuations. In contrast, some sectors demonstrated more stable price behaviour. The autoregressive coefficients reveal that stationarity patterns vary across quantiles, indicating heterogeneous market dynamics. While some indices show significant stationarity across all quantiles, others display significance only in the extreme quantiles. These results give that market efficiency in Borsa Istanbul is not homogeneous across sectors or market conditions, and that investment decisions should account not only for sectoral characteristics but also for the volatility environment.