An analysis of the random walk and overreaction hypotheses through optimum portfolios constructed by the nonlinear programming model

KARAN M. B., KAPUSUZOĞLU A.

Australian Journal of Basic and Applied Sciences, cilt.4, sa.6, ss.1215-1220, 2010 (Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 4 Sayı: 6
  • Basım Tarihi: 2010
  • Dergi Adı: Australian Journal of Basic and Applied Sciences
  • Derginin Tarandığı İndeksler: Scopus
  • Sayfa Sayıları: ss.1215-1220
  • Anahtar Kelimeler: Efficient market hypothesis, ISE, Overreaction hypothesis, Portfolio choice, Random walk hypothesis
  • Hacettepe Üniversitesi Adresli: Evet

Özet

This study aims to examine the validity of random walk and overreaction hypotheses for Turkey's Istanbul Stock Exchange (ISE). In the study, the firms'stocks traded in the ISE National-30 during the period between 2003 and 2007 were examined and portfolios (normal, winners, losers) with three different return levels (index, index+10%, index-10%) were constructed using stock returns. The analysis showed no signs of the overreaction hypothesis in the ISE National-30 index, while certain findings were obtained indicating that stock returns moved in accordance with the random walk hypothesis. © 2010, INSInet Publication.