TY - GEN

T1 - Comparative Analysis of Verification Methods of Stock Market Information Efficiency: Case of Turkey

AU - Kolesov, D.

AU - Böyükaslan, A.

AU - Yilmaz, C.

AU - Sysoev, P.

N1 - Export Date: 05 February 2026; Cited By: 0; Correspondence Address: A. Boyukaslan; Afyon Kocatepe University, Afyonkarahisar, Turkey; email: ademboyukaslan@gmail.com; Conference name: 4th International Scientific and Practical Conference on Digital and Information Technologies in Economics and Management, DITEM 2024; Conference location: Dushanbe; Conference date: 2024-11-20 through 2024-11-22

PY - 2025

Y1 - 2025

N2 - This article provides a comparative analysis of mathematical and statistical methods used in the framework of the Turkish scientific literature devoted to the study of the information efficiency of the Turkish stock market. It is shown that the majority of research on this topic is conducted in a paradigm that identifies the random walk with the presence of unit roots in time series. It is proved that this approach is not strict enough and, in many cases, leads to false acceptance of the information efficiency hypothesis. It is shown for the first time that such popular methods as the Augmented Dickey-Fuller test or the Kapetanios-Snell-Shin test, which allow to find unit roots, have limited applicability in the framework of studying the information efficiency. There are listed the most common mistakes that are often made when using these tests. There are also indicated some methods (in particular, fractal methods) that, in the opinion of the authors, are more applicable and deserve more frequent use. It is pointed out and proven that switching attention from the search for unit roots to the study of time series variation will keep the random walk paradigm and, at the same time, will advance the study of the information efficiency. © The Author(s), under exclusive license to Springer Nature Switzerland AG 2025.

AB - This article provides a comparative analysis of mathematical and statistical methods used in the framework of the Turkish scientific literature devoted to the study of the information efficiency of the Turkish stock market. It is shown that the majority of research on this topic is conducted in a paradigm that identifies the random walk with the presence of unit roots in time series. It is proved that this approach is not strict enough and, in many cases, leads to false acceptance of the information efficiency hypothesis. It is shown for the first time that such popular methods as the Augmented Dickey-Fuller test or the Kapetanios-Snell-Shin test, which allow to find unit roots, have limited applicability in the framework of studying the information efficiency. There are listed the most common mistakes that are often made when using these tests. There are also indicated some methods (in particular, fractal methods) that, in the opinion of the authors, are more applicable and deserve more frequent use. It is pointed out and proven that switching attention from the search for unit roots to the study of time series variation will keep the random walk paradigm and, at the same time, will advance the study of the information efficiency. © The Author(s), under exclusive license to Springer Nature Switzerland AG 2025.

KW - Augmented Dickey-Fuller Test

KW - Efficient Market Hypothesis

KW - Financial Market

KW - Financial Series

KW - Information Efficiency

KW - Kapetanios-Snell-Shin Test

KW - Turkish Stock Market

KW - Volatility

KW - Commerce

KW - Efficiency

KW - Electronic trading

KW - Random processes

KW - Statistical tests

KW - Time series

KW - Augmented dickey-full test

KW - Efficient market hypothesis

KW - Financial series

KW - Full tests

KW - Information efficiency

KW - Kapetanios-snell-shin test

KW - Turkish stock market

KW - Turkishs

KW - Unit root

KW - Financial markets

U2 - 10.1007/978-3-031-94273-0_15

DO - 10.1007/978-3-031-94273-0_15

M3 - статья в сборнике материалов конференции

T3 - Lecture Notes in Networks and Systems

SP - 190

EP - 201

BT - Digital and Information Technologies in Economics and Management (DITEM 2024)

PB - Springer Nature

Y2 - 20 November 2024 through 22 November 2024

ER -