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Abstract


The Analysis of Weak Form Efficient Market Hy-pothesis for Participation 30 Index by ARFIMA-FIEGARCH Model
Efficient market hypothesis (EMH) is important for individual and institutional investors, portfolio managers and policy makers. There-fore, it has been widely examined in the conventional finance litera-ture. However, there is limited numbers of studies that examine the validity of the EMH in Islamic stock markets, specifically in Turkey. Therefore, in this study, the validity of the EMH in Turkey Islamic stock markets was investigated. In this manner, the presence of long memory in both returns and volatility of the Participation 30 Index was investigated by using ARFIMA-FIEGARCH model. The results indicate the presence of long memory in Turkey Islamic stock mar-kets and this finding suggest that the weak form of the efficient mar-ket hypothesis is no valid

Keywords
Efficient Market Hypothesis, Participation 30 Index, ARFIMA-FIEGARCH


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