Abstract

This study aims to examine Borsa İstanbul's weak form efficiency with unit root tests based on the monthly closing data of selected indices in Borsa Istanbul. For this purpose, Augmented Dickey-Fuller and Phillips-Perron from  traditional unit root tests, and Lee-Strazicich (2003) unit root test with two structural breaks are used. Traditional unit root tests can give deviated results about the existence of unit root in cases where there are structural breaks in the series. Therefore, to eliminate such errors, a unit root test which allows two structural breaks is also used. According to the traditional unit root test results, it was observed that all indices subject to the study contain unit root;  according to the unit root test with two structural break findings, all indices except XFINK contain unit roots at 1% significance level. As a result of the findings, Borsa İstanbul is efficient in weak form