Random Walk Hypothesis in MIST Stock Markets

Stock prices are determined by supply and demand in stock markets. If the random walk hypothesis is valid in the stock market, it is not possible to estimate the price from the historical data. Otherwise, those who use this information will be able to estimate the price and obtain abnormal earnings. The purpose of this article is to show whether stock market indices are efficient in weak form during the period from January 1998 to July 2017 in the target MIST countries (Mexico, Indonesia, South Korea and Turkey). For this purpose, the random walking process of MIST stock exchanges was examined in 2016 by Unit root test, which was acquired by Furuoka in literature. The findings show that the markets studied are not efficient in weak form