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Abstract:
This
study presents a new evidence for the well-founded assertion
that Istanbul Stock Exchange (ISE) is not efficient in weak
form. A classifier system is used to calculate
expected return and risk at various levels of the ISE100
Index. It is observed that
the expected return from, and the confidence in, the
market portfolio are higher at the low levels of the market
index, independent of the length of the hold period. The same
classifier system also helps to estimate the optimal
length of period to hold the market portfolio.
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