Testing Market Efficiency in The Main Metal Industry Sector

The aim of this study is to test the market efficiency of the main metal industry sector, which plays a crucial role in enhancing national development. For this purpose, Borsa Istanbul (BIST), which operates in Turkey, a developing country among the fragile five, was selected as a sample. Within the scope of the research, the monthly return series of Borsa Istanbul Main Metal Industry Index (XMANA) between April 2015 and May 2025 was analyzed with the help of linear and non-linear tests, and the validity of both the Efficient Markets Hypothesis (EMH) and the Adaptive Markets Hypothesis (AMH) in the market was tested. For this purpose, Jarque-Bera normality tests, unit root tests, variance ratio test, and BDS test were applied to the return series. As a result of normality and BDS tests, the findings indicated that the BIST main metal industry index confirmed the random walk hypothesis. Therefore, findings indicated that the sector exhibited behaviors consistent with both the EMH and AMH hypotheses. Another important finding from the study is that the return series show a leptokurtic distribution. The research indicates that investors can obtain excessive negative and excessive positive returns by investing in the XMANA index.