An Empirical Investigation of the Uncertain Information Hypothesis: Evidence From Borsa Istanbul

This paper investigates the reaction of investors to the arrival of major political and economical news in Borsa Istanbul from October 2004 to September 2011. While the empirical results of the paper cannot support the prediction of Overreaction Hypothesis, they are consistent with the Uncertain Information Hypothesis which means investors in Turkey set security prices below their fundamental values in response to unexpected information. In comparison with the studies examining previous periods, we f ound t hat t his i mpact i s diminishing and Borsa Istanbul has become more efficient for the period of 2004 to 2011.