Market efficiency is the most important factor affecting the situation as to whether to obtain excessive profits of the investors. Working in BIST-100 Index and sub-indices with the Industrial, Technology, and Financial Services Index of returns, whether it is a linear structure is examined via Harvey linearity test. Used Harvey linearity test, beside other tests analysis linearity without any pre-condition. This increases the power of the test. The data set used in this study is the period between 07.03.2000 and 09.22.2015 consists of 3723 observation. The results of the study say that the analyzed variables are nonlinear. The excess returns are concerned. Therefore, according to efficient market hypothesis, by using previous information excessive profits can be obtained in the markets.peer-reviewe
