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Etkin Pazar Kuramindan Sapmalar: Finansal Anomalileri Etkileyen Makro Ekonomik Faktorler Uzerine Bir Arastirma

Author

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  • Erhan Demireli

    (Dokuz Eylul Universitesi, Iktisadi ve Idari Bilimler Fakultesi, Isletme Bolumu)

Abstract

Kuresellesme olgusuyla birlikte finansal pazarlar arasindaki sinirlar ortadan kalkmistir. Finansal pazarlar arasindaki bu iliski, bilginin onemini gundeme getirmektedir. Bilgi olgusu, bugun finansal pazarlarin etkinlik duzeyini belirleyen en onemli olcut olarak gorulmektedir. Bilgiye dayali bir ekonomide yatirimcilar, bilginin turu ve hisse senedi fiyatina yansima derecesine bagli olarak yuksek tutarda kazanc ve kayiplarla karsilasabilmektedir. Ozellikle IMKB gibi gelismekte olan ulkelerdeki menkul kiymet piyasalarinda bu etki kendini yogun olarak hissettirmektedir. Calismada oncelikle makro ekonomik faktorler ve hisse senedi getirileri arasindaki iliskiler incelenmis, daha sonra etkin pazar kurami ve etkin pazar kuramindan sapmalar olarak finansal anomalilere yer verilmistir. Konuya iliskin literatur taramasinin ardindan, makro ekonomik faktorler ve IMKB 100 endeks getirileri arasindaki iliskiler arastirilmistir. Piyasada makro ekonomik faktorlere dayali olarak yasanan soklarin endeks uzerindeki etkilerinin saptanabilmesi amaciyla endeks getirileri bazinda regresyon modelleri olusturularak hipotez testleri yapilmis, sonuclar yorumlanmistir.

Suggested Citation

  • Erhan Demireli, 2008. "Etkin Pazar Kuramindan Sapmalar: Finansal Anomalileri Etkileyen Makro Ekonomik Faktorler Uzerine Bir Arastirma," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 8(1), pages 215-241.
    • Handle: RePEc:ege:journl:v:8:y:2008:i:1:p:215-241
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    More about this item

    Keywords

    Etkin Pazar Kurami; Piyasa Anomalileri; Makro Ekonomik Faktorler;
    All these keywords.

    JEL classification:

    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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