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Türk hisse senedi piyasasının zayıf formda etkinliğinin testi


  • Burcu ÖZCAN

    (İstanbul Üniversitesi)

  • Veli YILANCI

    (İstanbul Üniversitesi)


Bu çalışmanın amacı, İstanbul Menkul Kıymetler Borsası 100 endeksini ele alarak Türk hisse senedi piyasasının zayıf formda etkin olup olmadığını sınamaktır. Zayıf formda etkin piyasalar hipotezinin geçerli olması için, rassal yürüyüş modelinin şartlarının yerine gelmesi gereklidir. Bu çalışmada rassal yürüyüş modelinin veride birim kök olması şartı, verideki olası doğrusal dışılığı da dikkate alan ve Kapetanios, Shin ve Snell (2003) tarafından geliştirilen birim kök testiyle, rassal modelin kalıntılarının bağımsız-türdeş dağılması şartı ise Brock, Dechert ve Scheinkman (1986) tarafından geliştirilen BDS testiyle sınanmıştır. Elde edilen sonuçlar, verinin doğrusal birim kök içerdiğini, bununla birlikte rassal modelin kalıntılarının bağımlı olarak dağıldığını gösterdiğinden, rassal modelin ikinci şartı yerine gelmemektedir. Dolayısıyla, İstanbul Menkul Kıymetler Borsa’sının zayıf formda etkin olmadığını ifade etmek mümkündür.

Suggested Citation

  • Burcu ÖZCAN & Veli YILANCI, 2009. "Türk hisse senedi piyasasının zayıf formda etkinliğinin testi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 24(274), pages 100-115.
  • Handle: RePEc:iif:iifjrn:v:24:y:2009:i:274:p:100-115

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    References listed on IDEAS

    1. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
    2. Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
    3. Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2005. "The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models," American Economic Review, American Economic Association, vol. 95(1), pages 425-436, March.
    4. Özge AKINCI & Burcu GÜRCİHAN & Refet GÜRKAYNAK & Özgür ÖZEL, 2007. "Devlet iç borçlanma senetleri için getiri eğrisi tahmini," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 22(252), pages 5-25.
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    Cited by:

    1. Feyyaz Zeren & Filiz Konuk, 2013. "Testing The Random Walk Hypothesis For Emerging Markets: Evidence From Linear And Non-Linear Unit Root Tests," Romanian Economic Business Review, Romanian-American University, vol. 8(4), pages 61-71, december.

    More about this item


    Rassal Yürüyüş; Piyasa etkinliği; Doğrusal Dışılık; Birim Kök Testleri; BDS Testi;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes


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