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Türk hisse senedi piyasasının zayıf formda etkinliğinin testi

Author

Listed:
  • Burcu ÖZCAN

    (İstanbul Üniversitesi)

  • Veli YILANCI

    (İstanbul Üniversitesi)

Abstract

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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    Citations

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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.
    2. Esra ALP & Ünal SEVEN, 2019. "Türkiye Konut Piyasasında Etkinlik Analizi," Istanbul Business Research, Istanbul University Business School, vol. 48(1), pages 84-112, May.
    3. Morgunov, V.I. (Моргунов, В.И.), 2016. "The Liquidity Management of the Banking Sector and the Short-Term Money Market Interest Rates [Управление Ликвидностью Банковского Сектора И Краткосрочной Процентной Ставкой Денежного Рынка]," Working Papers 21311, Russian Presidential Academy of National Economy and Public Administration.

    More about this item

    Keywords

    Rassal Yürüyüş; Piyasa etkinliği; Doğrusal Dışılık; Birim Kök Testleri; BDS Testi;
    All these keywords.

    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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