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FİNANSAL PİYASALARDA UZUN DÖNEMLİ BAĞIMLILIK VE ETKİN PİYASALAR HİPOTEZİ

Year 2018, Volume: 20 Issue: 3, 47 - 56, 27.07.2018

Abstract

Bu makalenin amacı etkin piyasalar hipotezini
Amerika, İngiltere, Türkiye ve Rusya finansal piyasaları için uzun dönemli
bağımlılık kapsamında test etmektir. Çalışmada yöntem olarak Dönüştürülmüş
Genişlik ve Trendten Arındırılmış Dalgalanma Analizi kullanılmıştır. Veriler
günlük frekansta olup Mayıs 2013 ile Mayıs 2015 arası dönemi kapsamaktadır.
Sonuç olarak gelişmekte olan ülke borsalarının gelişmiş ülke borsalarına göre
daha etkin olduğu bulunmuştur. Bununla beraber uzun hafıza özelliği
getirilerden daha fazla oynaklığın göstergesi olan getiri karelerinde
görülmüştür. 

References

  • Aygören, H. (2008) “İstanbul Menkul Kıymetler Borsasının Fractal Analizi”. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(1).
  • Bariviera, A. F. (2011). “The Influence of Liquidity on Informational Efficiency: The Case of the Thai Stock Market”. Physica A: Statistical Mechanics and its Applications, 390(23), 4426-4432.
  • Bariviera, A. F., Guercio, M. B., Martinez, L. B. (2012). “A Comparative Analysis of the Informational Efficiency of the Fixed Income Market in Seven European Countries”. Economics Letters, 116(3), 426-428.
  • Cajueiro, D. ve Tabak, B. M. (2004). “Evidence of Long Range Dependence in Asian Equity Markets: The Role of Liquidity and Market Restrictions”. Physica A: Statistical Mechanics And Its Applications, 342(3), 656-664.
  • Cajueiro, D. O., & Tabak, B. M. (2005). Possible causes of long-range dependence in the Brazilian stock market. Physica A: Statistical Mechanics and its Applications, 345(3), 635-645.
  • Cavalcante, J. ve Assaf, A. (2004). “Long Range Dependence in the Returns and Volatility Of the Brazilian Stock Market”. European Review of Economics and Finance, 3(5), 22.
  • Caporale, G. M., Gil-Alana, L., Plastun, A., & Makarenko, I. (2016). Long memory in the Ukrainian stock market and financial crises. Journal of Economics and Finance, 40(2), 235-257.
  • Disario, R., Saraoglu, H., Mccarthy, J. Li, H. (2008). “Long Memory In The Volatility Of An Emerging Equity Market: The Case Of Turkey”. Journal of International Financial Markets, Institutions and Money, 18(4), 305-312.
  • Fama, E. F. (1970). “Efficient Capital Markets: A Review of Theory and Empirical Work”. The Journal Of Finance, 25(2), 383-417.
  • Ferreira, P., & Dionísio, A. (2016). How long is the memory of the US stock market?. Physica A: Statistical Mechanics and its Applications, 451, 502-506.
  • Grau-Carles, P. (2000). “Empirical Evidence of Long-Range Correlations in Stock Returns”. Physica A: Statistical Mechanics and Its Applications, 287(3), 396-404.
  • Grau-Carles, P. (2001). “Long-Range Power-Law Correlations in Stock Returns”. Physica A: Statistical Mechanics and its Applications, 299(3), 521-527.
  • Günay, S. (2015). “Bist100 Endeksi Fiyat ve İşlem Hacminin Fraktallık Analizi”. Doğuş Üniversitesi Dergisi, 16(1), 35-50.
  • Hiemstra, C., & Jones, J. D. (1994). Testing for linear and nonlinear Granger causality in the stock price‐volume relation. The Journal of Finance, 49(5), 1639-1664.
  • Henry, O. T. (2002). Long memory in stock returns: some international evidence. Applied Financial Economics, 12(10), 725-729.
  • Horta, P., Lagoa, S., Martins, L. (2014). “The Impact of the 2008 and 2010 Financial Crises on the Hurst Exponents of International Stock Markets: Implications for Efficiency and Contagion”. International Review Of Financial Analysis, 35, 140-153.
  • Jiang, J., Ma, K., Cai, X. (2007). “Non-Linear Characteristics And Long-Range Correlations In Asian Stock Markets”. Physica A: Statistical Mechanics and its Applications, 378(2), 399-407.
  • Li, D., Nishimura, Y., & Men, M. (2016). The long memory and the transaction cost in financial markets. Physica A: Statistical Mechanics and its Applications, 442, 312-320.
  • Lo, A. W. (1991). Long-Term Memory in Stock Market Prices. Econometrica: Journal of the Econometric Society, 1279-1313.
  • Lux, T. (1996). “Long-Term Stochastic Dependence in Financial Prices: Evidence From The German Stock Market”. Applied Economics Letters, 3(11), 701-706.
  • Mookerjee, R. Ve Yu, Q. (1999). “An Empirical Analysis of the Equity Markets in China”. Review Of Financial Economics, 8(1), 41-60.
  • Opong, K. K., Mulholland, G., Fox, A. F.,Farahmand, K. (1999). “The Behaviour of Some UK Equity Indices: An Application of Hurst and BDS Tests”. Journal Of Empirical Finance, 6(3), 267-282.
  • Peng, C.K., Buldyrev, S.V., Havlin, S., Simons, M., Stanley, H.E., Goldberger, A.L., (1994). “Mosaic Organization Of DNA Nucleotides”. Physical Review, 49(2), 1685–1689.
  • Rejichi, I. Z. ve Aloui, C. (2012). “Hurst Exponent Behavior and Assessment of the MENA Stock Markets Efficiency”. Research in International Business and Finance, 26(3), 353-370.
  • Skjeltorp, J. A. (2000). “Scaling in the Norwegian Stock Market”. Physica A: Statistical Mechanics and its Applications, 283(3), 486-528.
  • So, M. K. (2000). “Long-Term Memory in Stock Market Volatility”. Applied Financial Economics, 10(5), 519-524.
  • Ural, M. ve Demireli, E. (2009). “Hurst Üstel Katsayısı Aracılığıyla Fraktal Yapı Analizi ve İMKB’de Bir Uygulama”. Atatürk Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(2), 243-257.
  • Wright, J.H., (2001). Long memory in emerging market stock returns. Emerging Markets Quarterly 5, 50–55.
Year 2018, Volume: 20 Issue: 3, 47 - 56, 27.07.2018

Abstract

References

  • Aygören, H. (2008) “İstanbul Menkul Kıymetler Borsasının Fractal Analizi”. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(1).
  • Bariviera, A. F. (2011). “The Influence of Liquidity on Informational Efficiency: The Case of the Thai Stock Market”. Physica A: Statistical Mechanics and its Applications, 390(23), 4426-4432.
  • Bariviera, A. F., Guercio, M. B., Martinez, L. B. (2012). “A Comparative Analysis of the Informational Efficiency of the Fixed Income Market in Seven European Countries”. Economics Letters, 116(3), 426-428.
  • Cajueiro, D. ve Tabak, B. M. (2004). “Evidence of Long Range Dependence in Asian Equity Markets: The Role of Liquidity and Market Restrictions”. Physica A: Statistical Mechanics And Its Applications, 342(3), 656-664.
  • Cajueiro, D. O., & Tabak, B. M. (2005). Possible causes of long-range dependence in the Brazilian stock market. Physica A: Statistical Mechanics and its Applications, 345(3), 635-645.
  • Cavalcante, J. ve Assaf, A. (2004). “Long Range Dependence in the Returns and Volatility Of the Brazilian Stock Market”. European Review of Economics and Finance, 3(5), 22.
  • Caporale, G. M., Gil-Alana, L., Plastun, A., & Makarenko, I. (2016). Long memory in the Ukrainian stock market and financial crises. Journal of Economics and Finance, 40(2), 235-257.
  • Disario, R., Saraoglu, H., Mccarthy, J. Li, H. (2008). “Long Memory In The Volatility Of An Emerging Equity Market: The Case Of Turkey”. Journal of International Financial Markets, Institutions and Money, 18(4), 305-312.
  • Fama, E. F. (1970). “Efficient Capital Markets: A Review of Theory and Empirical Work”. The Journal Of Finance, 25(2), 383-417.
  • Ferreira, P., & Dionísio, A. (2016). How long is the memory of the US stock market?. Physica A: Statistical Mechanics and its Applications, 451, 502-506.
  • Grau-Carles, P. (2000). “Empirical Evidence of Long-Range Correlations in Stock Returns”. Physica A: Statistical Mechanics and Its Applications, 287(3), 396-404.
  • Grau-Carles, P. (2001). “Long-Range Power-Law Correlations in Stock Returns”. Physica A: Statistical Mechanics and its Applications, 299(3), 521-527.
  • Günay, S. (2015). “Bist100 Endeksi Fiyat ve İşlem Hacminin Fraktallık Analizi”. Doğuş Üniversitesi Dergisi, 16(1), 35-50.
  • Hiemstra, C., & Jones, J. D. (1994). Testing for linear and nonlinear Granger causality in the stock price‐volume relation. The Journal of Finance, 49(5), 1639-1664.
  • Henry, O. T. (2002). Long memory in stock returns: some international evidence. Applied Financial Economics, 12(10), 725-729.
  • Horta, P., Lagoa, S., Martins, L. (2014). “The Impact of the 2008 and 2010 Financial Crises on the Hurst Exponents of International Stock Markets: Implications for Efficiency and Contagion”. International Review Of Financial Analysis, 35, 140-153.
  • Jiang, J., Ma, K., Cai, X. (2007). “Non-Linear Characteristics And Long-Range Correlations In Asian Stock Markets”. Physica A: Statistical Mechanics and its Applications, 378(2), 399-407.
  • Li, D., Nishimura, Y., & Men, M. (2016). The long memory and the transaction cost in financial markets. Physica A: Statistical Mechanics and its Applications, 442, 312-320.
  • Lo, A. W. (1991). Long-Term Memory in Stock Market Prices. Econometrica: Journal of the Econometric Society, 1279-1313.
  • Lux, T. (1996). “Long-Term Stochastic Dependence in Financial Prices: Evidence From The German Stock Market”. Applied Economics Letters, 3(11), 701-706.
  • Mookerjee, R. Ve Yu, Q. (1999). “An Empirical Analysis of the Equity Markets in China”. Review Of Financial Economics, 8(1), 41-60.
  • Opong, K. K., Mulholland, G., Fox, A. F.,Farahmand, K. (1999). “The Behaviour of Some UK Equity Indices: An Application of Hurst and BDS Tests”. Journal Of Empirical Finance, 6(3), 267-282.
  • Peng, C.K., Buldyrev, S.V., Havlin, S., Simons, M., Stanley, H.E., Goldberger, A.L., (1994). “Mosaic Organization Of DNA Nucleotides”. Physical Review, 49(2), 1685–1689.
  • Rejichi, I. Z. ve Aloui, C. (2012). “Hurst Exponent Behavior and Assessment of the MENA Stock Markets Efficiency”. Research in International Business and Finance, 26(3), 353-370.
  • Skjeltorp, J. A. (2000). “Scaling in the Norwegian Stock Market”. Physica A: Statistical Mechanics and its Applications, 283(3), 486-528.
  • So, M. K. (2000). “Long-Term Memory in Stock Market Volatility”. Applied Financial Economics, 10(5), 519-524.
  • Ural, M. ve Demireli, E. (2009). “Hurst Üstel Katsayısı Aracılığıyla Fraktal Yapı Analizi ve İMKB’de Bir Uygulama”. Atatürk Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(2), 243-257.
  • Wright, J.H., (2001). Long memory in emerging market stock returns. Emerging Markets Quarterly 5, 50–55.
There are 28 citations in total.

Details

Primary Language Turkish
Journal Section Issue
Authors

Mercan Hatipoğlu

İbrahim Bozkurt This is me

Publication Date July 27, 2018
Submission Date April 12, 2018
Published in Issue Year 2018 Volume: 20 Issue: 3

Cite

APA Hatipoğlu, M., & Bozkurt, İ. (2018). FİNANSAL PİYASALARDA UZUN DÖNEMLİ BAĞIMLILIK VE ETKİN PİYASALAR HİPOTEZİ. Kastamonu Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 20(3), 47-56. https://doi.org/10.21180/iibfdkastamonu.414849