Borsa İstanbul Zayıf Formda Etkin mi? Markov-Switching ADF Testi Yaklaşımı

Year 2018, Volume: 12 Issue: 2, 9 - 30, 01.12.2018

Emrah İsmail Çevik

Abstract

Hisse senedi fiyatlarının bütünleşme derecesi etkin piyasalar hipotezi ile doğrudan ilişkilidir ve söz konusu hipoteze göre, piyasaların zayıf formda etkin olarak adlandırılabilmesi için fiyatların tesadüfü yürüyüş özelliği sergilemesi gerekmektedir. Bu çalışmada Borsa İstanbul 100 endeksinin bütünleşme derecesi rejimlere bağlı olarak Markov-Switching ADF MS-ADF birim kök testi ile araştırılmıştır. MS-ADF testi sonucuna göre, Borsa İstanbul’da zayıf formda etkin piyasalar hipotezinin geçerliliğinin rejimlere göre farklılaştığı belirlenmiştir. Bu sonuçlara göre, yüksek volatilite rejiminde zayıf formda etkinlik sağlanırken, düşük volatilite rejiminde piyasasının zayıf formda etkin olmadığı sonucuna ulaşılmıştır

Keywords

Etkin Piyasalar Hipotezi, Borsa İstanbul, Markov-Switching Modeli

Is the Istanbul Stock Exchange Weak Form Efficient? A Markov-Switching ADF Test Approach

Abstract

Is the Istanbul Stock Exchange Weak Form Efficient? A Markov-Switching ADF Test ApproachThe integration order of stock prices is related to the efficient market hypothesis and the hypothesis suggest that the stock market can be named as efficient when stock prices exhibit random walk properties. In this study, we examine regime-dependent integration order of Istanbul Stock Exchange 100 index by means of Markov-Switching ADF MS-ADF test. MS-ADF test result indicates that the validity of weak form efficient market hypothesis is regime-dependent. These findings suggest that while weak form efficiency is provided in high volatile regime, the market is not weak form efficient in the low volatility regime

Keywords

Efficient Market Hypothesis, Istanbul Stock Exchange, Markov-Switching Model

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