Döviz Piyasalarının Etkinliği Üzerinde Uzun Hafızanın Rolü: Türk Döviz Piyasasında Ampirik Bir Araştırma

Year 2018, Volume: 12 Issue: 1, 87 - 107, 01.06.2018

Arife Özdemir Gizem Vergili İsmail Çelik

Abstract

Yönü ve sebebi ne olursa olsun piyasalara ulaşan tüm bilgilerin hızlı şekilde fiyatlara yansıması geçmiş verilerden hareketle geleceği öngörmeyi ve diğer yatırımcılar karşısında anormal getiri elde etmeyi engellemektedir. Bu çalışmanın amacı ikili uzun hafıza modellerini kullanarak Türk Döviz piyasalarının zayıf formda etkin olup olmadığını ortaya koymaktır. İkili uzun hafızayı test etmek için kurulan ARFIMA-FIGARCH model sonuçları, getiri volatilitesinin uzun hafıza özelliğine sahip olduğunu göstermektedir. Araştırma sonuçlarına göre ilgili analiz dönemi için Türk Döviz piyasasının zayıf formda etkin piyasa olmadığı tespit edilmiştir. Her ne kadar tarihi verilerden faydalanarak geleceğin getiri volatilitesinin öngörülebilir olduğu, ayrıca Merkez Bankası’nın kurlara yaptığı müdahalelerin ortaya çıkardığı oynaklığın uzun dönemde sönümleneceği tespit edilmiş olsa da satın alma gücü paritesi teorisini destekler şekilde Türk Döviz piyasasının uzun dönemde dengeye gelme karakterine sahip istikrarlı bir piyasa olduğu volatilitedeki uzun hafızayı temsil eden d parametresinin katsayısından açıkça anlaşılabilmektedir

Keywords

Döviz Kuru, Etkin Piyasa Hipotezi, Uzun Hafıza, ARFIMA-FIGARCH Modeli

The Role of Long Memory on the Efficiency of Foreign Exchange Markets: An Ampirical Research in the Turkish Foreign Exchange Market

Abstract

The Role of Long Memory on the Efficiency of Foreign Exchange Markets: An Ampirical Research in the Turkish Foreign Exchange MarketReflecting all the information reaching the markets in the prices, regardless of this any reason and direction, prevents predicting the future with reference to historical data and obtaining abnormal return against other investors. The aim of this paper is to reveal whether the Turkish Exchange Markets are efficient in weak form by using dual long memory models. The results of ARFIMA-FIGARCH model, which was established to examine the dual long memory, show the volatility of return has a long memory property. According to results of the research, it is determined that Turkish Foreign Exchange Market is not efficient in weak form for related analysis period. Although the future volatility of return is predictiable by taking advantage of historical data, also the volatility arisen by Central Bank’s interventions to exchange rates has been detected to fade in long term, Turkish Foreign Exchange Market which is stable, has long term equilibrium character in furtherance of the purchasing power parity theory, it can be clearly understood from the coefficient of the d parameter, which represents the long memory in volatility

Keywords

Exchange Rate, Efficient Market Hypothesis, Long Memory, ARFIMA-FIGARCH Model

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