Zayıf Formda Piyasa Etkinliğinin Asimetrik Doğrusal Olmayan Birim Kök Testi ile Analizi: G-7 ve E-7 Ülkeleri Örneği

Year 2015, Volume: 9 Issue: 2, 73 - 90, 01.12.2015

Aycan Hepsağ Burçay Yaşar Akçalı

Abstract

Bu çalışmanın amacı, Etkin Piyasalar Hipotezi çerçevesinde G-7 ve E-7 ülkelerine ait hisse senedi piyasalarının zayıf formda etkinliğinin araştırılmasıdır. Çalışmanın amacı doğrultusunda, G-7 ve E-7 ülkelerine ait borsa endeksi serilerinin rassal yürüyüş izleyip izlemediği asimetrik doğrusal olmayan birim kök testi kullanılarak test edilmiştir. Elde edilen ampirik sonuçlara göre, G-7 ülkelerinden ABD, Fransa, İtalya ve Japonya ülke piyasalarının zayıf formda etkin olduğu ancak Almanya, İngiltere ve Kanada ülke piyasalarının etkin olmadığı sonucuna ulaşılmıştır. E-7 ülkelerinde ise Brezilya, Çin, Endonezya, Hindistan, Meksika ve Türkiye ülke piyasalarının zayıf formda etkin olduğu, Rusya ülke piyasasının ise zayıf formda etkin bir piyasa olmadığı anlaşılmıştır. Ayrıca çalışmadan çıkarılan diğer bir sonuca göre zayıf etkin piyasa olmadığı belirlenen Almanya, İngiltere, Kanada ve Rusya’ya ait hisse senedi piyasaları, aynı şiddetteki pozitif ve negatif şoka aynı şekilde tepki vermektedir

Keywords

Etkin Piyasalar Hipotezi, Asimetrik Doğrusal Olmayan Birim Kök

The Analysis of Weak Form Efficiency with Asymmetric Nonlinear Unit Root Test: The Case of G-7 and E-7 Countries

Abstract

The Analysis of Weak Form Efficiency with Asymmetric Nonlinear Unit Root Test: The Case of G-7 and E-7 CountriesThe goal of this paper is to investigate the weak form efficiency of the stock markets of G-7 and E-7 countries within the framework of Efficient Market Hypothesis. Towards to the goal of paper, we test whether the stock market indices of G-7 and E-7 countries follow random walk or not, using asymmetric nonlinear unit root test. The empirical findings show that the stock markets of France, Italy, Japan and the USA have weak-form efficiency, but the stock markets of Canada, Germany and the UK are not weak form efficient. The empirical results also show that the stock markets of Brazil, China, India, Indonesia, Mexico and Turkey have weak form efficiency, but the stock market of Russia is not weak form efficient. Besides, the inefficient stock markets which of Canada, Germany, Russia and the UK response in the same way to positive and negative deviations of the same proportionate amount

Keywords

Efficient Market Hypothesis, Asymmetric Nonlinear Unit Root Test, G-7 and E-7 Countries

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