Belirsiz Bilgi Hipotezi Üzerine Ampirik Bir İnceleme: Borsa İstanbul Örneği

Year 2013, Volume: 7 Issue: 2, 101 - 119, 01.12.2013

Soner Akkoç Nasıf Özkan

Abstract

Bu çalışma, Ekim 2004 ile Eylül 2011 arasında Borsa İstanbul’a ulaşan, büyük öneme sahip, politik ve ekonomik haberlere yatırımcıların verdiği tepkileri incelemektedir. Çalışmanın ampirik sonuçları Aşırı Tepki Verme Hipotezinin öngörülerini desteklememekle birlikte sonuçlar Belirsiz Bilgi Hipotezi ile tutarlı bulunmuştur. Dolayısıyla Türkiye’deki yatırımcıların beklenmeyen bilgilere karşı menkul kıymet fiyatlarını temel değerlerinin altında belirlediği görülmüştür. Ancak çalışmanın sonuçları önceki dönemleri inceleyen çalışmalarla karşılaştırıldığında, bu etkinin azaldığı ve Borsa İstanbul’un 2004-2011 döneminde daha etkin hale geldiği sonucuna ulaşılmıştır

Keywords

Belirsiz Bilgi Hipotezi, Aşırı Tepki Verme Hipotezi, Etkin Piyasalar Hipotezi, Borsa İstanbul

An Empirical Investigation of the Uncertain Information Hypothesis: Evidence From Borsa Istanbul

Abstract

This paper investigates the reaction of investors to the arrival of major political and economical news in Borsa Istanbul from October 2004 to September 2011. While the empirical results of the paper cannot support the prediction of Overreaction Hypothesis, they are consistent with the Uncertain Information Hypothesis which means investors in Turkey set security prices below their fundamental values in response to unexpected information. In comparison with the studies examining previous periods, we found that this impact is diminishing and Borsa Istanbul has become more efficient for the period of 2004 to 2011

Keywords

Uncertain Information Hypothesis, Overreaction Hypothesis, Efficient Market Hypothesis, Borsa Istanbul

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