Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members

Oktay Özkan

doi:10.18026/cbayarsos.695125

TR EN

Hisse Senedi Piyasalarının Zayıf Form Piyasa Etkinliğinin Küresel Ölçekte Karşılaştırılması: G-20 Üyeleri Üzerine Ampirik Bir Çalışma

Öz

Bu çalışma,G-20 üyelerini hisse senedi endekslerinin 07.06.2009 ve 09.02.2020 tarihleri arasındaki haftalık verilerini kullanarak G-20 üyelerinin hisse senedi piyasalarının getiri öngörülebilirliğini, diğer bir ifadeyle zayıf formdaki piyasa etkinliğini karşılaştırma açısından analiz etmektedir. Kim (2009) tarafından geliştirilen doğal bootstrap otomatik varyans oranı testi analizleri neticesinde, Brezilya, Güney Afrika ve Almanya hisse senedi piyasalarının çalışma kapsamındaki tarih aralığında zayıf formda etkin olduğu, dolayısıyla getirilerin öngörülemez olduğu, diğer piyasaların ise zayıf form etkinliğinin (getiri öngörülebilirliğin) periyodik olarak değiştiği bulunmuştur. Brezilya, Güney Afrika ve Almanya'ya ek olarak, Rusya, Fransa, İtalya, ABD, İngiltere ve Kanada hisse senedi piyasalarında tarihsel fiyat hareketleri veya getirileri ile getirilerin tahmin edilebilme şansı oldukça düşüktür. Ayrıca Japonya, Avustralya, Çin, Suudi Arabistan ve özellikle Meksika hisse senedi piyasalarının getiri öngörülebilirlik dönemlerinin diğer piyasalardan daha yüksek olduğu ve bu piyasalarda tarihsel fiyat bilgilerini kullanarak getiri tahmininde başarı şansının oldukça yüksek olduğu tespit edilmiştir.

Anahtar Kelimeler

Doğal Bootstrap Otomatik Varyans Rasyo Testi,Hisse Senedi Piyasaları,Etkin Piyasalar Hipotezi,Getiri Öngörülebilirliği

Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members

Öz

This paper analyzes stock markets of G-20 members in terms of comparing return predictability, in other words, weak-form market efficiency using stock indexes weekly data of the G-20 members between 07.06.2009 and 09.02.2020. As a result of the wild bootstrap automatic variance ratio test analysis developed by Kim (2009), it is found that the stock markets of Brazil, South Africa, and Germany were weak-form efficient in the date range within the scope of the study, so the returns are unpredictable, while the weak-form efficiency (return predictability) of other markets are time-varying. In addition to Brazil, South Africa, and Germany, there is a very low chance to estimate returns with historical price movements or returns in Russia, France, Italy, United States, United Kingdom, and Canada stock markets. It is also found that the return predictability periods of Japan, Australia, China, Saudi Arabia, and especially Mexico’s stock markets are higher than other markets and the chance of success in estimating returns by using historical price information in these markets is quite high.

Anahtar Kelimeler

Wild Bootstrap Automatic Variance Ratio Test,Stock Markets,Efficient Markets Hypothesis,Return Predictability

Kaynakça

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Ayrıntılar

Birincil Dil

İngilizce

Konular

-

Bölüm

Araştırma Makalesi

Yazarlar

Oktay Özkan ^*
0000-0001-9419-8115
Türkiye

Yayımlanma Tarihi

24 Haziran 2020

Gönderilme Tarihi

26 Şubat 2020

Kabul Tarihi

10 Haziran 2020

Yayımlandığı Sayı

Yıl 2020 Cilt: 18 Sayı: 2

DOI

https://doi.org/10.18026/cbayarsos.695125

IZ

https://izlik.org/JA99NC38UT

APA

Özkan, O. (2020). Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, 18(2), 327-338. https://doi.org/10.18026/cbayarsos.695125

AMA

1.Özkan O. Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi. 2020;18(2):327-338. doi:10.18026/cbayarsos.695125

Chicago

Özkan, Oktay. 2020. “Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members”. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi 18 (2): 327-38. https://doi.org/10.18026/cbayarsos.695125.

EndNote

Özkan O (01 Haziran 2020) Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi 18 2 327–338.

IEEE

[1]O. Özkan, “Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members”, Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, c. 18, sy 2, ss. 327–338, Haz. 2020, doi: 10.18026/cbayarsos.695125.

ISNAD

Özkan, Oktay. “Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members”. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi 18/2 (01 Haziran 2020): 327-338. https://doi.org/10.18026/cbayarsos.695125.

JAMA

1.Özkan O. Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi. 2020;18:327–338.

MLA

Özkan, Oktay. “Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members”. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi, c. 18, sy 2, Haziran 2020, ss. 327-38, doi:10.18026/cbayarsos.695125.

Vancouver

1.Oktay Özkan. Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members. Manisa Celal Bayar Üniversitesi Sosyal Bilimler Dergisi. 01 Haziran 2020;18(2):327-38. doi:10.18026/cbayarsos.695125

https://orcid.org/

Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members

Hisse Senedi Piyasalarının Zayıf Form Piyasa Etkinliğinin Küresel Ölçekte Karşılaştırılması: G-20 Üyeleri Üzerine Ampirik Bir Çalışma

Öz

Anahtar Kelimeler

Weak-Form Market Efficiency Comparison of Stock Markets on Global Scale: An Empirical Study on G-20 Members

Öz

Anahtar Kelimeler

Kaynakça

Ayrıntılar

Birincil Dil

Konular

Bölüm

Yazarlar

Yayımlanma Tarihi

Gönderilme Tarihi

Kabul Tarihi

Yayımlandığı Sayı

DOI

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Kaynak Göster

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