Year 2020, Volume 18 , Issue 2, Pages 327 - 338 2020-06-24

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

Oktay ÖZKAN [1]


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.

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.
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Primary Language en
Subjects Social
Journal Section İktisadi ve idari Bilimler Sayısı
Authors

Orcid: 0000-0001-9419-8115
Author: Oktay ÖZKAN (Primary Author)
Institution: GAZİOSMANPAŞA ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ
Country: Turkey


Dates

Publication Date : June 24, 2020

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 . DOI: 10.18026/cbayarsos.695125