ETKİN PİYASA HİPOTEZİ VE GELİŞMEKTE OLAN PİYASALARIN BİRLİKTE HAREKETİ

Abstract

Bu çalışmanın amacı hisse senedi piyasaları eşbütünleşimini etkin pazar pespektifinden araştırmaktır. Bu bağlamda 11 gelişmekte olan piyasanın Ocak 1998-Aralık 2008 ve Ocak 2002-Aralık 2008 dönemli haftalık verileri test edilmiştir. Gelişmekte olan ülke piyasalarının birlikte hareketi Johansen eşbütünleşim testi ile incelenmiş ve %5 anlamlılık düzeyinde iki eşbütünleşim vektörü bulunmuştur. Buna rağmen vektör hata düzeltme modelinin açıklama gücünün düşük olmasından dolayı piyasa ekinliğine karşı kesin bir bulgu ortaya konulamamıştır

Keywords

• Etkin Piyasa Hipotezi, Birim Kök, Johansen Eşbütünleşim Testi, Vektör Hata Düzeltme Modeli

EFFICIENT MARKET HYPOTHESIS AND COMOVEMENT AMONG EMERGING MARKETS

Abstract

The main purpose of this study is to investigate stock market cointegration from the market efficiency perspective. Therefore, eleven emerging stock market indices are tested by using weekly data for the period of January 1998-December 2008 and for the sub period of January 2002-December 2008. Comovement among the emerging market countries was analyzed through Johansen cointegration test. The existence of two cointegrating vectors has been found at 5% significance level. However, the firm evidence against the market efficiency could not be established because of the low explanatory power of the results generated from the vector error correction model.

Keywords

• Efficient Market Hypothesis, Unit Root, Johansen Cointegration Test, Vector Error Correction Model

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