Research Article
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Year 2020, , 333 - 355, 30.11.2020

Cenk C. Karahan Ömer Eren

https://doi.org/10.21121/eab.699946
Cited By: 1

Abstract

Ortalamaya dönme eğilimi, geçtiğimiz kırk yılda birçok çalışma tarafından sürekli olarak gözlemlenmiş, birçok çalışma tarafından da varlığı reddedilmiş bir olgudur. Bu çalışmanın ilk amacı, güncel bir veri seti kullanarak gelişmiş ve gelişmekte olan pazarlardan ve MSCI tarafından sağlanan uluslarası endekslerden oluşan geniş bir yelpazede ortalamaya dönme eğilimini araştırarak bu konunun aydınlatılmasına katkıda bulunmaktır. Bu doğrultuda, bu uluslararası sermaye endekslerinin ve bahsi geçen pazarların sermaye piyasalarının dolar bazındaki nominal, reel ve fazla getirileri üzerinde varyans oranı hesaplamaları yapılmış ve rasgeleleştirmeye dayanan dağılımdan bağımsız bir istatistiksel test uygulanmıştır. Bazı durumlarda istatistiksel önem şüphelere yol açsa da, sonuçlar hem gelişmiş, hem de gelişmekte olan ülkelerde ortalamaya dönme eğiliminin var olduğunu göstermektedir. Bununla beraber firma büyüklüğü ve getiri tipinin ortalamaya dönme eğiliminin derecesi üzerinde önemli etkileri olduğu gözlemlenmiştir.

Keywords

Uluslararası Hisse Getirileri Market Verimi Ortalamaya Dönme Varyans Oranı

References

  • Balvers, R., Wu, Y., & Gilliland, E. (2000). Mean Reversion Across National Stock Markets and Parametric Contrarian Investment Strategies. The Journal of Finance, 55(2), 745-772. doi:10.1111/0022-1082.00225
  • Balvers, R. J., & Wu, Y. (2006). Momentum and Mean Reversion Across National Equity Markets. Journal of Empirical Finance, 13(1), 24-48. doi:10.1016/j.jempfin.2005.05.001
  • Bhojraj, S., & Swaminathan, B. (2006). Macromomentum: Evidence of Predictability in International Equity Markets. The Journal of Business, 79(1), 429-451. doi:10.1086/497416
  • Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82. doi:10.1111/j.1540-6261.1997.tb03808.x
  • Chan, K. C. (1988). On the Contrarian Investment Strategy. The Journal of Business, 61(2), 147-61. doi:10.1086/296425
  • Chan, K., Hameed, A., & Tong, W. (2000). Profitability of Momentum Strategies in the International Equity Markets. The Journal of Financial and Quantitative Analysis, 35(2), 153. doi:10.2307/2676188
  • Chaudhuri, K., & Wu, Y. (2003). Mean Reversion in Stock Prices: Evidence From Emerging Markets. Managerial Finance, 29(10), 22-37. doi:10.1108/03074350310768490
  • Cochrane, J. H. (1988). How Big Is the Random Walk in GNP? Journal of Political Economy, 96(5), 893-920. doi:10.1086/261569
  • Conrad, J., & Kaul, G. (1988). Time-Variation in Expected Returns. The Journal of Business, 61(4), 409. doi:10.1086/296441
  • DeBondt, W. F. M., & Thaler, R. H. (1985). Does the Stock Market Overreact? The Journal of Finance, 40(3), 793-805. doi:10.1111/j.1540-6261.1985.tb05004.x
  • Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383. doi:10.2307/2325486
  • Fama, E. F., & French, K. R. (1986). Common Factors in the Serial Correlation of Stock Returns. UCLA: Finance. Retrieved from https://escholarship.org/uc/item/2jf8r7n7
  • Fama, E. F, & French, K. R. (1988). Permanent and Temporary Components of Stock Prices. The Journal of Political Economy, 96(2), 246-273. doi:10.1086/261535
  • French, K. R., & Roll, R. (1986). Stock Return Variances. Journal of Financial Economics, 17(1), 5-26. doi:10.1016/0304-405x(86)90004-8
  • Gropp, J. (2004). Mean Reversion of Industry Stock Returns in the U.S., 1926-1998. Journal of Empirical Finance, 11(4), 537-551. doi:10.1016/j.jempfin.2004.04.002
  • Jegadeesh, N. (1990). Evidence of Predictable Behavior of Security Returns. The Journal of Finance, 45(3), 881-898. doi:10.1111/j.1540-6261.1990.tb05110.x
  • Jegadeesh, N. (1991). Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K. The Journal of Finance, 46(4), 1427-44. doi:10.1111/j.1540-6261.1991.tb04624.x
  • Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance, 48(1), 65-91. doi:10.1111/j.1540-6261.1993.tb04702.x
  • Jegadeesh, N., & Titman, S. (2001). Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. The Journal of Finance, 56(2), 699-720. doi:10.1111/0022-1082.00342
  • Kendall, M. G., & Stuart, A. (1976). The Advanced Theory of Statistics (3rd ed.) London, England: Griffin.
  • Kim, M., Nelson, C. R., & Startz, R. (1991). Mean Reversion in Stock prices?: A Reappraisal of the Empirical Evidence. The Review of Economic Studies, 58(3), 515-528. doi:10.2307/2298009
  • Lewellen, J. (2002). Momentum and Autocorrelation in Stock Returns. The Review of Financial Studies, 15(2), 533-563. doi:10.1093/rfs/15.2.533
  • Lo, A. W., & MacKinlay, C. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. The Review of Financial Studies, 1(1), 41-66. doi:10.1093/rfs/1.1.41
  • Malkiel, B. G. (1973). A Random Walk Down Wall Street : The Time-Tested Strategy for Successful Investing (1st ed.). New York, NY: W.W. Norton.
  • McQueen, G. (1992). Long-Horizon Mean-Reverting Stock Prices Revisited. The Journal of Financial and Quantitative Analysis, 27(1), 1-18. doi:10.2307/2331295
  • Mukherji, S. (2011). Are Stock Returns Still Mean-Reverting?. Review of Financial Economics, 20(1), 22-27. doi:10.1016/j.rfe.2010.08.001
  • Patro, D. K., & Wu, Y. (2004). Predictability of Short-Horizon Returns in International Equity Markets. Journal of Empirical Finance, 11(4), 553-584. doi:10.1016/j.jempfin.2004.02.003
  • Poterba, J., & Summers, L. H. (1989). Mean Reversion in Stock Prices: Evidence and Implications. Journal of Financial Economics, 22(1), 27-59. doi:10.1016/0304-405X(88)90021-9
  • Richards, A. J. (1997). Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained? The Journal of Finance, 52(5), 2129-44. doi:10.1111/j.1540-6261.1997.tb02755.x
  • Rouwenhorst, K. G. (1998). International Momentum Strategies. The Journal of Finance. 53(1), 267-284. doi:10.2139/ssrn.4407
  • Spierdijk, L., Bikker, J. A., & van den Hoek, P. (2012). Mean reversion in international stock markets: An empirical analysis of the 20th century. Journal of International Money and Finance, 31(2), 228-249. doi:10.1016/j.jimonfin.2011.11.008
  • Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177-188. doi:10.1016/0304-405x(77)90016-2

Mean Reversion in International Equity Markets

Year 2020, , 333 - 355, 30.11.2020

Cenk C. Karahan Ömer Eren

https://doi.org/10.21121/eab.699946
Cited By: 1

Abstract

Mean reversion is a phenomenon that has been consistently observed and refuted in several studies over the last decades. This study first aims at shedding further light on this unsettled issue by assessing mean reversion on recent data in a broad range of international equity markets including developed and emerging markets and international indices provided by MSCI. Variance ratio computations and a novel distribution-free statistical tests based on randomization are used on dollar denominated nominal, real and excess returns of these equity markets. The results indicate that mean reversion exists in both developed and emerging countries, albeit its statistical significance is occasionally dubitable. Moreover, firm size and return type exhibit significant effects on the degree of mean reversion.

Keywords

International Equity Returns Market Efficiency Mean Reversion Variance Ratio

References

  • Balvers, R., Wu, Y., & Gilliland, E. (2000). Mean Reversion Across National Stock Markets and Parametric Contrarian Investment Strategies. The Journal of Finance, 55(2), 745-772. doi:10.1111/0022-1082.00225
  • Balvers, R. J., & Wu, Y. (2006). Momentum and Mean Reversion Across National Equity Markets. Journal of Empirical Finance, 13(1), 24-48. doi:10.1016/j.jempfin.2005.05.001
  • Bhojraj, S., & Swaminathan, B. (2006). Macromomentum: Evidence of Predictability in International Equity Markets. The Journal of Business, 79(1), 429-451. doi:10.1086/497416
  • Carhart, M. M. (1997). On Persistence in Mutual Fund Performance. The Journal of Finance, 52(1), 57-82. doi:10.1111/j.1540-6261.1997.tb03808.x
  • Chan, K. C. (1988). On the Contrarian Investment Strategy. The Journal of Business, 61(2), 147-61. doi:10.1086/296425
  • Chan, K., Hameed, A., & Tong, W. (2000). Profitability of Momentum Strategies in the International Equity Markets. The Journal of Financial and Quantitative Analysis, 35(2), 153. doi:10.2307/2676188
  • Chaudhuri, K., & Wu, Y. (2003). Mean Reversion in Stock Prices: Evidence From Emerging Markets. Managerial Finance, 29(10), 22-37. doi:10.1108/03074350310768490
  • Cochrane, J. H. (1988). How Big Is the Random Walk in GNP? Journal of Political Economy, 96(5), 893-920. doi:10.1086/261569
  • Conrad, J., & Kaul, G. (1988). Time-Variation in Expected Returns. The Journal of Business, 61(4), 409. doi:10.1086/296441
  • DeBondt, W. F. M., & Thaler, R. H. (1985). Does the Stock Market Overreact? The Journal of Finance, 40(3), 793-805. doi:10.1111/j.1540-6261.1985.tb05004.x
  • Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383. doi:10.2307/2325486
  • Fama, E. F., & French, K. R. (1986). Common Factors in the Serial Correlation of Stock Returns. UCLA: Finance. Retrieved from https://escholarship.org/uc/item/2jf8r7n7
  • Fama, E. F, & French, K. R. (1988). Permanent and Temporary Components of Stock Prices. The Journal of Political Economy, 96(2), 246-273. doi:10.1086/261535
  • French, K. R., & Roll, R. (1986). Stock Return Variances. Journal of Financial Economics, 17(1), 5-26. doi:10.1016/0304-405x(86)90004-8
  • Gropp, J. (2004). Mean Reversion of Industry Stock Returns in the U.S., 1926-1998. Journal of Empirical Finance, 11(4), 537-551. doi:10.1016/j.jempfin.2004.04.002
  • Jegadeesh, N. (1990). Evidence of Predictable Behavior of Security Returns. The Journal of Finance, 45(3), 881-898. doi:10.1111/j.1540-6261.1990.tb05110.x
  • Jegadeesh, N. (1991). Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K. The Journal of Finance, 46(4), 1427-44. doi:10.1111/j.1540-6261.1991.tb04624.x
  • Jegadeesh, N., & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance, 48(1), 65-91. doi:10.1111/j.1540-6261.1993.tb04702.x
  • Jegadeesh, N., & Titman, S. (2001). Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. The Journal of Finance, 56(2), 699-720. doi:10.1111/0022-1082.00342
  • Kendall, M. G., & Stuart, A. (1976). The Advanced Theory of Statistics (3rd ed.) London, England: Griffin.
  • Kim, M., Nelson, C. R., & Startz, R. (1991). Mean Reversion in Stock prices?: A Reappraisal of the Empirical Evidence. The Review of Economic Studies, 58(3), 515-528. doi:10.2307/2298009
  • Lewellen, J. (2002). Momentum and Autocorrelation in Stock Returns. The Review of Financial Studies, 15(2), 533-563. doi:10.1093/rfs/15.2.533
  • Lo, A. W., & MacKinlay, C. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. The Review of Financial Studies, 1(1), 41-66. doi:10.1093/rfs/1.1.41
  • Malkiel, B. G. (1973). A Random Walk Down Wall Street : The Time-Tested Strategy for Successful Investing (1st ed.). New York, NY: W.W. Norton.
  • McQueen, G. (1992). Long-Horizon Mean-Reverting Stock Prices Revisited. The Journal of Financial and Quantitative Analysis, 27(1), 1-18. doi:10.2307/2331295
  • Mukherji, S. (2011). Are Stock Returns Still Mean-Reverting?. Review of Financial Economics, 20(1), 22-27. doi:10.1016/j.rfe.2010.08.001
  • Patro, D. K., & Wu, Y. (2004). Predictability of Short-Horizon Returns in International Equity Markets. Journal of Empirical Finance, 11(4), 553-584. doi:10.1016/j.jempfin.2004.02.003
  • Poterba, J., & Summers, L. H. (1989). Mean Reversion in Stock Prices: Evidence and Implications. Journal of Financial Economics, 22(1), 27-59. doi:10.1016/0304-405X(88)90021-9
  • Richards, A. J. (1997). Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained? The Journal of Finance, 52(5), 2129-44. doi:10.1111/j.1540-6261.1997.tb02755.x
  • Rouwenhorst, K. G. (1998). International Momentum Strategies. The Journal of Finance. 53(1), 267-284. doi:10.2139/ssrn.4407
  • Spierdijk, L., Bikker, J. A., & van den Hoek, P. (2012). Mean reversion in international stock markets: An empirical analysis of the 20th century. Journal of International Money and Finance, 31(2), 228-249. doi:10.1016/j.jimonfin.2011.11.008
  • Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177-188. doi:10.1016/0304-405x(77)90016-2
There are 32 citations in total.

Details

Primary Language English
Subjects Economics, Business Administration
Journal Section Research Article
Authors

Cenk C. Karahan 0000-0002-2686-6959

Ömer Eren This is me 0000-0002-1625-2304

Publication Date November 30, 2020
Acceptance Date October 6, 2020
Published in Issue Year 2020

Cite

APA Karahan, C. C., & Eren, Ö. (2020). Mean Reversion in International Equity Markets. Ege Academic Review, 20(4), 333-355. https://doi.org/10.21121/eab.699946
AMA Karahan CC, Eren Ö. Mean Reversion in International Equity Markets. eab. November 2020;20(4):333-355. doi:10.21121/eab.699946
Chicago Karahan, Cenk C., and Ömer Eren. “Mean Reversion in International Equity Markets”. Ege Academic Review 20, no. 4 (November 2020): 333-55. https://doi.org/10.21121/eab.699946.
EndNote Karahan CC, Eren Ö (November 1, 2020) Mean Reversion in International Equity Markets. Ege Academic Review 20 4 333–355.
IEEE C. C. Karahan and Ö. Eren, “Mean Reversion in International Equity Markets”, eab, vol. 20, no. 4, pp. 333–355, 2020, doi: 10.21121/eab.699946.
ISNAD Karahan, Cenk C. - Eren, Ömer. “Mean Reversion in International Equity Markets”. Ege Academic Review 20/4 (November 2020), 333-355. https://doi.org/10.21121/eab.699946.
JAMA Karahan CC, Eren Ö. Mean Reversion in International Equity Markets. eab. 2020;20:333–355.
MLA Karahan, Cenk C. and Ömer Eren. “Mean Reversion in International Equity Markets”. Ege Academic Review, vol. 20, no. 4, 2020, pp. 333-55, doi:10.21121/eab.699946.
Vancouver Karahan CC, Eren Ö. Mean Reversion in International Equity Markets. eab. 2020;20(4):333-55.

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https://doi.org/10.24013/jomelips.1007847