Analyzing the Efficient Market Hypothesis with the Structural Break and Nonlinear Unit Root Tests: An Application on Borsa Istanbul

Year 2022, , 257 - 282, 29.12.2022

Müge Özdemir

https://doi.org/10.26650/ekoist.2022.37.1135040

Abstract

The literature on finance defines the concept of an efficient market as a market where information about securities is instantly reflected in prices. Investors who trade on efficient markets cannot obtain abnormal returns. All market participants are assumed to have instant access to the information coming to the market, with everyone knowing the same information. The aim of this study is to test within the framework of information efficiency the weak-form efficiency market hypothesis using statistical tests with daily, weekly, and monthly frequencies for the BIST100 index over the period of October 2011-October 2021. The study uses the runs test, variance ratio test, unit root tests, structural break unit root tests, and nonlinear unit root tests to test weak form efficiency for this period. According to the findings, the BIST100 market index has been concluded to show a random walk at all frequencies in the relevant period (i.e., it has weak form efficiency).

Keywords

Weak-Form Efficiency Market, Random Walk, Nonlinear Unit Root Test, Structural Break Unit Root Test

Etkin Piyasa Hipotezinin Yapısal Kırılmalı ve Doğrusal Olmayan Birim Kök Testleri ile Analizi: Borsa Istanbul Üzerine Bir Uygulama

Abstract

Finans literatüründe menkul kıymetlerle ilgili bilgilerin anında fiyatlara yansıdığı piyasa kavramı etkin piyasa olarak tanımlanmaktadır. Etkin bir piyasada işlem yapan yatırımcılar anormal getiri elde edememektedir. Tüm piyasa katılımcılarının piyasaya gelen bilgilere anında ulaştığı ve herkesin aynı bilgiyi bildiği varsayılmaktadır. Bilgi etkinliği çerçevesinde, bu çalışmanın amacı, piyasa türlerinden biri olan zayıf formda etkin piyasa hipotezini BİST100 endeksi için 2011:10-2021:10 döneminde günlük, haftalık ve aylık frekanslarda istatistiki testler ile test etmektir. Çalışmada, söz konusu döneme ait verilerin zayıf formda etkinlik sınaması için runs testi, varyans oran testi, geleneksel birim kök testleri, yapısal kırılmalı birim kök testleri ve doğrusal olmayan birim kök testi kullanılmaktadır. Çıkan bulgulara göre, ilgili dönemde BİST100 piyasa endeksininin tüm frekanslarda rassal yürüyüş gösterdiği yani zayıf formda etkin olduğu sonucuna varılmaktadır.

Keywords

zayıf formda etkin piyasa, rastgele yürüyüş, doğrusal olmayan birim kök testi, yapısal kırılmalı birim kök testi

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