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Covıd-19 Pandemisinde Piyasa Etkinliği Ve Davranışsal Finans Teorilerinin Geçerliliği: Uluslararası Piyasalarda Bir Uygulama

Year 2021, Issue: 60, 519 - 546, 25.12.2021

Mehmetcan Suyadal

https://doi.org/10.18070/erciyesiibd.994139
Cited By: 3

Abstract

Bu çalışmanın amacı, temel finans teorilerinden Etkin Piyasalar Hipotezi ve Davranışsal Finans Teorisinin Covid-19 döneminde uluslararası pay piyasalarında test edilmesidir. Bu kapsamda çalışmada toplam vaka sayısı açısından dünya ölçeğinde ilk altı sırada bulunan ülkelere ilişkin 31.12.2019 - 01.07.2021 tarihleri arası günlük ve haftalık pay piyasası verileri ve Google Trends “Covid19” terimine yönelik haftalık arama sayıları verileri (Koronavirüs Korku Endeksi) kullanılmıştır. Etkin Piyasalar Hipotezinin geçerliliği Koşu (Run) Testi ile test edilirken, pay piyasalarındaki davranışsal etkilerin belirlenebilmesi için Dumitrescu & Hurlin (2012) Panel Nedensellik Analizinden yararlanılmıştır. Çalışma bulguları, Etkin Piyasalar Hipotezinin ABD ve Brezilya dışındaki ülkelerde pay piyasası getirileri için zayıf formda kabul edildiğini göstermiştir. Bunun yanı sıra davranışsal etkilerin test edilmesi için gerçekleştirilen Panel Nedensellik Analizi sonuçları, Koronavirüs Korku Endeksinin tüm ülkelerde pay fiyatlarındaki değişimin nedeni olduğunu ortaya koymuştur. 

Keywords

Etkin Piyasalar Hipotezi Davranışsal Finans Covid-19 Koşu Testi Panel Nedensellik Analizi Koronavirüs Korku Endeksi

Supporting Institution

-

Project Number

-

Thanks

-

References

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The Validity of Market Efficiency and Behavioral Finance Theories in the Covid-19 Pandemic: An Application on International Markets

Year 2021, Issue: 60, 519 - 546, 25.12.2021

Mehmetcan Suyadal

https://doi.org/10.18070/erciyesiibd.994139
Cited By: 3

Abstract

The purpose of this study is to test the Efficient Market Hypothesis and Behavioral Finance Theory which are among the main finance theories, in international stock markets during the Covid19 period. In this context, daily and weekly stock market data between 31.12.2019-01.07.2021 for the countries that are in the top six in the world in terms of a total number of cases and weekly search numbers for the term “Covid19” from Google Trends (Coronavirus Fear Index) were used. While the validity of the Efficient Market Hypothesis was tested with the Run Test, Dumitrescu & Hurlin (2012) Panel Causality Analysis was used to determine the behavioral effects in the stock markets. The study findings showed that the Efficient Market Hypothesis was accepted in weak form for stock market returns in countries other than the USA and Brazil. In addition, the results of the Panel Causality Analysis carried out to test the behavioral effects revealed that the Coronavirus Fear Index was the reason for the changes in stock prices in all countries.

Keywords

Efficient Market Hypothesis Behavioral Finance Covid-19 Run Test Panel Causality Analysis Coronavirus Fear Index

Project Number

-

References

  • Ahmed, F. (2021). Assessment of Capital Market Efficiency in COVID-19. European Journal of Business and Management Research, 6(3), 42-46.
  • Ajao, M. G., & Osayuwu, R. (2012). Testing the weak form of efficient market hypothesis in Nigerian capital market. Accounting and Finance Research, 1(1), 169-179.
  • Ammy-Driss, A., & Garcin, M. (2020). Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. arXiv preprint arXiv:2007.10727.
  • Anadolu Ajansı (2020), Erişim Linki: https://www.aa.com.tr/tr/dunya/cine-giden-dso-uzmani-vuhanda-aralik-2019daki-salginin-boyutu-dusunulenden-daha-buyuk/2144790 Erişim Tarihi: 09.08.2021.
  • Ariss, R. T., Rezvanian, R., & Mehdian, S. M. (2011). Calendar anomalies in the Gulf Cooperation Council stock markets. Emerging Markets Review, 12(3), 293-307.
  • Awiagah, R., & Choi, S. S. B. (2018). Predictable or random?-A Test of the weak-form efficient market hypothesis on the Ghana stock exchange. Journal of Finance and Economics, 6(6), 213-222.
  • Baker, H. K., & Nofsinger, J. R. (Eds.). (2010). Behavioral finance: investors, corporations, and markets (Vol. 6). John Wiley & Sons.
  • Barak, O. (2008). İMKB De Aşiri Reaksiyon Anomalisi Ve Davranişsal Finans Modelleri Kapsaminda Değerlendirilmesi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1), 207-229.
  • Barberis, N., Jin, L. J., & Wang, B. (2019). Prospect theory and stock market anomalies. The Journal of Finance.
  • Barone, E. (1990). The Italian stock market: efficiency and calendar anomalies. Journal of Banking & Finance, 14(2-3), 483-510.
  • Black, F. (1986). Noise. The journal of finance, 41(3), 528-543.
  • Boone, T., Ganeshan, R., Hicks, R. L., & Sanders, N. R. (2018). Can Google trends improve your sales forecast?. Production and Operations Management, 27(10), 1770-1774.
  • Borges, M. R. (2010). Efficient market hypothesis in European stock markets. The European Journal of Finance, 16(7), 711-726.
  • Brennan, M. J., & Hughes, P. J. (1991). Stock prices and the supply of information. The Journal of Finance, 46(5), 1665-1691.
  • Chen, C., Liu, L., & Zhao, N. (2020). Fear sentiment, uncertainty, and bitcoin price dynamics: The case of COVID-19. Emerging Markets Finance and Trade, 56(10), 2298-2309.
  • Çelik, M. Y., & Ünsür, Z. (2020). Küreselleşme ve Büyüme İlişkisinin Dumitrescu-Hurlin Panel Nedensellik Testi İle Belirlenmesi. İzmir İktisat Dergisi, 35(1), 201-210.
  • Çetiner, M., Gökcek, H. A., & Gölbaşı, B. T. (2019). Davranışsal finans perspektifinden yatırımcı davranışları üzerine bir inceleme. Uluslararası Bankacılık Ekonomi ve Yönetim Araştırmaları Dergisi, 2(1), 1-30.
  • Datta, S., & Dhillon, U. S. (1993). Bond and stock market response to unexpected earnings announcements. Journal of Financial and Quantitative Analysis, 28(4), 565-577.
  • Doğukanlı, H., & Ergün, A. G. B. (2011). Davranışsal Finans Etkin Piyasalara Karşı: Aşırı Tepki Hipotezinin İMKB’de Araştırılması. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20(1), 321-336.
  • Dumitrescu, E. I., & Hurlin, C. (2012). Testing for Granger non-causality in heterogeneous panels. Economic modelling, 29(4), 1450-1460.
  • Fama, E. F. (1965). The behavior of stock-market prices. The journal of Business, 38(1), 34-105.
  • Fama, E. F. (1970). Efficient market hypothesis: A review of theory and empirical work. Journal of Finance, 25(2), 28-30.
  • Google Trends Arama Verileri (2021). Erişim Linki: https://trends.google.com/trends/?geo=TR Erişim Tarihi: 11.08.2021.
  • Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: journal of the Econometric Society, 424-438.
  • Gujarati, D. N., & Porter, D. (2012). Temel ekonometri (Ü. Şenesen ve GG Şenesen, Çev.). İstanbul: Literatür Yayıncılık.
  • Gümüş, B. F., & Zeren, F. (2014). Analyzing the efficient market hypothesis with the fourier unit root tests: Evidence from G-20 countries. Ekonomski horizonti, 16(3), 225-237.
  • Hammoudeh, S., & Li, H. (2008). Sudden changes in volatility in emerging markets: The case of Gulf Arab stock markets. International Review of Financial Analysis, 17(1), 47-63.
  • İlhan, E. G. E., Topaloğlu, E. E., & Coşkun, D. (2012). Davranışsal finans ve anomaliler: Ocak ayı anomalisinin İMKB’de test edilmesi. Muhasebe ve Finansman Dergisi, (56), 175-190.
  • Jacobs, B. I., & Levy, K. N. (1988). Calendar anomalies: Abnormal returns at calendar turning points. Financial Analysts Journal, 44(6), 28-39.
  • Kahneman, D. (2011). Thinking, fast and slow. Macmillan.
  • Karan, M. B. (2013). Yatırım analizi ve portföy yönetimi, Gazi yayınları, 4. Baskı, Ankara.
  • Khan, N. U., & Khan, S. (2016). Weak Form of Efficient Market Hypothesis â?? Evidence from Pakistan. Business & Economic Review, 8(SE), 1-18.
  • Kıyılar, M., & Akkaya, M. (2016). Davranışsal finans. İstanbul: Literatür Yayıncılık.
  • Kilic, Y., & Fatih, M. B. (2016). The efficient market hypothesis: Evidence from Turkey. International Journal of Academic Research in Business and Social Sciences, 6(10), 262-272.
  • Kumar, S. (2016). Revisiting calendar anomalies: three decades of multicurrency evidence. Journal of Economics and Business, 86, 16-32.
  • Lalwani, V., & Meshram, V. V. (2020). Stock market efficiency in the time of COVID-19: evidence from industry stock returns. International Journal of Accounting & Finance Review, 5(2), 40-44.
  • Li, W., Chien, F., Kamran, H. W., Aldeehani, T. M., Sadiq, M., Nguyen, V. C., & Taghizadeh-Hesary, F. (2021). The nexus between COVID-19 fear and stock market volatility. Economic Research-Ekonomska Istraživanja, 1-22. Lo AW. 2004. The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective. The Journal of Portfolio Management 30 (5): 15-29.
  • Lonie, A. A., Abeyratna, G., Power, D. M., & Sinclair, C. D. (1996). The stock market reaction to dividend announcements: A UK study of complex market signals. Journal of Economic studies.
  • Mallikarjunappa, T., & Manjunatha, T. (2009). Stock Price Reactions to Dividend Announcements. Journal of Management & Public Policy, 1(1).
  • McCluskey, T., Burton, B. M., Power, D. M., & Sinclair, C. D. (2006). Evidence on the Irish stock market's reaction to dividend announcements. Applied Financial Economics, 16(8), 617-628.
  • Nguyen, C. V., & Ali, M. M. (2011). Testing the weak efficient market hypothesis: Using Bangladeshi panel data. Banks & bank systems, (6, Iss. 1), 11-15.
  • Nofsinger, J. R. (2005). Social mood and financial economics. The Journal of Behavioral Finance, 6(3), 144-160.
  • Obayagbona, J., & Igbinosa, S. O. (2015). Test of random walk hypothesis in the Nigerian stock market. Current Research Journal of Social Sciences, 7(2), 27-36.
  • Pachetti, M., Marini, B., Benedetti, F., Giudici, F., Mauro, E., Storici, P., ... & Ippodrino, R. (2020). Emerging SARS-CoV-2 mutation hot spots include a novel RNA-dependent-RNA polymerase variant. Journal of translational medicine, 18(1), 1-9.
  • Pathan, R. K., Biswas, M., & Khandaker, M. U. (2020). Time series prediction of COVID-19 by mutation rate analysis using recurrent neural network-based LSTM model. Chaos, Solitons & Fractals, 138, 110018.
  • Pesaran, M. H. (2004). General diagnostic tests for cross-sectional dependence in panels. IZA Discussion Paper Series, DP No. 1240
  • Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross‐section dependence. Journal of applied econometrics, 22(2), 265-312.
  • Pesaran, M. H., & Yamagata, T. (2008). Testing slope homogeneity in large panels. Journal of econometrics, 142(1), 50-93.
  • Rizkianto, G. D., & Surya, B. A. (2014). Testing the Efficient Market Hypothesis on Weak and Semistrong Form in the Indonesian Stock Market. Journal of Business and Management, 3(2), 179-190.
  • Sadi, R., Asl, H. G., Rostami, M. R., Gholipour, A., & Gholipour, F. (2011). Behavioral finance: the explanation of investors’ personality and perceptual biases effects on financial decisions. International journal of economics and finance, 3(5), 234-241.
  • Sadiq, M., Hsu, C. C., Zhang, Y., & Chien, F. (2021). COVID-19 fear and volatility index movements: empirical insights from ASEAN stock markets. Environmental Science and Pollution Research, 1-18.
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Details

Primary Language Turkish
Journal Section Makaleler
Authors

Mehmetcan Suyadal 0000-0002-8235-7462

Project Number -
Publication Date December 25, 2021
Acceptance Date November 4, 2021
Published in Issue Year 2021 Issue: 60

Cite

APA Suyadal, M. (2021). Covıd-19 Pandemisinde Piyasa Etkinliği Ve Davranışsal Finans Teorilerinin Geçerliliği: Uluslararası Piyasalarda Bir Uygulama. Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi(60), 519-546. https://doi.org/10.18070/erciyesiibd.994139

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