DOES EXCHANGE RATE FOLLOW THE WEAK FORM MARKET EFFICIENCY IN NEXT 11 COUNTRIES? EVIDENCE FROM COMPREHENSIVE UNIT ROOT TESTS

Abstract

Examining the efficiency of the market is a substantial issue for economies particularly in developing markets. The purpose of this study is to investigate the validity of weak-form market efficiency by using linear and nonlinear unit root tests of the exchange rate against the US dollar of the Next 11 countries over the period of January 1998 until December 2019. To this effect, we firstly perform the Harvey et al. (2008) linearity test to determine the characteristics of the series. Afterward, in order to examine the weak-form market efficiency, KPSS (1992), Zivot-Andrews (1992) and Lee-Strazicich (2013) tests were applied to linear series while Kapetanios et al. (2003) and Kruse (2011) tests were performed to nonlinear series. Generally, the findings revealed that the validity of the weak-form market efficiency is accepted for the Next 11 countries’ exchange rate. Depending on these results, the majority of the Next 11 countries’ exchange rate follows random walk hence it can be asserted that the current price of the exchange rate cannot be estimated by evaluating its historical prices. The obtained results also suggest that temporary shocks in the exchange rate leave permanent effects in the majority of Next 11 countries.

Keywords

• Efficient Market Hypothesis
• Weak Form Market Efficiency
• Exchange Rate
• Linear and Nonlinear Unit Root Tests
• Next 11 Countries

GELECEK 11 ÜLKELERİNDE DÖVİZ KURU ZAYIF FORM PİYASA ETKİNLİĞİNİ TAKİP ETMEKTEDİR Mİ? KAPSAMLI BİRİM KÖK TESTLERİ İLE KANITLAR

Abstract

Piyasaların etkinliğinin araştırılması özellikle gelişmekte olan piyasalarda ülke ekonomileri için önemli bir konudur. Bu çalışmanın amacı, 1998-2019 dönemi için Gelecek 11 ülkenin ABD dolarına karşı döviz kurunun doğrusal ve doğrusal olmayan birim kök testleri uygulanarak zayıf form piyasa etkinliğinin geçerliliğini ampirik olarak incelemektir. Bu amaçla serilerin özelliklerini belirlemek için ilk olarak Harvey vd. (2008) doğrusallık testi uygulanmıştır. Daha sonra döviz kuru piyasasında zayıf form piyasa etkinliğini incelemek için, doğrusal olan döviz kuru serileri için KPSS (1992), Zivot-Andrews (1992) ve Lee-Strazicich (2013) birim kök testleri; doğrusal olmayan döviz kuru serileri için Kapetanios vd. (2003) ve Kruse (2011) birim kök testleri uygulanmıştır. Genel olarak bulgular, Gelecek 11 ülkelerinin döviz kurları serileri için zayıf form piyasa etkinliğinin geçerliliğin kabul edildiğini ortaya koymuştur. Bu sonuçlara bağlı olarak, Gelecek 11 ülkelerinin ABD dolar cinsinden döviz kurları rassal yürüyüş hipotezini takip etmektedir böylelikle döviz kurlarının geçmiş fiyat hareketlerinden yola çıkarak gelecek fiyatlarını tahmin etmenin mümkün olmadığı söylenebilir. Elde edilen sonuçlar ayrıca döviz kurundaki geçici şoklar Gelecek 11 ülkelerinin çoğunda kalıcı etkiler bıraktığını göstermektedir.

Keywords

• Etkin Piyasa Hipotezi
• Zayıf Form Piyasa Etkinliği
• Döviz Kuru
• Doğrusal ve Doğrusal Olmayan Birim Kök Testleri
• Gelecek 11 Ülkeleri

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