TESTING THE EFFICIENT MARKET HYPOTHESIS: A RESEARCH ON STOCKS OF CONTAINER SHIPPING COMPANIES

Year 2020, Volume: 9 Issue: 17, 1 - 12, 09.07.2020

Abdullah Açık Esra Baran İlke Sezin Ayaz

Abstract

The aim of this study is to determine whether the
efficient market hypothesis is valid in the stock prices of the 8 liner
shipping companies that are placed in the top 10 in the world. In this respect,
Brock, Dechert and Scheinkman (BDS) test, which is rarely used and up-to-date
method, is used to test the efficient market hypothesis in the weak form. The
data set used in this study consists of 400 observations on a weekly basis and
covers the period between 5 November 2010 and 10 July 2018. According to the
results of the study, efficient market hypothesis in the weak form is not valid
in the stock prices of all liner shipping companies. This result shows that the
stock prices of the companies are related to their historical prices and it is
possible to obtain excess profits by using historical data of the stocks and by
developing commercial strategies.

Keywords

Efficient market hypothesis, container companies, stock values, BDS test

ETKİN PİYASA HİPOTEZİNİN TEST EDİLMESİ: KONTEYNER TAŞIMACILIĞI YAPAN FİRMALARIN PAY SENETLERİ ÜZERİNE BİR ARAŞTIRMA)

Abstract

Bu çalışmanın amacı, dünyada ilk 10’a giren ve hisse
değerlerine ulaşılabilen düzenli hat taşımacılığı yapan 8 şirketin hisse
değerlerinde etkin piyasa hipotezinin geçerli olup olmadığının tespit
edilmesidir. Bu doğrultuda, zayıf formda etkin piyasa hipotezinin test edilmesi
için nadiren kullanılan ve güncel bir yöntem olan Brock, Dechert ve Scheinkman
(BDS) testi kullanılmaktadır. Çalışmada kullanılan veri seti haftalık bazda 400
gözlemden oluşmaktadır ve 5 Kasım 2010 ve 10 Temmuz 2018 tarihleri arasını
kapsamaktadır. Araştırmanın sonucuna göre tüm düzenli hat taşımacılığı
şirketlerinin hisse değerlerinde zayıf formda etkin piyasa hipotezi geçerli
değildir. Bu sonuç şirketlerin hisse değerlerinin geçmiş değerleriyle
bağlantılı olduğunu göstermektedir. Bu sonuçlar, bu hisse senetleriyle geçmiş
veriler kullanılarak ve ticari stratejiler geliştirilerek olağanüstü karlar
elde edilebilmesinin mümkün olduğunu göstermektedir. 

Keywords

Etkin piyasa hipotezi, konteyner şirketleri, hisse değerleri, BDS testi

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