Bankalarda volatilite yapısının modellenmesiyle, bankaların yanında ekonominin genelini ilgilendiren risk ve belirsizliklerin karakteristik yapısı ortaya konulmaktadır. Bu çalışmada, Türkiye’deki bankaların hisse senedi getirilerindeki volatilitenin tahmin edilmesi amaçlanmıştır. Çalışmanın inceleme dönemi 5 Ocak 2010 - 31 Aralık 2020’dir. Ding, Granger ve Engle (1993) tarafından önerilen doğrusal olmayan asimetrik koşullu volatilite analiz yöntemiyle (APGARCH) bankaların hisse senetlerinin getiri volatilitesi tahmin edilmiştir. Çalışmada öncelikle getirilerin durağanlığı, ARCH etkisi, asimetri yapısı ve doğrusallık özellikleri test edilmiştir. Ardından, APGARCH modeliyle, bankaların getiri volatilitesindeki şokun yüksek kalıcılığa sahip olduğu, asimetri etkisinin bulunduğu ve uzun dönem hafıza özelliğinin olduğu ortaya konmuştur. Bulgular, Türkiye’deki bankaların hisse senedi getiri volatilitesinde Etkin Piyasalar Hipotezi’nin yerine Fraktal Piyasa Hipotezi’nin varlığını destekleyici niteliktedir. Buna göre hisse senedi fiyatlarında bağımlılık tespit edilmiştir. Dolayısıyla, yatırımcıların teknik analiz varsayımlarını dikkate aldıkları söylenebilir.
Aidoo, E. N., Saeed, B. I. I., Ababio, K. A., Nsowah-Nuamah, N. N. N., & Louis, M. (2012). Analysis of long memory dynamics in exchange rate. The Empirical Economics Letters, 11(7), 745-754.
Altın, H. (2018). Borsa İstanbul’da bankacılık endeksinde işlem gören banka pay senetlerinin performanslarının değerlendirilmesi. Akademik Sosyal Araştırmalar Dergisi, 6(66), 58-69. http://dx.doi.org/10.16992/ASOS.13420
Anderson, N., & Noss, J. (2013). The Fractal market hypothesis and its implications for the stability of financial markets. Bank of England Financial Stability Paper, No. 23.
Aygören, H. (2008). İstanbul Menkul Kıymetler Borsasının fractal analizi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(1), 125-134.
Barone, R. (2003). From efficient markets to behavioral finance. 1-27, 20.12.2020 tarihinde https://papers.ssrn.com/sol3/papers.cfm?abstract_id=493545 adresinden erişilmiştir.
Bodie, Z., Kane, A., & Marcus, A. J. (2008). Essentials of Investments. McGraw-Hill.
Bollerslev, T. (1986). Generalised autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-328. https://doi.org/10.1016/0304-4076(86)90063-1
Borges, M. R. (2010). Efficient market hypothesis in European Stock Markets. The European Journal of Finance, 16(7), 711-726. https://doi.org/10.1080/1351847X.2010.495477
Brock, W. A., Dechert, W. D., Scheinkman, J., & LeBaron, B. (1996). A Test for ındependence based on correlation dimension. Econometric Reviews, 15(3), 197-235. https://doi.org/10.1080/07474939608800353
Brooks, R., Faff, R., McKenzie, M., & Mitchell, H. (2000). A multi-country study of power ARCH models and national stock market returns. Journal of International Money and Finance, 19(3), 377-397. https://doi.org/10.1016/S0261-5606(00)00011-5
Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7(2), 174-196. https://doi.org/10.1093/jjfinec/nbp001
Çelik, İ., & Kaya, H. (2019). İkili uzun hafızada asimetri etkisi: BİST Banka Endeksi örneği. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(1), 92-106. https://doi.org/10.30798/makuiibf.516455
Çelik, T. T., & Taş, O. (2007). Etkin piyasa hipotezi ve gelişmekte olan hisse senedi piyasaları. İTÜ Dergisi Sosyal Bilimler, 4(2), 11-22.
Çevik, E. İ., & Erdoğan, S. (2009). Bankacılık sektörü hisse senedi piyasasının etkinliği: Yapısal kırılma ve güçlü hafıza. Doğuş Üniversitesi Dergisi, 10(1), 26-40.
Çevik, E. İ., & Sezen, S. (2020). Bankacılık sektörü için etkin piyasalar hipotezinin uzun hafıza modelleri ile analizi. Yönetim ve Ekonomi Araştırmaları Dergisi, 18(1), 332-351. https://doi.org/10.11611/yead.621826
Dickey, D. A. & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431. https://doi.org/10.2307/2286348
Dimson, E., & Mussavian, M. (1998). A brief history of market efficiency. European Financial Management. 4(1), 91-103. https://doi.org/10.1111/1468-036X.00056
Ding, Z., Granger, V. W. & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1, 83-106. https://doi.org/10.1016/0927-5398(93)90006-D
Eken, M. H. & Adalı, S. (2008). Piyasa etkinliği ve İMKB: Zayıf formda etkinliğe ilişkin ekonometrik bir analiz. Muhasebe ve Finansman Dergisi, (37), 1-16.
Engle, R. (2001). GARCH 101: The use of ARCH / GARCH models in applied econometrics. Journal of Economic Perspectives, 15, 157-168. https://doi.org/10.1257/jep.15.4.157
Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrics, 50, 987-1007. https://doi.org/10.2307/1912773
Engle, R.F., & Ng, V.K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 5, 1749-1778. https://doi.org/10.1111/j.1540-6261.1993.tb05127.x
Erdoğan, N. K. (2017). Finansal zaman serilerinin fraktal analizi. Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(4), 49-54.
Fama, E. F. (1965a). Random walks in stock market prices. Financial Analysts Journal, 21(5), 55-59.
Fama, E. F. (1965b). The behavior of stock-market prices. The Journal of Business, 38(1), 34-105.
Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486
Fama, E. F. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x
Giot, P., & Laurent, S. (2004). Modelling daily value-at-risk using realized volatility and ARCH type models. Journal of Empirical Finance, 11, 379-398. https://doi.org/10.1016/j.jempfin.2003.04.003
Göçmen Yağcılar, G., & Aslan, Z. (2019). Hisse senedi piyasalarında tatil anomalisi: BIST bankacılık endeksi üzerine bir uygulama. Üçüncü Sektör Sosyal Ekonomi Dergisi, 54(3), 1114-1134. https://doi.org/10.15659/3.sektor-sosyal-ekonomi.19.07.1157
Günay, S. (2015). BİST100 endeksi fiyat ve işlem hacminin fraktallık analizi. Doğuş Üniversitesi Dergisi, 16(1), 35-50.
Gündüz, L., & Omran, M. (2001). Gelişmekte olan piyasalarda stokastik trendler ve hisse senetleri fiyatları: Orta Doğu ve Kuzey Afrika Ülkeleri örneği. İMKB Dergisi, 5(17), 1-22.
Hamid, K., Suleman, M. T., Shah, S. Z. A., & Akash, R. S. I. (2010). Testing the Weak form of efficient market hypothesis: empirical evidence from Asia-Pacific markets. International Research Journal of Finance and Economics, 58, 121-133.
Hatipoğlu, M., & Bozkurt, İ. (2018). Finansal piyasalarda uzun dönemli bağımlılık ve etkin piyasalar hipotezi. Kastamonu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 20(3), 47-56.
Hawaldar, I. T., Rohit, B., & Pinto, P. (2017). Testing of weak form of efficient market hypothesis: Evidence from the Bahrain Bourse. Investment Management and Financial Innovations, 14(2), 376-385. http://dx.doi.org/10.21511/imfi.14(2-2).2017.09
Hentschel, L. (1995). All in the family: Nesting symmetric and asymmetric GARCH models. Journal of Financial Economics, 39, 71-104. https://doi.org/10.1016/0304-405X(94)00821-H
Ikeda, T. (2017). A fractal analysis of world stock markets. Economics Bulletin, 37(3), 1514-1532.
Jones, C.P. (2013). Investments analysis and management. USA: Wiley.
Karan, M. B. (2004). Yatırım analizi ve portföy yönetimi. Ankara: Gazi Kitabevi.
Karp, A., & Vuuren, G. V. (2019). Investment implications of the fractal market hypothesis. Annals of Financial Economics, 14(1), 1-27. https://doi.org/10.1142/S2010495219500015
Kelikume, I., Olaniyi, E., & Iyohab, F. A. (2020). Efficient market hypothesis in the presence of market imperfections: Evidence from selected stock markets in Africa. International Journal of Management, Economics and Social Sciences, 9(1), 37-57. https://doi.org/10.32327/IJMESS/9.1.2020.3
Kristoufek, L. (2013). Fractal markets hypothesis and the global financial crisis: Wavelet power evidence. Scientific Reports, 3(2857), 1-7. https://doi.org/10.1038/srep02857
Kumar, A. S., Jayakumar, C. & Kamaiah, B. (2017). Fractal market hypothesis: Evidence for nine Asian Forex Markets. Indian Economic Review, 52, 181-192. https://doi.org/10.1007/s41775-017-0014-7
Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159-178. https://doi.org/10.1016/0304-4076(92)90104-Y
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FRACTAL MARKET HYPOTHESİS TEST OF THE BANKS' STOCK RETURNS IN TURKEY
Year 2022,
Volume: 40 Issue: 2, 316 - 342, 28.06.2022
By modeling the volatility structure of banks, the characteristic structure of risks and uncertainties that concern the economy as well as banks are revealed. In this study, it is aimed to estimate the volatility of stock returns of banks in Turkey. The review period of the study is January 5, 2010 - December 31, 2020. The return volatility of banks' stocks was estimated with the nonlinear asymmetric conditional volatility analysis method (APGARCH) proposed by Ding, Granger, and Engle (1993). In the study, first of all, the stability of returns, ARCH effect, asymmetry structure, and linearity properties are tested. Then, with the APGARCH model, it was revealed that the shock in the return volatility of banks has high permanence, has an asymmetry effect and has a long-term memory feature. The findings support that the existence of Fractal Market Hypothesis rather than the Efficient Market Hypothesis in the stock return volatility of the banks in Turkey. Accordingly, dependency on stock prices has been determined. Therefore, it can be said that investors take into account the assumptions of technical analysis.
Aidoo, E. N., Saeed, B. I. I., Ababio, K. A., Nsowah-Nuamah, N. N. N., & Louis, M. (2012). Analysis of long memory dynamics in exchange rate. The Empirical Economics Letters, 11(7), 745-754.
Altın, H. (2018). Borsa İstanbul’da bankacılık endeksinde işlem gören banka pay senetlerinin performanslarının değerlendirilmesi. Akademik Sosyal Araştırmalar Dergisi, 6(66), 58-69. http://dx.doi.org/10.16992/ASOS.13420
Anderson, N., & Noss, J. (2013). The Fractal market hypothesis and its implications for the stability of financial markets. Bank of England Financial Stability Paper, No. 23.
Aygören, H. (2008). İstanbul Menkul Kıymetler Borsasının fractal analizi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(1), 125-134.
Barone, R. (2003). From efficient markets to behavioral finance. 1-27, 20.12.2020 tarihinde https://papers.ssrn.com/sol3/papers.cfm?abstract_id=493545 adresinden erişilmiştir.
Bodie, Z., Kane, A., & Marcus, A. J. (2008). Essentials of Investments. McGraw-Hill.
Bollerslev, T. (1986). Generalised autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-328. https://doi.org/10.1016/0304-4076(86)90063-1
Borges, M. R. (2010). Efficient market hypothesis in European Stock Markets. The European Journal of Finance, 16(7), 711-726. https://doi.org/10.1080/1351847X.2010.495477
Brock, W. A., Dechert, W. D., Scheinkman, J., & LeBaron, B. (1996). A Test for ındependence based on correlation dimension. Econometric Reviews, 15(3), 197-235. https://doi.org/10.1080/07474939608800353
Brooks, R., Faff, R., McKenzie, M., & Mitchell, H. (2000). A multi-country study of power ARCH models and national stock market returns. Journal of International Money and Finance, 19(3), 377-397. https://doi.org/10.1016/S0261-5606(00)00011-5
Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7(2), 174-196. https://doi.org/10.1093/jjfinec/nbp001
Çelik, İ., & Kaya, H. (2019). İkili uzun hafızada asimetri etkisi: BİST Banka Endeksi örneği. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(1), 92-106. https://doi.org/10.30798/makuiibf.516455
Çelik, T. T., & Taş, O. (2007). Etkin piyasa hipotezi ve gelişmekte olan hisse senedi piyasaları. İTÜ Dergisi Sosyal Bilimler, 4(2), 11-22.
Çevik, E. İ., & Erdoğan, S. (2009). Bankacılık sektörü hisse senedi piyasasının etkinliği: Yapısal kırılma ve güçlü hafıza. Doğuş Üniversitesi Dergisi, 10(1), 26-40.
Çevik, E. İ., & Sezen, S. (2020). Bankacılık sektörü için etkin piyasalar hipotezinin uzun hafıza modelleri ile analizi. Yönetim ve Ekonomi Araştırmaları Dergisi, 18(1), 332-351. https://doi.org/10.11611/yead.621826
Dickey, D. A. & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431. https://doi.org/10.2307/2286348
Dimson, E., & Mussavian, M. (1998). A brief history of market efficiency. European Financial Management. 4(1), 91-103. https://doi.org/10.1111/1468-036X.00056
Ding, Z., Granger, V. W. & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1, 83-106. https://doi.org/10.1016/0927-5398(93)90006-D
Eken, M. H. & Adalı, S. (2008). Piyasa etkinliği ve İMKB: Zayıf formda etkinliğe ilişkin ekonometrik bir analiz. Muhasebe ve Finansman Dergisi, (37), 1-16.
Engle, R. (2001). GARCH 101: The use of ARCH / GARCH models in applied econometrics. Journal of Economic Perspectives, 15, 157-168. https://doi.org/10.1257/jep.15.4.157
Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrics, 50, 987-1007. https://doi.org/10.2307/1912773
Engle, R.F., & Ng, V.K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 5, 1749-1778. https://doi.org/10.1111/j.1540-6261.1993.tb05127.x
Erdoğan, N. K. (2017). Finansal zaman serilerinin fraktal analizi. Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(4), 49-54.
Fama, E. F. (1965a). Random walks in stock market prices. Financial Analysts Journal, 21(5), 55-59.
Fama, E. F. (1965b). The behavior of stock-market prices. The Journal of Business, 38(1), 34-105.
Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486
Fama, E. F. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x
Giot, P., & Laurent, S. (2004). Modelling daily value-at-risk using realized volatility and ARCH type models. Journal of Empirical Finance, 11, 379-398. https://doi.org/10.1016/j.jempfin.2003.04.003
Göçmen Yağcılar, G., & Aslan, Z. (2019). Hisse senedi piyasalarında tatil anomalisi: BIST bankacılık endeksi üzerine bir uygulama. Üçüncü Sektör Sosyal Ekonomi Dergisi, 54(3), 1114-1134. https://doi.org/10.15659/3.sektor-sosyal-ekonomi.19.07.1157
Günay, S. (2015). BİST100 endeksi fiyat ve işlem hacminin fraktallık analizi. Doğuş Üniversitesi Dergisi, 16(1), 35-50.
Gündüz, L., & Omran, M. (2001). Gelişmekte olan piyasalarda stokastik trendler ve hisse senetleri fiyatları: Orta Doğu ve Kuzey Afrika Ülkeleri örneği. İMKB Dergisi, 5(17), 1-22.
Hamid, K., Suleman, M. T., Shah, S. Z. A., & Akash, R. S. I. (2010). Testing the Weak form of efficient market hypothesis: empirical evidence from Asia-Pacific markets. International Research Journal of Finance and Economics, 58, 121-133.
Hatipoğlu, M., & Bozkurt, İ. (2018). Finansal piyasalarda uzun dönemli bağımlılık ve etkin piyasalar hipotezi. Kastamonu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 20(3), 47-56.
Hawaldar, I. T., Rohit, B., & Pinto, P. (2017). Testing of weak form of efficient market hypothesis: Evidence from the Bahrain Bourse. Investment Management and Financial Innovations, 14(2), 376-385. http://dx.doi.org/10.21511/imfi.14(2-2).2017.09
Hentschel, L. (1995). All in the family: Nesting symmetric and asymmetric GARCH models. Journal of Financial Economics, 39, 71-104. https://doi.org/10.1016/0304-405X(94)00821-H
Ikeda, T. (2017). A fractal analysis of world stock markets. Economics Bulletin, 37(3), 1514-1532.
Jones, C.P. (2013). Investments analysis and management. USA: Wiley.
Karan, M. B. (2004). Yatırım analizi ve portföy yönetimi. Ankara: Gazi Kitabevi.
Karp, A., & Vuuren, G. V. (2019). Investment implications of the fractal market hypothesis. Annals of Financial Economics, 14(1), 1-27. https://doi.org/10.1142/S2010495219500015
Kelikume, I., Olaniyi, E., & Iyohab, F. A. (2020). Efficient market hypothesis in the presence of market imperfections: Evidence from selected stock markets in Africa. International Journal of Management, Economics and Social Sciences, 9(1), 37-57. https://doi.org/10.32327/IJMESS/9.1.2020.3
Kristoufek, L. (2013). Fractal markets hypothesis and the global financial crisis: Wavelet power evidence. Scientific Reports, 3(2857), 1-7. https://doi.org/10.1038/srep02857
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Karakaya, A., & Atukalp, M. E. (2022). TÜRKİYE’DEKİ BANKALARIN HİSSE SENEDİ GETİRİLERİNDE FRAKTAL PİYASA HİPOTEZİNİN TESTİ. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 40(2), 316-342. https://doi.org/10.17065/huniibf.916008
AMA
Karakaya A, Atukalp ME. TÜRKİYE’DEKİ BANKALARIN HİSSE SENEDİ GETİRİLERİNDE FRAKTAL PİYASA HİPOTEZİNİN TESTİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. June 2022;40(2):316-342. doi:10.17065/huniibf.916008
Chicago
Karakaya, Aykut, and M. Esra Atukalp. “TÜRKİYE’DEKİ BANKALARIN HİSSE SENEDİ GETİRİLERİNDE FRAKTAL PİYASA HİPOTEZİNİN TESTİ”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi 40, no. 2 (June 2022): 316-42. https://doi.org/10.17065/huniibf.916008.
EndNote
Karakaya A, Atukalp ME (June 1, 2022) TÜRKİYE’DEKİ BANKALARIN HİSSE SENEDİ GETİRİLERİNDE FRAKTAL PİYASA HİPOTEZİNİN TESTİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 40 2 316–342.
IEEE
A. Karakaya and M. E. Atukalp, “TÜRKİYE’DEKİ BANKALARIN HİSSE SENEDİ GETİRİLERİNDE FRAKTAL PİYASA HİPOTEZİNİN TESTİ”, Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, vol. 40, no. 2, pp. 316–342, 2022, doi: 10.17065/huniibf.916008.
ISNAD
Karakaya, Aykut - Atukalp, M. Esra. “TÜRKİYE’DEKİ BANKALARIN HİSSE SENEDİ GETİRİLERİNDE FRAKTAL PİYASA HİPOTEZİNİN TESTİ”. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi 40/2 (June 2022), 316-342. https://doi.org/10.17065/huniibf.916008.
JAMA
Karakaya A, Atukalp ME. TÜRKİYE’DEKİ BANKALARIN HİSSE SENEDİ GETİRİLERİNDE FRAKTAL PİYASA HİPOTEZİNİN TESTİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2022;40:316–342.
MLA
Karakaya, Aykut and M. Esra Atukalp. “TÜRKİYE’DEKİ BANKALARIN HİSSE SENEDİ GETİRİLERİNDE FRAKTAL PİYASA HİPOTEZİNİN TESTİ”. Hacettepe Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, vol. 40, no. 2, 2022, pp. 316-42, doi:10.17065/huniibf.916008.
Vancouver
Karakaya A, Atukalp ME. TÜRKİYE’DEKİ BANKALARIN HİSSE SENEDİ GETİRİLERİNDE FRAKTAL PİYASA HİPOTEZİNİN TESTİ. Hacettepe Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi. 2022;40(2):316-42.
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