TÜRKİYE’DEKİ BANKALARIN HİSSE SENEDİ GETİRİLERİNDE FRAKTAL PİYASA HİPOTEZİNİN TESTİ

Year 2022, Volume: 40 Issue: 2, 316 - 342, 28.06.2022

Aykut Karakaya M. Esra Atukalp

https://doi.org/10.17065/huniibf.916008

Abstract

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.

Keywords

Uzun dönemli hafıza, Etkin piyasa hipotezi, Fraktal piyasa hipotezi, Bankalar

FRACTAL MARKET HYPOTHESİS TEST OF THE BANKS' STOCK RETURNS IN TURKEY

Abstract

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.

Keywords

Long memory, Efficient market hypothesis, Fractal market hypothesis, Banks

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