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Katılım 30 Endeksi İçin Zayıf Formda Etkin Piyasa Hipotezinin ARFIMA-FIEGARCH Model ile Analizi

Year 2019, Issue: EK SAYI (2019) - Year: 2019 Volume: Ek Number: Ek, 219 - 242, 01.12.2019

Abstract

Etkin piyasa hipotezi EPH , bireysel ve kurumsal yatırımcılar, port-föy yöneticileri ve politika yapıcılar açısından büyük önem arz et-mektedir. Bu nedenle konvansiyonel finans literatüründe sıklıkla çalışılan konuların başında gelmektedir. Ancak İslami hisse senedi piyasaları ve de özellikle Türkiye İslami hisse senedi piyasasında EPH’nin geçerliliğini konu edinen çok az çalışma mevcuttur. Bu ne-denle bu çalışmada, Türkiye İslami hisse senedi piyasalarında etkin piyasa hipotezinin geçerliliği incelenmiştir. Bu kapsamda Katılım 30 endeksi için getiri ve volatilitede uzun hafızanın varlığı ARFIMA-FIEGARCH modeli ile araştırılmıştır. Çalışmadan elde edilen bulgu-lar ışığında Türkiye İslami hisse senedi piyasasında uzun hafızanın varlığına rastlanılmış ve zayıf formda etkin piyasa hipotezinin geçerli olmadığı görülmüştür

References

  • Ali, S., Shahzad, S. J. H., Raza, N. & Al-Yahyaee, K. H. (2018). Stock market efficiency: A comparative analysis of Isla- mic and conventional stock markets. Physica A: Statistical Mec- hanics doi:10.1016/j.physa.2018.02.169 its Applications, 503, 139-153.
  • Al-Khazali, O. M., Leduc, G. & Alsayed, M. S. (2015). A market efficiency comparison of Islamic and non-Islamic stock indices. Emerging Markets Finance and Trade, 52(7), 1587-1605. doi:10.1080/1540496X.2014.998572
  • Al-Khazali, O. & Mirzaei, A. (2017). Stock market ano- malies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices. Journal of International Fi- nancial Markets, Institutions and Money, 51, 190-208. doi:10.1016/j.intfin.2017.10.001
  • Álvarez-Díaz, M., Hammoudeh, S. & Gupta, R. (2014). Detecting predictable non-linear dynamics in Dow Jones Isla- mic Market and Dow Jones Industrial Average indices using nonparametric regressions. The North American Journal of Eco- nomics and Finance, 29, 22-35. doi:10.1016/j.najef.2014.05.001
  • Baillie, R. T., Bollerslev, T. & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3-30. doi:10.1016/S0304-4076(95)01749-6
  • Baillie, R. & Morana, C. (2009). Modelling long memory and structural break in conditional variances: An adaptive FI- GARCH approach. Journal of Economic Dynamics & Control,33, 1577-1592
  • Bollerslev, T., & Mikkelsen H. (1996), Modeling and pricing long memory in stock market volatility. Journal of Eco- nometrics, 73, 151–184.
  • Bouoiyour, J., Selmi, R. & Wohar, M. E. (2018). Are Is- lamic stock markets efficient? A multifractal detrended fluctua- tion analysis. Finance Research Letters, 26, 100-105. doi:10.1016/j.frl.2017.12.008
  • Buğan, M. F. (2019). İslami hisse senedi piyasası (1. bs.). Ankara: Nobel Bilimsel Eserler.
  • Charles, A., Darné, O. & Kim, J. H. (2017). Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. International Economics, 151, 100-112. doi:10.1016/j.inteco.2017.05.002
  • Choi, K. & E. Zivot. (2007). Long memory and structu- ral changes in the forward discount, an empirical ınvestigation. Journal of International Money and Finance, Vol. 26, pp. 342-363
  • Çevik, E. İ. (2012). İstanbul menkul kıymetler borsa- sı’nda etkin piyasa hipotezinin uzun hafıza modelleri ile anali- zi: sektörel bazda bir inceleme. Journal of Yasar University, 7(26), 4437-4454.
  • Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. The Journal of Finance, 25(2), 383-417. doi:10.1111/j.1540-6261.1970.tb00518.x
  • Granger, C.W.J., & Joyeux, R. (1980). An introduction to long memory time series models and fractional differencing. Journal of Time Series Analysis, 1, 15-39.
  • Gupta, R., Hammoudeh, S., Simo-Kengne, B. D. & Sa- rafrazi, S. (2014). Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models? Applied Financial Economics, 24(17), 1147-1157. doi:10.1080/09603107.2014.924296
  • Guyot, A. (2011). Efficiency and dynamics of Islamic ınvestment: evidence of geopolitical effects on Dow Jones Isla- mic market indexes. Emerging Markets Finance and Trade, 47(6), 24-45. doi:10.2753/REE1540-496X470602
  • Hosking, J.R.M. (1981). Fractional differencing. Biomet- rika, 68, 165-76.
  • Jawadi, F., Jawadi, N. & Cheffou, A. I. (2015). Are Isla- mic stock markets efficient? A time-series analysis. Applied Eco- nomics, 47(16), 1686-1697. doi:10.1080/00036846.2014.1000535
  • Korkmaz, T., Çevik, E.İ. & Özataç, N. (2009). Testing for long memory in ISE using ARFIMA-FIGARCH model and structural break test. European Journals of Finance and Economics, 26, 186-192.
  • Lobato, I. & Savin, S.E. (1998). Real and spurious long memory properties of stock market data. Journal of Business and Economic Statistics, 16, 261-268.
  • Nelson, D.B. (1991), Conditional heteroskedasticity in asset returns: A new approach. Econometrica. 59, 347-370.
  • Rizvi, S. A. R., Dewandaru, G., Bacha, O. I. & Masih, M. (2014). An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA. Physica A: Statistical Mec- hanics doi:10.1016/j.physa.2014.03.091 its Applications, 407, 86-99.
  • Sakarya, Ş., Zeren, F. & Akkuş, H. T. (2018). Zayıf formda piyasa etkinliğinin katılım endekslerinde test edilmesi: Türkiye üzerine bir uygulama. Afyon Kocatepe Üniversitesi İktisa- di ve İdari Bilimler Fakültesi Dergisi, 20(1), 101-113.
  • Sansó, A., Aragó, V. & Carrion, J. L. (2004). Testing for changes in the unconditional variance of financial time series. Revista de Economía financiera, 4(1), 32–53.
  • Saraç, M. (2017). Finans teorisini yeniden düşünmek (1. bs.). İstanbul: İktisat Yayınları.
  • Savaşan, F., Yardımcıoğlu, F. & Beşel, F. (2015). The ef- fect of exogenous shocks on participation ındex of Borsa Istan- bul: permanent or temporary? International Journal of Islamic Economics and Finance Studies, 1(1).
  • Sensoy, A., Aras, G. & Hacihasanoglu, E. (2015). Predic- tability dynamics of Islamic and conventional equity markets. The North American Journal of Economics and Finance, 31, 222-248. doi:10.1016/j.najef.2014.12.001
  • Setianto, R. H. & Abdul Manap, T. A. (2015). Examining the Islamic stock market efficiency: Evidence from nonlinear ESTAR unit root tests. Indonesian Capital Market Review, 7(1). doi:10.21002/icmr.v7i1.4355

The Analysis of Weak Form Efficient Market Hypothesis for Participation 30 Index by ARFIMA-FIEGARCH Model

Year 2019, Issue: EK SAYI (2019) - Year: 2019 Volume: Ek Number: Ek, 219 - 242, 01.12.2019

Abstract

Efficient market hypothesis EMH is important for individual and institutional investors, portfolio managers and policy makers. There-fore, it has been widely examined in the conventional finance litera-ture. However, there is limited numbers of studies that examine the validity of the EMH in Islamic stock markets, specifically in Turkey. Therefore, in this study, the validity of the EMH in Turkey Islamic stock markets was investigated. In this manner, the presence of long memory in both returns and volatility of the Participation 30 Index was investigated by using ARFIMA-FIEGARCH model. The results indicate the presence of long memory in Turkey Islamic stock mar-kets and this finding suggest that the weak form of the efficient mar-ket hypothesis is no valid

References

  • Ali, S., Shahzad, S. J. H., Raza, N. & Al-Yahyaee, K. H. (2018). Stock market efficiency: A comparative analysis of Isla- mic and conventional stock markets. Physica A: Statistical Mec- hanics doi:10.1016/j.physa.2018.02.169 its Applications, 503, 139-153.
  • Al-Khazali, O. M., Leduc, G. & Alsayed, M. S. (2015). A market efficiency comparison of Islamic and non-Islamic stock indices. Emerging Markets Finance and Trade, 52(7), 1587-1605. doi:10.1080/1540496X.2014.998572
  • Al-Khazali, O. & Mirzaei, A. (2017). Stock market ano- malies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices. Journal of International Fi- nancial Markets, Institutions and Money, 51, 190-208. doi:10.1016/j.intfin.2017.10.001
  • Álvarez-Díaz, M., Hammoudeh, S. & Gupta, R. (2014). Detecting predictable non-linear dynamics in Dow Jones Isla- mic Market and Dow Jones Industrial Average indices using nonparametric regressions. The North American Journal of Eco- nomics and Finance, 29, 22-35. doi:10.1016/j.najef.2014.05.001
  • Baillie, R. T., Bollerslev, T. & Mikkelsen, H. O. (1996). Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 74(1), 3-30. doi:10.1016/S0304-4076(95)01749-6
  • Baillie, R. & Morana, C. (2009). Modelling long memory and structural break in conditional variances: An adaptive FI- GARCH approach. Journal of Economic Dynamics & Control,33, 1577-1592
  • Bollerslev, T., & Mikkelsen H. (1996), Modeling and pricing long memory in stock market volatility. Journal of Eco- nometrics, 73, 151–184.
  • Bouoiyour, J., Selmi, R. & Wohar, M. E. (2018). Are Is- lamic stock markets efficient? A multifractal detrended fluctua- tion analysis. Finance Research Letters, 26, 100-105. doi:10.1016/j.frl.2017.12.008
  • Buğan, M. F. (2019). İslami hisse senedi piyasası (1. bs.). Ankara: Nobel Bilimsel Eserler.
  • Charles, A., Darné, O. & Kim, J. H. (2017). Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. International Economics, 151, 100-112. doi:10.1016/j.inteco.2017.05.002
  • Choi, K. & E. Zivot. (2007). Long memory and structu- ral changes in the forward discount, an empirical ınvestigation. Journal of International Money and Finance, Vol. 26, pp. 342-363
  • Çevik, E. İ. (2012). İstanbul menkul kıymetler borsa- sı’nda etkin piyasa hipotezinin uzun hafıza modelleri ile anali- zi: sektörel bazda bir inceleme. Journal of Yasar University, 7(26), 4437-4454.
  • Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. The Journal of Finance, 25(2), 383-417. doi:10.1111/j.1540-6261.1970.tb00518.x
  • Granger, C.W.J., & Joyeux, R. (1980). An introduction to long memory time series models and fractional differencing. Journal of Time Series Analysis, 1, 15-39.
  • Gupta, R., Hammoudeh, S., Simo-Kengne, B. D. & Sa- rafrazi, S. (2014). Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models? Applied Financial Economics, 24(17), 1147-1157. doi:10.1080/09603107.2014.924296
  • Guyot, A. (2011). Efficiency and dynamics of Islamic ınvestment: evidence of geopolitical effects on Dow Jones Isla- mic market indexes. Emerging Markets Finance and Trade, 47(6), 24-45. doi:10.2753/REE1540-496X470602
  • Hosking, J.R.M. (1981). Fractional differencing. Biomet- rika, 68, 165-76.
  • Jawadi, F., Jawadi, N. & Cheffou, A. I. (2015). Are Isla- mic stock markets efficient? A time-series analysis. Applied Eco- nomics, 47(16), 1686-1697. doi:10.1080/00036846.2014.1000535
  • Korkmaz, T., Çevik, E.İ. & Özataç, N. (2009). Testing for long memory in ISE using ARFIMA-FIGARCH model and structural break test. European Journals of Finance and Economics, 26, 186-192.
  • Lobato, I. & Savin, S.E. (1998). Real and spurious long memory properties of stock market data. Journal of Business and Economic Statistics, 16, 261-268.
  • Nelson, D.B. (1991), Conditional heteroskedasticity in asset returns: A new approach. Econometrica. 59, 347-370.
  • Rizvi, S. A. R., Dewandaru, G., Bacha, O. I. & Masih, M. (2014). An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA. Physica A: Statistical Mec- hanics doi:10.1016/j.physa.2014.03.091 its Applications, 407, 86-99.
  • Sakarya, Ş., Zeren, F. & Akkuş, H. T. (2018). Zayıf formda piyasa etkinliğinin katılım endekslerinde test edilmesi: Türkiye üzerine bir uygulama. Afyon Kocatepe Üniversitesi İktisa- di ve İdari Bilimler Fakültesi Dergisi, 20(1), 101-113.
  • Sansó, A., Aragó, V. & Carrion, J. L. (2004). Testing for changes in the unconditional variance of financial time series. Revista de Economía financiera, 4(1), 32–53.
  • Saraç, M. (2017). Finans teorisini yeniden düşünmek (1. bs.). İstanbul: İktisat Yayınları.
  • Savaşan, F., Yardımcıoğlu, F. & Beşel, F. (2015). The ef- fect of exogenous shocks on participation ındex of Borsa Istan- bul: permanent or temporary? International Journal of Islamic Economics and Finance Studies, 1(1).
  • Sensoy, A., Aras, G. & Hacihasanoglu, E. (2015). Predic- tability dynamics of Islamic and conventional equity markets. The North American Journal of Economics and Finance, 31, 222-248. doi:10.1016/j.najef.2014.12.001
  • Setianto, R. H. & Abdul Manap, T. A. (2015). Examining the Islamic stock market efficiency: Evidence from nonlinear ESTAR unit root tests. Indonesian Capital Market Review, 7(1). doi:10.21002/icmr.v7i1.4355
There are 28 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Mehmet Fatih Buğan This is me

Emrah İsmail Çevik This is me

Nüket Kırcı Çevik This is me

Publication Date December 1, 2019
Published in Issue Year 2019 Issue: EK SAYI (2019) - Year: 2019 Volume: Ek Number: Ek

Cite

APA Buğan, M. F., Çevik, E. İ., & Çevik, N. K. (2019). Katılım 30 Endeksi İçin Zayıf Formda Etkin Piyasa Hipotezinin ARFIMA-FIEGARCH Model ile Analizi. Iğdır Üniversitesi Sosyal Bilimler Dergisi(EK SAYI (2019), 219-242.