Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi

Yıl 2020, , 642 - 654, 31.07.2020

Kemal Eyüboğlu , Sinem Eyüboğlu

https://doi.org/10.19168/jyasar.633351

Cited By: 5

Öz

Bu çalışmada Borsa
İstanbul endekslerinde (BIST 100, Sınai ve Mali) Adaptif Piyasa Hipotezinin
geçerli olup olmadığı günlük veriler kullanılarak incelenmiştir. Çalışmada
günlük getiri verileri, iki yıllık alt örneklere ayrılmış ve hisse senedi
getirilerinin öngörülebilirliğinin zaman içinde nasıl değiştiğini belirlemek
için doğrusal ve doğrusal olmayan testler uygulanmıştır. Otokorelasyon ve runs
testlerinden elde edilen sonuçlar, genellikle 3 endeksin etkin ve etkin olmayan
dönemler arasında geçiş yaptığını ve dolayısıyla piyasaların Adaptif Piyasa
Hipotezi ile uyumlu olduğunu ortaya koymuştur. Varyans oranı testi ile doğrusal
olmayan testlerin sonuçları ise hisse senedi getirilerinin tahmin edilebilir
olduğunu dolayısıyla piyasaların etkin olmadığını göstermiştir.

Anahtar Kelimeler

Adaptif Piyasa Hipotezi, Doğrusal Testler, Doğrusal Olmayan Testler, Borsa İstanbul

Testing the Validity of Adaptive Market Hypothesis in Borsa Istanbul Indices

Öz

In this study,
whether the Adaptive Market Hypothesis is valid in Borsa Istanbul indices (BIST
100, Industrial and Financial) is examined by using daily data. Daily return
data were divided into two-year subsamples and linear and nonlinear tests were
applied to determine how the stock returns’ independence changed over time. The
results autocorrelation and runs tests showed that the efficiency of each
market varied within the sub-periods and therefore the markets were consistent
with the Adaptive Market Hypothesis. The results of the variance ratio test and
nonlinear tests showed that stock returns are predictable and therefore the
markets are inefficient.

Anahtar Kelimeler

Adaptive Market Hypothesis, Linear Tests, Nonlinear Tests, Borsa Istanbul

Kaynakça

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