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İMKB ’NİN ZAYIF VE YARI GÜÇLÜ FORMDA ETKİNLİĞİNİN EKONOMETRİK ANALİZİ

Year 2004, , 145 - 152, 30.01.2004
https://doi.org/10.14783/maruoneri.680137

Abstract

Bu çalışma, 1987:01-2002:09 dönemini kapsayan makroekonomik değişkenler ve İMKB (İstanbul Menkul Kıymetler Borsası) Ulusal 100 (İMKB-100) endeksi arasındaki ilişkilerden yararlanarak İMKB’nin zayıf ve yarı güçlü formda etkinliğinin sınanması amaçlamaktadır. Çalışmada ADF ve Peron birim kök testleri, Granger nedensellik testi ve hata düzeltme modeli kullanılmıştır. İMKB-100 endeksi ve makroekonomik değişkenler arasında uzun dönemde eşbütünleşme ilişkisi Engle-Granger eşbütünleşme testi ile belirlenmiştir. Birim kök testi sonuçları İMKB-100 endeksinin rassal yürüyüşe uyduğunu ve İMKB’ nin zayıf formda etkin olduğunu göstermektedir. Makroekonomik değişkenler ve İMKB-100 endeksi arasında eşbütünleşme ve nedensellik ilişkisi olduğu belirlenmiştir. Bu eşbütünleşme ve nedensellik ilişkilerinden yararlanarak İMKB-100 endeksi tahmin edilebileceği için, bazı yatırımcılar diğerlerinden daha fazla kazanç elde edebilirler. Ayrıca, nedensellik ve eşbütünleşme testleri İMKB’nin yarı güçlü formda etkin olmadığını göstermektedir.

References

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  • [20] BALABAN, E.; CANDEMİR, H.B.; KUNTER K., “Stock Market Efficiency in a Development Economy: Evidence from Turkey”, The Central Bank of Republic of Turkey, Discussion Paper, No: 9612, March 1996.
  • [21] WILLIAMS, D.; GOODHART, C.A.E.; GOWLAND, D.H., “Money, Income, and Causality: The U.K. Experience", The American Economic Review, June, 1976, s.419.
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  • [24] DIC'KEY, D.A.; FULLER, W.A., “Distribution ot the Estimators for Autoregressive Time Series with a Unit Root”, Journal of Am. Stat. Assoc., 74, 1979, ss.427-431.
  • [25] DICKEY, D.A.; FULLER, W.A., “The Likelihood Ratio Statistics For Autoregressive Time Series with a Unit Root”, Econometrica, 49, 1981, ss.1057-1072.
  • [26] PERRON, P., “The Great Crash, the Oil Price Shock and the Unit Root Hypothesis”, Econometric Analysis, Vol. 57,No: 6, 1989, ss.1361-1401.
  • [27] ENGLE, R.F.; GRANGER, C.W.J., ”Co-integration and Error Correction: Representation and Testing”, Econometrica, 55, 1987, ss.251-276.
  • [28] ENGLE, R.F.; YOO., B.S., “Forecasting and Testing in Co-integrating Systems”, Journal of Econometrics, 35, 1987, ss.143-159.
  • [29] GRANGER, C.W.J., “Investigating Causal Relations by Econometric Models and Cross Spectral Methods”, Econometrica, 37, 1969, ss.428-438.
  • [30] GRANGER, C.W.J., “Some Properties of Time Series Data and Their Use in Econometric Model Spesifîcation”, Journal of Econometrics, 11, 1981, ss.121-130.
  • [31] GHATAK, S.; MILNER, C.; UTKULU, U., ”Exports, Export Composition And Growth: Cointegration And Causalty Evidence For Malaysia", Aplied Economics, 29, 1997, ss.213-223.
Year 2004, , 145 - 152, 30.01.2004
https://doi.org/10.14783/maruoneri.680137

Abstract

References

  • [1] FAMA, E.F.,”Ejjticient Capital Market: A Review of the Theory and Emprical Work”, Journal of Finance, May 1970, ss.383-417.
  • [2] FAMA, E.F., “The Behavior of Stock Market Prices”, Journal of Business, 38, 1965, ss.34-105.
  • [3] FAMA, E.F., “Stock Returns, Real Activity, Inflation and Money”, American Economic Review, 71, 1981, ss.545- 564.
  • [4] HANCOCK, D.G., “Fiscal Policy, Monetary Policy and the Eğiciency of the Stock Market”, Economics Letters, 31, 1989, ss.65-69.
  • [5] HARDOUVELIS, G.A., “Macroeconomic Information and Stock Prices”, Journal of Economics and Business, 39, 1987, ss.131-140.
  • [6] DARRAT, A.F., “The Impact of Federal Debt Upon Stock Prices in the United States’, Journal of Post Keynesian Economics, 12(3), 1990, ss.375-389.
  • [7] JONES, J.D.; URİ, N., “Money Supply Growth, Stock Returns and the Direction of Causalty”, Socio-Economic Planning Sciences, 21(5), 1986, ss.321-325.
  • [8] MOOKERJE, R., Informationally Efficiency of Stock Market: the Evidence from Many Countries”, Applied Economics, 19, 1987, ss.1521-1532.
  • [9] THORONTON, J., “Money, Output and Stock Prices in the UK: Evidence on some (non) Relationships”, Applied Financial Economics, 3, 1993, ss.335-338.
  • [10] HO, Y.K., “Money Supply and Equity Prices: An Empirical Note on Far Eastern Countries”, Economics Letters, 11,1983, ss.161-165.
  • [11] HSIAO, C.., “Time Series Modelling and Causal Ordering of Canadian Money, Income and Interest Rates ”, Time Series Analysis: Theory and Practice 1, (Ed: O.D. Anderson), Nort-Holland Publising Company, 1982, ss.671-699.
  • [12] FUNG, H.G.; LIE, C.J., “Stock Market and Economic Activity: A Causal Analysis”, Pacific-Basin Capital Markets Research, Amsterdam: Nort Holland,1990.
  • [13] KWON, C.S.; SHIN, T.S., “Cointegration and Causality Between Macroeconomic Variables and Market Returns”, Global Finance Journal, 10:1, 1999, ss.71-81.
  • [14] MURADOĞLU, G.; ÜNAL, M., “Weak Form Ejiciency in Thinly Traded Istanbul Securities Exchange”, Middle East Business and Economic Review, 6, 1994, ss.37-44.
  • [15] ÇETİNER, İ., “Test of Overreaction in Istanbul .Stock Exchange”, Basılmamış MBA Tezi, İşletme Bölümü, Bilkent Üniversitesi, Ankara, 1993.
  • [16] ÖZMEN, T., Dünya Borsalarında Gözlemlenen Anomaliler ve İstanbul Menkul Kıymetler Borsası Üzerine Bir Deneme. Sermaye Piyasası Yayınları, No:61, Ankara, 1997.
  • [17] AKSOY, H.; SAĞLAM, İ., “Sağlayıcı (Classifier) Sistem ile IMKB ’ de Yeni Bir Anomali Gözlemi”, http://www.econ.boun.edu.tr/papers/pdf/wp-01-15.pdf.
  • [18] MURADOĞLU, G.; ÖNKAL, D., “Türk Hisse Senedi Piyasasında Yarı-Güçlü Etkililik", ODTU Gelişme Dergisi, 19(2), 1992, ss.197-207.
  • [19] MURADOĞLU, G.; KIVILCIM M., "Inflation and the Stock Market: A Cointegration Analysis”, Boğaziçi Journal, Review of Social, Economic and Administrative Studies, No.2, 1995, ss.207-2l6.
  • [20] BALABAN, E.; CANDEMİR, H.B.; KUNTER K., “Stock Market Efficiency in a Development Economy: Evidence from Turkey”, The Central Bank of Republic of Turkey, Discussion Paper, No: 9612, March 1996.
  • [21] WILLIAMS, D.; GOODHART, C.A.E.; GOWLAND, D.H., “Money, Income, and Causality: The U.K. Experience", The American Economic Review, June, 1976, s.419.
  • [22] MONTGOMERY, D.C.; JOHNSTON, L.A., Forecasting and Time Series Analysis, Mc-Graw-Hill, New York, 1976, s.206.
  • [23] IŞIĞIÇOK, E., Zaman Serilerinde Nedensellik Çözümlemesi, Uludağ Üniversitesi Güçlendirme Vakfı Yayınları: 94, 1994, s.48.
  • [24] DIC'KEY, D.A.; FULLER, W.A., “Distribution ot the Estimators for Autoregressive Time Series with a Unit Root”, Journal of Am. Stat. Assoc., 74, 1979, ss.427-431.
  • [25] DICKEY, D.A.; FULLER, W.A., “The Likelihood Ratio Statistics For Autoregressive Time Series with a Unit Root”, Econometrica, 49, 1981, ss.1057-1072.
  • [26] PERRON, P., “The Great Crash, the Oil Price Shock and the Unit Root Hypothesis”, Econometric Analysis, Vol. 57,No: 6, 1989, ss.1361-1401.
  • [27] ENGLE, R.F.; GRANGER, C.W.J., ”Co-integration and Error Correction: Representation and Testing”, Econometrica, 55, 1987, ss.251-276.
  • [28] ENGLE, R.F.; YOO., B.S., “Forecasting and Testing in Co-integrating Systems”, Journal of Econometrics, 35, 1987, ss.143-159.
  • [29] GRANGER, C.W.J., “Investigating Causal Relations by Econometric Models and Cross Spectral Methods”, Econometrica, 37, 1969, ss.428-438.
  • [30] GRANGER, C.W.J., “Some Properties of Time Series Data and Their Use in Econometric Model Spesifîcation”, Journal of Econometrics, 11, 1981, ss.121-130.
  • [31] GHATAK, S.; MILNER, C.; UTKULU, U., ”Exports, Export Composition And Growth: Cointegration And Causalty Evidence For Malaysia", Aplied Economics, 29, 1997, ss.213-223.
There are 31 citations in total.

Details

Primary Language Turkish
Journal Section Eski Sayılar
Authors

Hilmi Zengin This is me

Serdar Kurt This is me

Publication Date January 30, 2004
Published in Issue Year 2004

Cite

APA Zengin, H., & Kurt, S. (2004). İMKB ’NİN ZAYIF VE YARI GÜÇLÜ FORMDA ETKİNLİĞİNİN EKONOMETRİK ANALİZİ. Öneri Dergisi, 6(21), 145-152. https://doi.org/10.14783/maruoneri.680137

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