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Döviz Piyasalarının Davranışlarını Açıklamada Etkin Piyasalar Hipotezi ile Adaptif Piyasalar Hipotezinin Karşılaştırılması: BRICS-T Ülkeleri Üzerine Ampirik Bir Çalışma

Year 2021, Issue: 89, 221 - 236, 11.01.2021

Oktay Özkan

https://doi.org/10.25095/mufad.852162
Cited By: 4

Abstract

Bu çalışmanın amacı Brezilya, Rusya, Hindistan, Çin, Güney Afrika ve Türkiye döviz piyasalarının davranışlarını açıklamada Etkin Piyasalar Hipotezi ile Adaptif Piyasalar Hipotezi’ni karşılaştırmaktır. İlgili ülkelerin yerel para birimlerinin Dolar cinsi değerlerinin 17.07.2005-09.02.2020 tarihleri arasındaki haftalık getiri oranları üzerinde, sabit uzunluklu haraketli kayan pencereler yöntemi kullanılarak getiri oranı tahmin edilebilirliği için Dominguez ve Lobato (2003) tarafından geliştirilmiş olan Dominguez-Lobato testi ile analizler gerçekleştirilmiştir. Analizler sonucunda BRICS-T döviz piyasalarının zayıf formdaki etkinliğinin zaman içerisinde değişim gösterdiği ve BRICS-T döviz piyasalarının davranışlarını açıklamada Adaptif Piyasalar Hipotezi’nin Etkin Piyasalar Hipotezi’ne göre daha başarılı olduğu belirlenmiştir. Tarihsel fiyat bilgileri kullanılarak getiri oranı tahmininde CNY/USD ve INR/USD kuru için diğer kurlara göre daha başarılı sonuçlar elde edilebileceği, BRL/USD ve ZAR/USD kurlarının getiri oranlarının tahmininde ise başarı şansının oldukça düşük olduğu ulaşılan diğer önemli sonuçlardır. Genel olarak bakıldığında Brezilya ve Güney Afrika döviz piyasalarının diğer BIRCS-T ülke döviz piyasalarına göre daha fazla zayıf formda etkin olduğu söylenebilir.

Keywords

Döviz piyasaları adaptif piyasalar hipotezi etkin piyasalar hipotezi getiri oranı tahmin edilebilirliği

References

  • Aron, Janine - Ayogu, Melvin (1997), “Foreign Exchange Market Efficiency Tests in Sub-Saharan Africa”, Journal of African Economies, 6(3), pp. 150-192.
  • Beine, Michel - De Grauwe, Paul – Grimaldi, Marianna (2009), “The Impact of FX Central Bank Intervention in a Noise Trading Framework”, Journal of Banking and Finance, 33, pp. 1187-1195.
  • Berke, Burcu - Özcan, Burcu - Dizdarlar, Hatice Işın (2014), “Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz”, Ege Akademik Bakış, 14(4), ss. 621-636.
  • Brock, William A. - Dechert, W. D. - Lebaron, Blake - Scheinkman, Jose Alexandre (1996), “A Test for Independence Based on a Correlation Dimension”, Econometric Review, 15, pp. 197-235.
  • Charles, Amélie - Darné, Olivier - Kim, Jae H. (2011), “Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis”, Economics Letters, 110, pp. 151-154.
  • Charles, Amélie - Darné, Olivier - Kim, Jae H. (2017), “Adaptive Markets Hypothesis for Islamic Stock Indices: Evidence from Dow Jones Size and Sector-Indices”, International Economics, 151, pp. 100-112.
  • Charles, Amélie - Darné, Olivier - Kim, Jae H. (2012), “Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates”, Journal of International Money and Finance, 31(6), pp. 1607-1626.
  • Çiçek, Macide (2014), “A Cointegration Test for Turkish Foreign Exchange Market Efficiency”, Asian Economic and Financial Review, 4(4), pp. 451-471.
  • Diamandis, Panayiotis F. - Kouretas, Georgios P. – Zarangas, Leonidas (2007), “Dual Foreign Currency Markets and the Role of Expectations: Evidence from the Pacific Basin Countries”, Research in International Business and Finance, 21, pp. 238-259.
  • Dominguez, Kathryn M. - Frankel, Jeffrey A. (1993), “Does Foreign-Exchange Intervention Matter? The Portfolio Effect”, The American Economic Review, 83, pp. 1356-1369.
  • Dominguez, Manuel A. - Lobato, Ignacio N. (2003), “Testing the Martingale Difference Hypothesis”, Econometric. Reviews, 22(4), pp. 351-377.
  • Engle, Robert F. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflations”, Econometrica, 50(4), pp. 987-1007.
  • Ertekin, Berrin (2003), Rassal Yürüyüş Hipotezi ve Döviz Piyasalarının Etkinliğinin Araştırılması. (Yayımlanmamış Yüksek Lisans Tezi). Marmara Üniversitesi, Sosyal Bilimler Enstitüsü, İstanbul.
  • Fama, Eugene F. (1965), “The Behaviour of Stock Market Prices”, Journal of Business, 38, pp. 34-105.
  • Fama, Eugene F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Works”, The Journal of Finance, 25(2), pp. 383-417.
  • Gupta, Rangan - Plakandaras, Vasilios (2019), “Efficiency in BRICS Currency Markets Using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability”, Journal of Economics and Behavioral Studies, 11(1), pp. 152-165. https://www.investing.com, Erişim Tarihi: 14.02.2020.
  • Jarque, Carlos M. - Bera, Anil K. (1980), “Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals”, Economics Letters, 6(3), pp. 255-259.
  • Karadağlı, Ece Ceyda - Omay, Nazli C. (2012), “Testing Weak Form Market Efficiency of Emerging Markets: A Nonlinear Approach”, Journal of Applied Economic Sciences, 7(3), pp. 235-245.
  • Khuntia, Sashikanta - Pattanayak, Jamini K. (2018), “Adaptive Market Hypothesis and Evolving Predictability of Bitcoin”, Economics Letters, 167, pp. 26-28.
  • Khuntia, Sashikanta - Pattanayak, Jamini K. (2017), “Dynamics of Indian Foreign Exchange Market Efficiency: An Adaptive Market Hypothesis Approach”, Indian Journal of Finance, 11(9), pp. 39-52.
  • Korkmaz, Turhan - Başaran, Ümit - Çevik, Emrah İsmail (2010), “Yaz Saati Uygulaması Anomalisinin İMKB 100 Endeks Getirisine Etkisinin Test Edilmesi”, Ege Akademik Bakış, 10(4), ss. 1139-1153.
  • Kulalı, İhsan (2016), “Etkin Piyasalar Hipotezi ve Davranışsal Finans Çatışması”, Finans ve Bankacılık Çalışmaları Dergisi, 5(2), ss. 46-57.
  • Kumar, Anoop S. - Kamaiah, Bandi (2016), “Efficiency, Non-Linearity and Chaos: Evidences from BRICS Foreign Exchange Markets”, Theoretical and Applied Economics, 23(1), pp. 103-118.
  • Kumar, Dilip (2018), “Market Efficiency in Indian Exchange Rates: Adaptive Market Hypothesis”, Theoretical Economics Letters, 8, pp. 1582-1598.
  • Lazar, Dorina - Todea, Alexandru - Filip, Diana (2012), “Martingale Difference Hypothesis and Financial Crisis: Empirical Evidence from European Emerging Foreign Exchange Markets”, Economic Systems, 36, pp. 338-350.
  • Li, Xiao-Lin - Balcilar, Mehmet - Gupta, Rangan - Chang, Tsangyao (2016), “The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach”, Emerging Markets Finance and Trade, 52(3), pp. 674-689.
  • Liu, Christina Y. - He, Jia (1991), “A Variance Ratio Test of Random Walks in Foreign Exchange Rate”, Journal of Finance, 46, pp. 773-785.
  • Lo, Andrew W. (2004), “The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective”, Journal of Portfolio Management, 30(5), pp. 15-29.
  • Lo, Andrew W. (2005), “Reconciling Efficient Markets With Behavioral Finance: The Adaptive Marketshypothesis”, Recent Research, 7(2), pp. 21-44.
  • Lo, Andrew W. (2012), “Adaptive Markets and the New World Order”, Financial Analysts Journal, 68(2), pp. 18-29.
  • Malkiel, Burton G. (2003), “The Efficient Market Hypothesis and Its Critics”, Journal of Economic Perspectives, 17(1), pp. 59-82.
  • Melvin, Michael (2004), International Money and Finance, 5th Edition, Pearson Addison-Wesley, Boston.
  • Mohamed, M. Sheik - Banu, M. A. Shakila (2015), “Study on Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies: Some India Evidence”, International Journal of Management, 6(1), pp. 331-342.
  • Mukherjee, Shreya (2018), The Efficiency of Foreign Exchange Markets in Emerging Economies: Evidence in BRICS Countries. (Unpublished Master’s Thesis). Oulu Business School, Finland.
  • Oh, Gabjin - Kim, Seunghwan - Eom, Cheoljun (2007), “Market Efficiency in Foreign Exchange Markets”, Physica A, 382, pp. 209-212.
  • Özdemir, Arife - Vergili, Gizem - Çelik, İsmail (2018), “Döviz Piyasalarının Etkinliği Üzerinde Uzun Hafızanın Rolü: Türk Döviz Piyasasında Ampirik Bir Araştırma”, BDDK Bankacılık ve Finansal Piyasalar, 12(1), ss. 87-107.
  • Palma, Andreza Aparecida - Sartoris, Alexandre (2016), “Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network Model”, Latin American Business Review, 17(2), pp. 163-176.
  • Phillips, Peter C. B. - Perron, Pierre (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), pp. 335-346.
  • Said, Said E. - Dickey, David A. (1984), “Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order”, Biometrika, 71(3), pp. 599-607.
  • Samuelson, Paul A. (1965), “Proof that Properly Anticipated Prices Fluctuate Randomly”, Industrial Management Review, 6, pp. 41-49.
  • Smith, Graham - Jefferis, Keith - Ryoo, Hyun-Jung (2002), “African Stock Markets: Multiple Variance-Ratio Tests of Random Walks”, Applied Financial Economics, 12, pp. 475-484.
  • Yilmaz, Kamil (2003), “Martingale Property of Exchange Rates and Central Bank Intervention”, Journal of Business and Economic Statistics, 21(3), pp. 383-395.

Year 2021, Issue: 89, 221 - 236, 11.01.2021

Oktay Özkan

https://doi.org/10.25095/mufad.852162
Cited By: 4

Abstract

References

  • Aron, Janine - Ayogu, Melvin (1997), “Foreign Exchange Market Efficiency Tests in Sub-Saharan Africa”, Journal of African Economies, 6(3), pp. 150-192.
  • Beine, Michel - De Grauwe, Paul – Grimaldi, Marianna (2009), “The Impact of FX Central Bank Intervention in a Noise Trading Framework”, Journal of Banking and Finance, 33, pp. 1187-1195.
  • Berke, Burcu - Özcan, Burcu - Dizdarlar, Hatice Işın (2014), “Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz”, Ege Akademik Bakış, 14(4), ss. 621-636.
  • Brock, William A. - Dechert, W. D. - Lebaron, Blake - Scheinkman, Jose Alexandre (1996), “A Test for Independence Based on a Correlation Dimension”, Econometric Review, 15, pp. 197-235.
  • Charles, Amélie - Darné, Olivier - Kim, Jae H. (2011), “Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis”, Economics Letters, 110, pp. 151-154.
  • Charles, Amélie - Darné, Olivier - Kim, Jae H. (2017), “Adaptive Markets Hypothesis for Islamic Stock Indices: Evidence from Dow Jones Size and Sector-Indices”, International Economics, 151, pp. 100-112.
  • Charles, Amélie - Darné, Olivier - Kim, Jae H. (2012), “Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates”, Journal of International Money and Finance, 31(6), pp. 1607-1626.
  • Çiçek, Macide (2014), “A Cointegration Test for Turkish Foreign Exchange Market Efficiency”, Asian Economic and Financial Review, 4(4), pp. 451-471.
  • Diamandis, Panayiotis F. - Kouretas, Georgios P. – Zarangas, Leonidas (2007), “Dual Foreign Currency Markets and the Role of Expectations: Evidence from the Pacific Basin Countries”, Research in International Business and Finance, 21, pp. 238-259.
  • Dominguez, Kathryn M. - Frankel, Jeffrey A. (1993), “Does Foreign-Exchange Intervention Matter? The Portfolio Effect”, The American Economic Review, 83, pp. 1356-1369.
  • Dominguez, Manuel A. - Lobato, Ignacio N. (2003), “Testing the Martingale Difference Hypothesis”, Econometric. Reviews, 22(4), pp. 351-377.
  • Engle, Robert F. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflations”, Econometrica, 50(4), pp. 987-1007.
  • Ertekin, Berrin (2003), Rassal Yürüyüş Hipotezi ve Döviz Piyasalarının Etkinliğinin Araştırılması. (Yayımlanmamış Yüksek Lisans Tezi). Marmara Üniversitesi, Sosyal Bilimler Enstitüsü, İstanbul.
  • Fama, Eugene F. (1965), “The Behaviour of Stock Market Prices”, Journal of Business, 38, pp. 34-105.
  • Fama, Eugene F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Works”, The Journal of Finance, 25(2), pp. 383-417.
  • Gupta, Rangan - Plakandaras, Vasilios (2019), “Efficiency in BRICS Currency Markets Using Long-Spans of Data: Evidence from Model-Free Tests of Directional Predictability”, Journal of Economics and Behavioral Studies, 11(1), pp. 152-165. https://www.investing.com, Erişim Tarihi: 14.02.2020.
  • Jarque, Carlos M. - Bera, Anil K. (1980), “Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals”, Economics Letters, 6(3), pp. 255-259.
  • Karadağlı, Ece Ceyda - Omay, Nazli C. (2012), “Testing Weak Form Market Efficiency of Emerging Markets: A Nonlinear Approach”, Journal of Applied Economic Sciences, 7(3), pp. 235-245.
  • Khuntia, Sashikanta - Pattanayak, Jamini K. (2018), “Adaptive Market Hypothesis and Evolving Predictability of Bitcoin”, Economics Letters, 167, pp. 26-28.
  • Khuntia, Sashikanta - Pattanayak, Jamini K. (2017), “Dynamics of Indian Foreign Exchange Market Efficiency: An Adaptive Market Hypothesis Approach”, Indian Journal of Finance, 11(9), pp. 39-52.
  • Korkmaz, Turhan - Başaran, Ümit - Çevik, Emrah İsmail (2010), “Yaz Saati Uygulaması Anomalisinin İMKB 100 Endeks Getirisine Etkisinin Test Edilmesi”, Ege Akademik Bakış, 10(4), ss. 1139-1153.
  • Kulalı, İhsan (2016), “Etkin Piyasalar Hipotezi ve Davranışsal Finans Çatışması”, Finans ve Bankacılık Çalışmaları Dergisi, 5(2), ss. 46-57.
  • Kumar, Anoop S. - Kamaiah, Bandi (2016), “Efficiency, Non-Linearity and Chaos: Evidences from BRICS Foreign Exchange Markets”, Theoretical and Applied Economics, 23(1), pp. 103-118.
  • Kumar, Dilip (2018), “Market Efficiency in Indian Exchange Rates: Adaptive Market Hypothesis”, Theoretical Economics Letters, 8, pp. 1582-1598.
  • Lazar, Dorina - Todea, Alexandru - Filip, Diana (2012), “Martingale Difference Hypothesis and Financial Crisis: Empirical Evidence from European Emerging Foreign Exchange Markets”, Economic Systems, 36, pp. 338-350.
  • Li, Xiao-Lin - Balcilar, Mehmet - Gupta, Rangan - Chang, Tsangyao (2016), “The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach”, Emerging Markets Finance and Trade, 52(3), pp. 674-689.
  • Liu, Christina Y. - He, Jia (1991), “A Variance Ratio Test of Random Walks in Foreign Exchange Rate”, Journal of Finance, 46, pp. 773-785.
  • Lo, Andrew W. (2004), “The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective”, Journal of Portfolio Management, 30(5), pp. 15-29.
  • Lo, Andrew W. (2005), “Reconciling Efficient Markets With Behavioral Finance: The Adaptive Marketshypothesis”, Recent Research, 7(2), pp. 21-44.
  • Lo, Andrew W. (2012), “Adaptive Markets and the New World Order”, Financial Analysts Journal, 68(2), pp. 18-29.
  • Malkiel, Burton G. (2003), “The Efficient Market Hypothesis and Its Critics”, Journal of Economic Perspectives, 17(1), pp. 59-82.
  • Melvin, Michael (2004), International Money and Finance, 5th Edition, Pearson Addison-Wesley, Boston.
  • Mohamed, M. Sheik - Banu, M. A. Shakila (2015), “Study on Weak-Form Efficiency of Foreign Exchange Markets of Developing Economies: Some India Evidence”, International Journal of Management, 6(1), pp. 331-342.
  • Mukherjee, Shreya (2018), The Efficiency of Foreign Exchange Markets in Emerging Economies: Evidence in BRICS Countries. (Unpublished Master’s Thesis). Oulu Business School, Finland.
  • Oh, Gabjin - Kim, Seunghwan - Eom, Cheoljun (2007), “Market Efficiency in Foreign Exchange Markets”, Physica A, 382, pp. 209-212.
  • Özdemir, Arife - Vergili, Gizem - Çelik, İsmail (2018), “Döviz Piyasalarının Etkinliği Üzerinde Uzun Hafızanın Rolü: Türk Döviz Piyasasında Ampirik Bir Araştırma”, BDDK Bankacılık ve Finansal Piyasalar, 12(1), ss. 87-107.
  • Palma, Andreza Aparecida - Sartoris, Alexandre (2016), “Weak-Form Market Efficiency of the Brazilian Exchange Rate: Evidence from an Artificial Neural Network Model”, Latin American Business Review, 17(2), pp. 163-176.
  • Phillips, Peter C. B. - Perron, Pierre (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75(2), pp. 335-346.
  • Said, Said E. - Dickey, David A. (1984), “Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order”, Biometrika, 71(3), pp. 599-607.
  • Samuelson, Paul A. (1965), “Proof that Properly Anticipated Prices Fluctuate Randomly”, Industrial Management Review, 6, pp. 41-49.
  • Smith, Graham - Jefferis, Keith - Ryoo, Hyun-Jung (2002), “African Stock Markets: Multiple Variance-Ratio Tests of Random Walks”, Applied Financial Economics, 12, pp. 475-484.
  • Yilmaz, Kamil (2003), “Martingale Property of Exchange Rates and Central Bank Intervention”, Journal of Business and Economic Statistics, 21(3), pp. 383-395.
There are 42 citations in total.

Details

Primary Language Turkish
Subjects Business Administration
Journal Section Articles
Authors

Oktay Özkan This is me 0000-0001-9419-8115

Publication Date January 11, 2021
Submission Date February 17, 2020
Published in Issue Year 2021 Issue: 89

Cite

APA Özkan, O. (2021). Döviz Piyasalarının Davranışlarını Açıklamada Etkin Piyasalar Hipotezi ile Adaptif Piyasalar Hipotezinin Karşılaştırılması: BRICS-T Ülkeleri Üzerine Ampirik Bir Çalışma. The Journal of Accounting and Finance(89), 221-236. https://doi.org/10.25095/mufad.852162
AMA Özkan O. Döviz Piyasalarının Davranışlarını Açıklamada Etkin Piyasalar Hipotezi ile Adaptif Piyasalar Hipotezinin Karşılaştırılması: BRICS-T Ülkeleri Üzerine Ampirik Bir Çalışma. The Journal of Accounting and Finance. January 2021;(89):221-236. doi:10.25095/mufad.852162
Chicago Özkan, Oktay. “Döviz Piyasalarının Davranışlarını Açıklamada Etkin Piyasalar Hipotezi Ile Adaptif Piyasalar Hipotezinin Karşılaştırılması: BRICS-T Ülkeleri Üzerine Ampirik Bir Çalışma”. The Journal of Accounting and Finance, no. 89 (January 2021): 221-36. https://doi.org/10.25095/mufad.852162.
EndNote Özkan O (January 1, 2021) Döviz Piyasalarının Davranışlarını Açıklamada Etkin Piyasalar Hipotezi ile Adaptif Piyasalar Hipotezinin Karşılaştırılması: BRICS-T Ülkeleri Üzerine Ampirik Bir Çalışma. The Journal of Accounting and Finance 89 221–236.
IEEE O. Özkan, “Döviz Piyasalarının Davranışlarını Açıklamada Etkin Piyasalar Hipotezi ile Adaptif Piyasalar Hipotezinin Karşılaştırılması: BRICS-T Ülkeleri Üzerine Ampirik Bir Çalışma”, The Journal of Accounting and Finance, no. 89, pp. 221–236, January 2021, doi: 10.25095/mufad.852162.
ISNAD Özkan, Oktay. “Döviz Piyasalarının Davranışlarını Açıklamada Etkin Piyasalar Hipotezi Ile Adaptif Piyasalar Hipotezinin Karşılaştırılması: BRICS-T Ülkeleri Üzerine Ampirik Bir Çalışma”. The Journal of Accounting and Finance 89 (January 2021), 221-236. https://doi.org/10.25095/mufad.852162.
JAMA Özkan O. Döviz Piyasalarının Davranışlarını Açıklamada Etkin Piyasalar Hipotezi ile Adaptif Piyasalar Hipotezinin Karşılaştırılması: BRICS-T Ülkeleri Üzerine Ampirik Bir Çalışma. The Journal of Accounting and Finance. 2021;:221–236.
MLA Özkan, Oktay. “Döviz Piyasalarının Davranışlarını Açıklamada Etkin Piyasalar Hipotezi Ile Adaptif Piyasalar Hipotezinin Karşılaştırılması: BRICS-T Ülkeleri Üzerine Ampirik Bir Çalışma”. The Journal of Accounting and Finance, no. 89, 2021, pp. 221-36, doi:10.25095/mufad.852162.
Vancouver Özkan O. Döviz Piyasalarının Davranışlarını Açıklamada Etkin Piyasalar Hipotezi ile Adaptif Piyasalar Hipotezinin Karşılaştırılması: BRICS-T Ülkeleri Üzerine Ampirik Bir Çalışma. The Journal of Accounting and Finance. 2021(89):221-36.

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