MEAN REVERSION IN TURKISH STOCK MARKET AND TIME-VARYING EQUITY RISK PREMIUM

Abstract

Mean reversion in stock markets has been an open question for the decades it has been meticulously tested. This study first aims at shedding further light on this unsettled issue by assessing mean reversion in a broad Turkish stock data via a non-parametric and model-free methodology. Variance ratio computations and distribution-free statistical tests based on randomization are used on dollar and lira denominated nominal, real and excess returns of Borsa Istanbul equity market. As a strong mean reversion is apparent in the empirical tests, the study secondly tries to identify a possible cause of this apparent anomaly. CAPM-based equity risk premium estimations generated via two-pass cross-sectional regressions reveal that the mean reversion might be explained by the dynamic nature of equity risk-premium. The results indicate that the mean reversion in Turkish equity market is a result of time-varying behavior of rational investors rather than market inefficiency.

Keywords

• Equity Risk Premium
• Market Efficiency
• Mean Reversion
• Variance Ratio
• Borsa Istanbul

TÜRKİYE PAY PİYASALARINDA ORTALAMAYA DÖNME EĞİLİMİ VE ZAMANLA DEĞİŞEN PİYASA RİSK PRİMİ

Abstract

Pay piyasalarında ortalamaya dönme eğilimi, geçtiğimiz kırk yılda birçok çalışma tarafından sürekli olarak gözlemlendiği gibi birçok çalışma tarafından da varlığı reddedilmiş bir olgudur. Bu çalışmanın ilk amacı, güncel bir veri seti kullanarak Borsa İstanbul’da ortalamaya dönme eğilimini, parametrik olmayan ve modelden bağımsız bir metodoloji ile test ederek bu konunun aydınlatılmasına katkıda bulunmaktır. Bu doğrultuda, yerel pay piyasasının lira ve dolar bazındaki nominal, reel ve fazla getirileri üzerinde varyans oranı hesaplamaları yapılmış ve rasgeleleştirmeye dayanan, dağılımdan bağımsız bir istatistiksel test uygulanmıştır. Ampirik testlerde güçlü bir ortalamaya dönme eğilimi görüldüğünden, bu çalışma ikinci olarak bu anomalinin nedenlerini tespit etmeyi amaçlamaktadır. CAPM modeline dayalı iki geçişli kesitsel regresyonlarla üretilen sermaye risk primleri tahminleri, ortalamaya dönme eğiliminin, sermaye risk primlerinin dinamik doğasından ileri geldiğini ortaya koymaktadır. Sonuçlara göre Türkiye sermaye piyasasındaki ortalamaya dönme eğilimi pazarın etkin olmamasından değil, rasyonel yatırımcıların davranışlarının zamanla değişmesiyle açıklanabilir.

Keywords

• Piyasa Risk Primi
• Etkin Piyasa Hipotezi
• Ortalamaya Dönme
• Varyans Oranı
• Borsa İstanbul

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