Adaptif Piyasalar Teorisi: BIST-30 Endeksinin Etkinlik Analizi

Abstract

Bu çalışma, adaptif piyasalar hipotezi çerçevesinde Borsa İstanbul (BİST) 30 endeksinin etkinlik düzeyini incelemektedir. Bu doğrultuda, araştırmada zayıf formada etkinliğin geçerliliğini sınamak amacıyla doğrusal ve doğrusal olmayan yöntemlerden oluşan kapsamlı bir test seti uygulanmıştır. Elde edilen sonuçlar temel bileşen analizi (PCA) yöntemi ile birleştirilerek, hisse senedi piyasalarının tarihsel etkinlik eğilimini gösteren, genel anlamda piyasadaki etkinlik düzeyini yansıtan bir piyasa etkinlik endeksi oluşturulmuştur. Ampirik bulgular adaptif piyasa hipotezinin öngörüleri ile tutarlı bir şekilde, piyasada etkinliklerin zaman içinde dalgalı bir seyir izlediğini göstermektedir. Özellikle endeks, finansal krizler, jeopolitik belirsizlik, siyasi stres dönemlerinde etkinlikten uzaklaşmaktadır. Ayrıca bu sapmalar hem yurt içi hem de küresel olaylarda benzer şekilde ortaya çıkmakta, piyasa etkinliğinin çevresel koşullara duyarlılığını göstermektedir.

Keywords

• Adaptif Piyasalar Teorisi
• Zayıf Formda Etkinlik
• Etkinlik Endeksi
• BİST-30
• Temel Bileşenler Analizi

Adaptive Market Theory: Efficiency Analysis of the BIST-30 Index

Abstract

This study investigates the adaptive markets hypothesis for the BIST-30 index. To this end, a set of fifteen linear and nonlinear statistical tests were applied to examine whether the index exhibits weak-form efficiency. The results of these tests were then integrated through the principal component analysis method, with the aim of constructing a composite market efficiency index that captures both the historical trajectory of efficiency in the stock market and the overall state of market efficiency. The empirical findings suggest that, as broadly consistent with the adaptive markets hypothesis, market efficiency fluctuates significantly over time. In particular, the index tends to deviate from efficiency during periods of financial, geopolitical and political stress time. Moreover, such deviations are evident not only in the context of domestic shocks but also in response to global events, highlighting the sensitivity of market efficiency to both local and international volatile dynamics.

Keywords

• Adaptive Market Theory
• Weak form Efficiency
• Efficiency Index
• BIST-30
• Principle Component Analysis

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