Year 2021, Volume 29 , Issue 48, Pages 31 - 58 2021-04-28

Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul
Adaptif Piyasa Hipotezi ve Getiri Öngörülebilirliği: Borsa İstanbul İçin Bir Gizli Markov Modeli Uygulaması

Hasan Arda BURHAN [1] , Eylem ACAR [2]


The adaptive market hypothesis (AMH) has recently attracted significant interest in the financial literature. The AMH has started to be considered an alternative to the efficient market hypothesis. In this respect, this study, first of all, examines the AMH for the BIST100 index of Turkey’s Borsa Istanbul stock exchange market by testing the return predictability. The applications are performed via automatic portmanteau and the generalized spectral (GS) tests using daily closing price data between January 1988 and December 2017. Secondly, the results of these tests are utilized for a hidden Markov model (HMM) application to examine the periods that yield return predictability. According to the results, it is observed that there is strong evidence for the validity of AMH within the scope of Borsa Istanbul’s BIST100. Additionally, the results of the HMM application confirm the periodic predictability regarding the determinants of the index.
Adaptif piyasa hipotezi (APH) güncel finansal literatürde belirgin bir ilgi görmektedir. Bu durum APH’nin yine finansal literatürde sıklıkla araştırma konusu olan etkin piyasa hipotezine bir alternatif olarak ortaya çıkmış olması ile bağlantılıdır. Bu doğrultuda çalışmada, ilk olarak Borsa İstanbul hisse senedi piyasası BIST100 endeksi için APH, getiri öngörülebilirliğinin test edilmesi yoluyla incelenmiştir. Bu bağlamda Ocak 1988 - Aralık 2017 arası günlük kapanış fiyatı verilerine otomatik portmanteau ve genelleştirilmiş spektral (GS) testleri uygulanmıştır. Analizin devamında bu testlerin sonuçları, getiri öngörülebilirliği sağlayan dönemleri incelemek için bir gizli Markov model (GMM) uygulamasında kullanılmıştır. Sonuçlara göre Borsa İstanbul’un APH'ne güçlü bir şekilde uyum sağladığı görülmüştür. Ek olarak, GMM uygulamasının sonuçları, endeksin belirleyicileri ile ilgili olarak da periyodik öngörülebilirliği doğrulamıştır.
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Primary Language en
Subjects Social
Journal Section Articles
Authors

Orcid: 0000-0003-4043-2652
Author: Hasan Arda BURHAN (Primary Author)
Institution: KÜTAHYA DUMLUPINAR ÜNİVERSİTESİ
Country: Turkey


Orcid: 0000-0003-0863-9143
Author: Eylem ACAR
Institution: KÜTAHYA DUMLUPINAR ÜNİVERSİTESİ
Country: Turkey


Dates

Publication Date : April 28, 2021

Bibtex @research article { sosyoekonomi684621, journal = {Sosyoekonomi}, issn = {1305-5577}, address = {}, publisher = {Sosyoekonomi Society}, year = {2021}, volume = {29}, pages = {31 - 58}, doi = {10.17233/sosyoekonomi.2021.02.02}, title = {Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul}, key = {cite}, author = {Burhan, Hasan Arda and Acar, Eylem} }
APA Burhan, H , Acar, E . (2021). Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul . Sosyoekonomi , 29 (48) , 31-58 . DOI: 10.17233/sosyoekonomi.2021.02.02
MLA Burhan, H , Acar, E . "Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul" . Sosyoekonomi 29 (2021 ): 31-58 <https://dergipark.org.tr/en/pub/sosyoekonomi/issue/62051/684621>
Chicago Burhan, H , Acar, E . "Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul". Sosyoekonomi 29 (2021 ): 31-58
RIS TY - JOUR T1 - Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul AU - Hasan Arda Burhan , Eylem Acar Y1 - 2021 PY - 2021 N1 - doi: 10.17233/sosyoekonomi.2021.02.02 DO - 10.17233/sosyoekonomi.2021.02.02 T2 - Sosyoekonomi JF - Journal JO - JOR SP - 31 EP - 58 VL - 29 IS - 48 SN - 1305-5577- M3 - doi: 10.17233/sosyoekonomi.2021.02.02 UR - https://doi.org/10.17233/sosyoekonomi.2021.02.02 Y2 - 2021 ER -
EndNote %0 Sosyoekonomi Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul %A Hasan Arda Burhan , Eylem Acar %T Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul %D 2021 %J Sosyoekonomi %P 1305-5577- %V 29 %N 48 %R doi: 10.17233/sosyoekonomi.2021.02.02 %U 10.17233/sosyoekonomi.2021.02.02
ISNAD Burhan, Hasan Arda , Acar, Eylem . "Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul". Sosyoekonomi 29 / 48 (April 2021): 31-58 . https://doi.org/10.17233/sosyoekonomi.2021.02.02
AMA Burhan H , Acar E . Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul. Sosyoekonomi. 2021; 29(48): 31-58.
Vancouver Burhan H , Acar E . Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul. Sosyoekonomi. 2021; 29(48): 31-58.
IEEE H. Burhan and E. Acar , "Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul", Sosyoekonomi, vol. 29, no. 48, pp. 31-58, Apr. 2021, doi:10.17233/sosyoekonomi.2021.02.02