TESTING THE EFFICIENCY OF BORSA ISTANBUL SECTOR INDICES BY FOURIER UNIT ROOT TESTS

Year 2020, Issue: 29, 23 - 44, 10.10.2020

Kemal Eyüboğlu , Sinem Eyüboğlu

https://doi.org/10.18092/ulikidince.648896

Cited By: 6

Abstract

In financial literature, the validity of the Effective Market Hypothesis has been investigated many times. In this study, it is analyzed by using monthly data whether 22 indices calculated in Borsa Istanbul are efficient in weak form. In this study, firstly, the linearity of the series was investigated by Harvey et al. (2008) linearity test. Then, unit root analyzes of the series were carried out with linear and nonlinear Fourier unit root tests (FADF and FKSS) which take structural breaks into account. As a result of the study, it was determined that 13 indices were effective in weak form and 9 indices were not effective in weak form. In the weak-form efficient markets, investors may follow a buy-and-hold over long-term investment horizon and instead of frequently trade strategy. In the 9 indices, investors may prefer to trade for short-term rather than buy-and-hold strategy.  

BORSA İSTANBUL SEKTÖR ENDEKSLERİNİN ETKİNLİĞİNİN FOURİER BİRİM KÖK TESTLERİ İLE ANALİZİ

Abstract

Finansal Finans literatüründe Etkin Piyasa Hipotezinin geçerliliği pek çok kez araştırılmıştır. Bu çalışmada ise Borsa İstanbul’da hesaplanan 22 endeksin zayıf formda etkin olup olmadığı aylık veriler kullanılarak analiz edilmiştir. Çalışmada öncelikle serilerin doğrusal olup olmadığı Harvey vd. (2008) doğrusallık testi ile incelenmiştir. Ardından serilerin birim kök analizleri yapısal kırılmaları dikkate alan doğrusal ve doğrusal olmayan Fourier birim kök testleri (FADF ve FKSS) ile gerçekleştirilmiştir. Çalışma sonucunda 13 endeksin zayıf formda etkin olduğu, 9 endeksin ise zayıf formda etkin olmadığı belirlenmiştir. Zayıf formda etkin olan piyasalarda yatırımcıların sık sık al-sat yapmak yerine uzun vadeli yatırım ufku ile al ve bekle stratejisini izlemeleri, 9 endekste ise yatırımcıların kısa vadeli al-sat yapmayı, al ve bekle stratejisi yerine tercih etmeleri daha uygun olacaktır.

Keywords

Etkin piyasa hipotezi, rassal yürüyüş modeli, doğrusallık analizi, Fourier birim kök testleri, Borsa İstanbul

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