DETERMINATION OF THE EFFICIENT MARKETS HYPOTHESIS IN THE TURKISH EXCHANGE MARKET IN TERMS OF BEHAVIORAL FINANCE

Abstract

According to the efficient market hypothesis, rational individuals use all the available information to ensure that all information is reflected in prices, and as a result there is no systematic error in the market. The validity of this hypothesis includes the assumptions that individuals behave rationally and that there is arbitrage opportunity in the market. However, in the observation and application studies conducted over the years, the results contrary to these assumptions has been observed. In this study, it is tested whether the foreign exchange market in Turkey is efficient in weak form and semi-strong form by using daily spot and forward exchange rates of TL against Euro and Dollar. As a result of the study, it is determined that the foreign exchange markets are efficient in the weak form, but not efficient in the semi-strong form in the period studied for Turkey, considering the structural.

Keywords

• Efficient market Hypothesis
• Exchange rate
• Exchange Futures
• Gregory-Hansen Cointegration Test

TÜRKİYE DÖVİZ PİYASASINDA ETKİN PİYASALAR HİPOTEZİNİN DAVRANIŞSAL FİNANS AÇISINDAN TESPİTİ

Abstract

Etkin piyasalar hipotezine göre rasyonel bireyler ulaşılabildikleri tüm bilgileri kullanarak bilginin hepsinin fiyatlara yansımasını sağlamakta ve piyasada sistematik hata söz konusu olmamaktadır. Bu hipotezin geçerli olması bireylerin rasyonel davranması ve piyasada arbitraj imkanının bulunması varsayımlarını içermektedir. Ancak yıllar boyunca yapılan gözlem ve uygulama çalışmalarında, bu varsayımların aksine sonuçların meydana geldiği gözlemlenmiştir. Bu çalışmada TL’nin Euro ve dolara karşı günlük spot ve forward döviz kurları kullanılarak Türkiye’de döviz piyasasının zayıf formda ve yarı güçlü formda etkin olup olmadığı test edilmiştir. Çalışma sonucunda Türkiye için ele alınan dönem içerisinde yapısal kırılmaları da dikkate alan testler sonucunda Döviz piyasalarının zayıf formda etkin olmasına rağmen yarı güçlü formda etkin olmadığı tespit edilmiştir.

Keywords

• Etkin Piyasalar Hipotezi
• Döviz Kuru
• Vadeli Kur
• Gregory-Hansen Eşbütünleşme Testi

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