The Validity of the Efficient Market Hypothesis: The Case of the G7 Countries

Abstract

The aim of this study is to examine the validity of Fama's efficient market hypothesis for G7 countries. In this context, the effectiveness test on weak form was conducted with the help of the non-stationary panel unit root tests within the G7 countries for the period of 1990-2020. Firstly, cross section dependence is examined with CDlm test. As a result of the presence of cross section dependency, CADF and Hadri Kurozumi second generation non-stationary panel unit root tests, which take into account the cross section dependence, were used. In line with the empirical findings obtained, it has been concluded that the markets in G7 countries are weakly efficient. According to this result, all the information that a financial asset has in the past is reflected in the price of the financial asset and it is not possible to determine the future price of any financial instrument by looking at the historical price movement. The fact that financial asset prices are not stable in weakly active markets with a random walk means that future financial asset markets cannot be predicted based on past prices.
Key Words: Efficient Market Hypothesis, Panel Data Analysis, Panel Unitroot Test
JEL Classification: C23, F30, F37

Etkin Piyasa Hipotezinin Geçerliliği: G7 Ülkeleri Örneği

Abstract

Bu çalışmanın amacı Fama’nın ortaya koyduğu etkin piyasa hipotezinin geçerliliğinin G7 ülkeleri için incelenmesidir. Bu doğrultuda, zayıf formada etkinlik testi 1990-2020 dönemi için G7 ülkeleri kapsamında durağan olmayan panel birim kök testleri yardımıyla yapılmıştır. Öncelikle serilerde yatay kesit bağımlılığı CD lm testi ile incelenmiştir. Yatay kesit bağımlığının varlığı sonucunda yatay kesit bağımlılığını dikkate alan CADF ve Hadri Kurozumi ikinci nesil durağan olmayan panel birim kök testlerinden yararlanılmıştır. Elde edilen ampirik bulgular doğrultusunda G7 ülkelerinde piyasaların zayıf formda etkin olduğu sonucuna ulaşılmıştır. Bu sonuca göre herhangi bir finansal varlığın geçmişteki sahip olduğu tüm bilgiler finansal varlığın fiyatına yansımaktadır ve herhangi bir finansal aracın geçmişteki fiyat hareketine bakarak gelecekteki fiyatını belirlemek mümkün değildir. Rassal yürüyüşe sahip olan zayıf formda etkin piyasalarda finansal varlık fiyatlarının durağan olmaması, gelecekteki finansal varlık piyasalarının geçmiş fiyatlara dayalı olarak tahmin edilemeyeceği anlamına gelir.
Anahtar Kelimeler: Etkin Piyasa Hipotezi, Panel Veri Analizi, Panel Birim Kök Testi.
JEL Sınıflandırması: C23, F30, F37

Keywords

• Etkin Piyasa Hipotezi
• Panel Veri Analizi
• Panel Birim Kök Testi

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