Türkiye Konut Piyasasında Etkinlik Analizi

Yıl 2019, Cilt: 48 Sayı: 1, 84 - 112, 29.05.2019

Esra Alp Ünal Seven

Öz

Son yıllarda Türkiye ekonomisinde öne çıkan sektörlerin başında gelen konut sektöründeki fiyat oluşumları etkin bir piyasaya işaret ediyor mu? Bu soruya yanıt aradığımız çalışmamızda, Etkin Piyasa Hipotezi (EPH) Türkiye konut piyasası için geleneksel ve yapısal kırılmaları dikkate alan birim kök testleri kullanılarak test edilmektedir. Konut fiyat endeksi, hedonik konut fiyat endeksi, yeni konut fiyat endeksi ve yeni olmayan konut fiyat endeksi serilerinin 2010-2018 dönemini kapsayan aylık frekanstaki değerleri, öncelikle geleneksel birim kök testleri olan Genişletilmiş Dickey-Fuller (GDF) ve Kwiatkowski, Phillips, Schmidt ve Shin (KPSS) testleri ile ardından ise, serilerde yapısal kırılma olması durumunda birim kökün varlığını test etmek amacıyla, iki yapısal kırılmalı Lee- Strazicich (LS) ve Clemente, Montañés ve Reyes (CMR) birim kök testleri ile analiz edilmiştir. Doğal logaritması alınan serilere uygulanan testler tüm serilerde birim kökün varlığını göstermektedir. Bu bulgu, Türkiye konut piyasasının zayıf formda etkin olduğunu göstermektedir. 

Anahtar Kelimeler

Etkin piyasa hipotezi, Konut piyasası, Zayıf formda etkinlik

Efficiency Analysis of Housing Market in Turkey

Öz

Do house price movements in Turkish housing market, which has been one of the prominent sectors of Turkish economy in recent years, indicate an efficient market? In this study, we aim to answer this question by testing Efficient Market Hypothesis for Turkish housing market with both traditional unit root tests and unit root tests with structural breaks. House price index, hedonic house price index, new housing price index and existing housing price index series have been analyzed using traditional unit root test of Augmented Dickey-Fuller (ADF) and Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and unit root tests with two structural breaks of Lee- Strazicich (LS) and Clemente, Montañés and Reyes (CMR) for the period of 2010M01-2018M07. Unit root tests applied to the natural logarithm of the series indicate the presence of unit root in all series. This evidence suggests that Turkish housing market is efficient in its weak form. 

Anahtar Kelimeler

Efficient market hypothesis, Housing markets, Efficiency in weak form

Kaynakça

• Akal M., Birgili E. ve Durmuşkaya S. (2012) İMKB30, IMKB100 , Dolar ve Avro futures piyasaların etkinliğinin testi. Business and Economics Research Journal, 3(4), pp. 1–20.
• Altunöz, U. (2016). Boras İstanbul’da zayıf formda etkin piyasa hipotezinin testi: Bankacılık sektörü örneği. Journal Of International Social Research, 9(43).
• Atan, S. D., & Özdemir, Z. A. (2009). Hisse senedi piyasasında zayıf formda etkinlik: İMKB üzerine ampirik bir çalışma. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2), 33–48.
• Bachelier, L. (1900). Theory of speculation. Dimson, E. and M. Mussavian (1998), A brief history of market efficiency. European Financial Management, 4(1), 91–193.
• Barkoulas, J., Chakraborty, A., Ouandlous, A. (2012). A metric and topological analysis of determinism in the crude oil spot market. Energy Econ, 34, 584–591.
• Berke, B., Özcan, B., & Dizdarlar, H. I. (2014). Döviz piyasasının etkinliği: Türkiye için bir analiz. Ege Academic Review, 14(4), 621–636.
• Birau, F. R. (2013). Emerging capital market efficiency: a comparative analysis of weak-form efficiency in Romania and Hungary in the context of the global financial crisis, Al & Soc, Springer.
• Bouri, E., Chang, T., & Gupta, R. (2017). Testing the efficiency of the wine market using unit root tests with sharp and smooth breaks. Wine Economics and Policy, 6(2), 80–87.
• Brock, W. A., Dechert, W. D., & Scheinkman, J. A. (1987). A test for independence based on the correlation dimension.” Social Systems Research Institute, University of Wisconsin-Madison. Working Paper 8702.
• Brown, R. (1828). XXVII. A brief account of microscopical observations made in the months of June, July and August 1827, on the particles contained in the pollen of plants; and on the general existence of active molecules in organic and inorganic bodies. The Philosophical Magazine, 4(21), 161–173.
• Büberkökü, Önder, (2015). Türk hisse senedi piyasalarının etkinliğinin incelenmesi: Çoklu yapısal kırılmalara dayalı bir analizi. Bankacılar Dergisi, 93, 46–59.
• Campbell, J., & Perron, P. (1991). Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots”, NBER Macroeconomics Annual 1991, Ed. O.J.Blanchard, S. Fischer, MIT Press, Cambridge, MA içinde, 141–201.
• Carrıon-ı-Sılvestre, Lluís, J. Kım D. and Perron P. (2009). GLS-based unit root tests with multiple structural breaks under both the null and the alternative hypotheses. Econometric Theory, 25, 1754–1792.
• Case, K. E., & Shiller, R. J. (1989). The behavior of home buyers in boom and post-boom markets. NBER Working Paper No. 2748.
• Case, K. E., & Shiller, R. J. (1990). Forecasting prices and excess returns in the housing market. Real Estate Economics, 18(3), 253–273.
• Cevik, E.I. (2012). İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: sektörel bazda bir inceleme. Journal of Yasar University, 7(26), 4437–4454.
• Charles, A., Darné, O., & Kim, J. H. (2015). Will precious metals shine? A market efficiency perspective. International Review of Financial Analysis, 41, 284–291.
• Clemente, J., Montañés, A., & Reyes, M. (1998). Testing for a unit root in variables with a double change in the mean. Economics Letters, 59(2), 175–182.
• Corradi, V., Swanson, N. R., & White, H. (2000). Testing for stationarity-ergodicity and for comovements between nonlinear discrete time markow processes. Journal of Econometrics, 96, 39–73.
• Coşkun, Y. (2016a). Türkiye konut piyasasında talep eğilimleri ve bilgi bakışımsızlığına yönelik politika önerileri. Bankacılar Dergisi, 96, 122–143.
• Coşkun, Y. (2016b). Konut fiyatları ve yatırımı: Türkiye için bir analiz. Niğde Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), 201–217.
• Coşkun, Y. ve Seven, U. (2016). Etkin Piyasalar Hipotezi ve BİST’in Zayıf Form Etkinlik Analizi. (Finansal Piyasalar ve Kurumlar: Teori ve Türkiye Uygulamasına Güncel Bakış) Bölüm 9, Seçkin Yayınları, Ed: Aysel Gündoğdu, ISBN: 978-975-02-3765-2), 289–319.
• Demireli, E., Akkaya, G. C., & İbaş, E. (2010). Finansal piyasa etkinliği: S&P 500 üzerine bir uygulama. CÜ İktisadi ve İdari Bilimler Dergisi, 11(2), 53–67.
• Dickey, D.A., & Fuller, W.A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of The American Statistical Society, 75, 427–431.
• Einstein, A. (1905). On the motion of small particles suspended in liquids at rest required by the molecular-kinetic theory of heat. Annalen der physik, 17, 549–560.
• Elliot, G., Rothenberg, T.J., & Stock, J.H. (1996). Efficient tests for an autoregressive unit root. Econometrica 64(4), 813–836.
• Engle, R. F. & C. W. J. Granger (1987). Co-integration and error correction: Representation, estimation and testing. Econometrica, 55, 251–276. Ergül, N. (2009). Ulusal Hisse Senetleri Piyasası’nda etkinlik. Yönetim Bilimleri Dergisi, 7(1), 101–117.
• Fama, E. F. (1965a), Random walks in stock market prices. Financial Analysts Journal 21(5), 55–59. Reprinted in 1995 as Random Walks in Stock Market Prices, Financial Analysts Journal 51(1), 75–80.
• Fama, E. F. (1965b), The behavior of stock-market prices. Journal of Business, 38(1), 34–105.
• Fama, E. F. (1970), Efficient capital markets: A review of theory and empirical work. The Journal of Finance 25(2), 383–417.
• Fama, E. F., Fisher, L., Jensen, M. C. & Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review 10(1), 1–21.
• Friedman, M. (1953). The Case for Flexible Exchange Rates, in M. Friedman (ed.), Essays in positive economics, University of Chicago Press. Chicago, 157–203.
• Gatzlaff, D.H., & D. Tırtıroğlu (1995). Real estate market efficiency: Issues and evidence. Journal of Real Estate Literature 3(2), 157–189.
• Gau, G.W. (1984). Weak form test of the efficiency of real estate ınvestment markets. Financial Review, 19(4), 301-320.
• Gau, G.W. (1985). Public information and abnormal returns in real estate investement. Journal of the American Real Estate and Urban Economics Association, 13(1), 15–31.
• Gibson, G. (1889). The Stock Markets of London, Paris and New York, G.P. Putnam’s Sons, New York.
• Gözbaşı, O., I. Küçükkaplan & S. Nazlıoğlu. (2014), Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests. Economic Modelling, 38, 381–384.
• Gu, A.Y. (2002). The predictability of house prices. Journal of Real Estate Research, 24(3), 213–233.
• Gu, R., & Zhang, B. (2016). Is efficiency of crude oil market affected by multifractality? Evidence from the WTI crude oil market. Energy Economics, 53, 151–158.
• Guntermann, K. L., & Norrbin, S. C. (1991). Empirical tests of real estate market efficiency. The Journal of Real Estate Finance and Economics, 4(3), 297–313.
• Gürbüz, S., & Şahbaz, A. (2017). Bist 100 endeksi için piyasa anomalilerinin incelenmesi: Ramazan ayı ve dini bayramların etkileri. In ICPESS (International Congress on Politic, Economic and Social Studies).
• Hamid, K., Suleman, M. T., Ali Shah, S. Z., Akash, I., & Shahid, R. (2017). Testing the weak form of efficient market hypothesis: Empirical evidence from Asia-Pacific markets.
• Harvey, D. I.,Leybourne, S. J., & Xiao, B., (2008). A powerful test for linearity when the order of integration is unknown. Studies in Nonlinear Dynamics &Econometrics, 12.
• Hepşen, A. (2012). Finansal krizlerde gayrimenkul fiyat endekslerinin önemi ve endekslerin oluşturulmasında kullanılan yöntemler. Sermaye Piyasası Dergisi, Finansal Mühendislik ve Risk Yönetimi Özel Sayısı, Nisan.
• Hepsen, A. and Kalfa, N. (2009). Housing market activity and macroeconomic variables: An analysis of Turkish dwelling market under new mortgage system. Istanbul University Journal of the School of Business Administration, 38(1), 38–46.
• Itô, K. (1944). On the ergodicity of a certain stationary process. Proceedings of the Imperial Academy, 20(2), 54–55.
• Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2-3), 231–254.
• Johansen, S. (1995). Likelihood-based Inference in Cointegrated Vector Autoregressive Models, OUP Catalogue.
• Kapusuzoglu, A. (2013). Testing weak form market efficiency on the Istanbul stock exchange (ise). Int.J.Buss.Mgt.Eco.Res.,4(2), 700–705.
• Karan, M. B., & Kapusuzoğlu, B. (2010). An analysis of the random walk and overreaction hypotheses through optimum portfolios constructed by the nonlinear programming model. Australian Journal of Basic Application Sciences, 4(6), 1215–1220.
• Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of econometrics, 112(2), 359–379.
• Kendall, M. G. (1953), The analysis of economic timeseries—Part I: Prices. Journal of the Royal Statistical Society. Series A (General) 116(1), 11–25.
• Keynes, J. M. (1936), The General Theory of Employment, Interest and Money, Macmillan, London.
• Koçoğlu, Ş., Çevik, Y. E., & Tanrıöven, C. (2016). Bitcoin piyasalarının etkinliği, likiditesi ve oynaklığı. Journal of Business Research-Türk, 77-97.
• Kolmogorov, A. N. (1931), Über die analytischen Methoden in der Wahrscheinlichkcitsrechnung, Math. Ann., 104, 415–458 . [English translation, 62–108, Kluwer Acad., Dordrecht, Netherlands, 1992].
• Kuo, C. L. (1996). Serial correlation and seasonality in the real estate market. Journal of Real Estate Finance and Economics 12(2), 139–162.
• Kwiatkowski, D., Peter, C.B. Phillips, P. Schmidt, P. ve Y. Shin (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159–178.
• Lanne, M., Lütkepohl, H. & Saikkonen, P. (2002). Comparison of unit root tests for time series with level shifts. Journal of Time Series Analysis, 23(6), 667–685.
• Lee, J. ve Strazicich, M. C. (2003). Minimum LM unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082–1089.
• Lee, J., & Strazicich, M. C. (2004). Minimum LM unit root test with one structural break. Manuscript, Department of Economics, Appalachian State University, 1–16.
• Linneman, P. (1986). An empirical test of the efficiency of the housing market. Journal of Urban Economics, 20(2), 140–154.
• Lumsdaine, R. L & Papell, D. H. (1997). Multiple trend breaks and the unit root hypothesis. Review of Economics and Statistics, 79(2), 212–218.
• Maki, D. (2012). Tests for cointegration allowing for an unknown number of breaks. Economic Modelling, 29(5), 2011–2015.
• Malcioglu, G., & Aydin, M. (2016). Borsa İstanbul’da piyasa etkinliginin analizi: Harvey Doğrusallık testi/analysis of market efficiency at borsa ıstanbul: harvey linearity test. Journal of Accounting, Finance and Auditing Studies, 2(1), 112.
• Martina, E., Rodriguez, E., Escarela-Perez, R., & Alvarez-Ramirez, J. (2011). Multiscale entropy analysis of crude oil price dynamics. Energy Econ, 33, 936–947.
• Narayan, P. K. & Popp, S., (2010). A new unit root test with two structural breaks in level and slope at unknown time. Journal of Applied Statistics, 37(9), 1425–1438.
• Ng,S., & Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69, 1519–1554.
• Ntim, C. G., English, J., Nwachukwu, J., & Wang, Y. (2015). On the efficiency of the global gold markets. International Review of Financial Analysis,41, 218–236.
• Ortiz-Cruz, A., Rodriguez, E., Ibarra-Valdez, Alvarez-Ramirez, J. (2012). Efficiency of crude oil markets: evidences from informational entropy analysis. Energy Policy, 41, 365–373.
• Özcan, B. & Yılancı, V. (2009). Türk hisse senedi piyasasının zayıf formda etkinliğinin testi. Iktisat Isletme ve Finans, 24(274), 100–115.
• Özdemir, Z. A. (2008). Efficient market hypothesis: Evidence from a small openeconomy. Applied Economics, 40, 633–641.
• Özer, G. & Ertokatlı, C. (2010). Chaotic processes of common stock index returns: An empirical examination on Istanbul Stock Exchange (ISE) market. African Journal of Business Management, 4(6), 1140-1148.
• Özkan, T., & Güngör, B. (2017). Geometrik Brownıan Hareketi Modeli ile endeks dalgalanmalarını değerlendirme: Bıst-30, Bıst-100 ve S&P 500 endeksleri üzerine bir uygulama. Ataturk University Journal of Economics & Administrative Sciences, 31(2).
• Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: Journal of the Econometric Society, 1361-1401.
• Perron, P., Vogelsang, T. (1992). Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business and Economic Statistics, 10, 301–320.
• Phillips P., & Perron P. (1988). Testing for a unit root in time series regression. Biometrikua, 75, 335–346.
• Pollakowski, H. O., & Ray, T. S. (1997). Housing price diffusion patterns at different aggregation levels: an examination of housing market efficiency. Journal of Housing Research, 107–124.
• Rayburn, W., Devaney, M., & Evans, R. (1987). A test of weak‐form efficiency in residential real estate returns. Real Estate Economics, 15(3), 220–233.
• Rayleigh, L. (1880). On the resultant of a large number of vibrations of the same pitch and of arbitrary phase. Philosophical Magazine, 10, 73–78.
• Regnault, J. (1863). Calcul des Chances et Philosophie de la Bourse. Mallet-Bachelier et Castel, Paris.
• Saikkonen, P., & Lütkepohl, H. (2002). Testing for a unit root in a Time Series with a level shift at unknown time. Econometric Theory, 18(2), 313–348.
• Sewell, M. (2011). History of the efficient market hypothesis. RN, 11(04).
• Shimotsu, K. & Phillips, P.C.B. (2005). Exact local whittle estimation of fractional ıntegration. Annals of Statistics, 33, 1890–1933.
• Shin, Y. (1994). A residual-based test of the null of cointegration against the alternative of no cointegration. Econometric Theory, 10, 91–115.
• Tanrıöver B. ve Çöllü D. A. (2015). Türkiye’de yatırımcıların öngörü performanslarının rassal yürüyüş modeli çerçevesinde analizi. Business and Economics Research Journal, 6(2), 127–139.
• TCMB, 2018. Konut Fiyat Endeksi Metaveri. http://www.tcmb.gov.tr/wps/wcm/connect/ b4628fa9-11a7-4426-aee6-dae67fc56200/KFEMetaveri.pdf?MOD=AJPERES&CACHEID=R OOTWORKSPACE-b4628fa9-11a7-4426-aee6dae67fc56200-m8KAKBK (Erişim tarihi: 09 Kasım 2018).
• Telatar, E., Türkmen, Ş., & Teoman, Ö. (2002). Pamuk borsalarında oluşan fiyatların etkinliği. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 17(2), 55–74.
• Tuna, G., & Öztürk, M. (2016). Piyasa etkinliğinin yapısal kırılmalı birim kök testleri ile incelenmesi: Türkiye pay senedi piyasası uygulaması. Uluslararası Yönetim İktisat ve İşletme Dergisi, 30, 548–559.
• Tüik. (2017). Konut Satış İstatistikleri. İlk satış ve ikinci el satış ayrıntısında illere ve yıllara göre konut satış sayıları, 2013-2018. http://www.tuik. gov.tr/PreTablo.do?alt_id=1056 (Erişim Tarihi, 30 Ekim 2018).
• Tüik. (2018a). İstatistiklerle Aile. Hanehalkı tiplerine ve büyüklüklerine göre hanehalkı sayısı. http://www.tuik.gov.tr/PreHaberBultenleri. do?id=27597 (Erişim Tarihi, 30 Ekim 2018).
• Tüik. (2018b). Gelir ve Yaşam Koşulları Araştırması. Eşdeğer hanehalkı kullanılabilir fert medyan gelir grupları ve konut ve çevre sorunlarına göre kurumsal olmayan nüfusun dağılımı, 2006-2017. http://www.tuik.gov.tr/PreHaberBultenleri. do?id=27597 (Erişim Tarihi, 30 Ekim 2018).
• Türkyılmaz S. ve Balibey M. (2014). Türkiye hisse senedi piyasası getiri ve oynaklığındaki uzun dönem bağımlılık için ampirik bir analiz. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(2), 281–302.
• Uhlenbeck, G. E., & Ornstein, L. S. (1930). On the theory of the Brownian motion. Physical review, 36(5), 823–841.
• Urquhart, A. (2017). How predictable are precious metal returns? The european journal of finance, 23(14), 1390–1413.
• Venn, J. (1888). The Logic of Chance, an Essay on the Foundations and Province of the Theory of Probability with Special References to its Logical Bearings and its Application to Moral and Social Sciences, and to Statistics, third edition, MacMillan, London.
• Wiener, N. (1923). Differential‐Space. Journal of Mathematics and Physics, 2(1-4), 131–174.
• Yücel, Ö. (2016). Finansal piyasa etkinliği: Borsa İstanbul üzerine bir uygulama. International Review of Economics and Management, 4(3), 107–123.
• Zeren, F., Kara, H., & Arı, A. (2013). Piyasa etkinliği hipotezi: İMKB için ampirik bir analiz. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 36, 141–148.
• Zivot, E & Andrews, D. (1992). Further evidence of the great crash, the oil-price shock and the unitroot hypothesis. Journal of Business and Economic Statistics, 10, 251–70.