TY  - JOUR
T1  - Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application
TT  - Adaptif Piyasa Hipotezinin Kırılgan Beşli Ülkeleri için Test Edilmesi: Zamanla Değişen KSS Birim Kök Testi Uygulaması
AU  - Zeren, Feyyaz
AU  - Eryılmaz, Serkan
AU  - Yılmaz, Tayfun
PY  - 2025
DA  - March
Y2  - 2025
DO  - 10.54821/uiecd.1568223
JF  - International Journal of Business and Economic Studies
JO  - BES JOURNAL
PB  - Mesut DOĞAN
WT  - DergiPark
SN  - 2718-0247
SP  - 70
EP  - 80
VL  - 7
IS  - 1
LA  - en
AB  - In this study, the validity of the Adaptive Market Hypothesis (AMH) for the Fragile Five countries (India, Brazil, Indonesia, Turkey, and South Africa) was investigated through daily data for the period 01.09.2013-30.06.2024. As a result of the time-varying KSS unit root test developed by Kapetanios, Shin and Snell (2003), it was found that the periodic weak form of market efficiency is valid for the Fragile Five countries and the AMH was confirmed for these markets. Therefore, it is understood that the random walk hypothesis is periodically valid and investors who use technical analysis methods have the potential to earn higher-than-normal returns when the random walk is not valid.
KW  - Adaptive Market Hypothesis
KW  - Fragile Five Countries
KW  - Time-Varying KSS Unit Root Test
N2  - Bu çalışmada, Kırılgan Beşli ülkeleri (Hindistan, Brezilya, Endonezya, Türkiye ve Güney Afrika) için Adaptif Piyasa Hipotezi'nin (APH) geçerliliği 01.09.2013-30.06.2024 dönemine ait günlük veriler kullanılarak araştırılmıştır. Kapetanios, Shin ve Snell (2003) tarafından geliştirilen zamanla değişen KSS birim kök testi sonucunda piyasa etkinliğinin dönemsel zayıf formunun Kırılgan Beşli ülkeleri için geçerli olduğu tespit edilmiş ve bu piyasalar için APH doğrulanmıştır. Dolayısıyla, rassal yürüyüş hipotezinin dönemsel olarak geçerli olduğu ve teknik analiz yöntemlerini kullanan yatırımcıların rassal yürüyüşün geçerli olmadığı durumlarda normalden daha yüksek getiri elde etme potansiyeline sahip olduğu anlaşılmaktadır.
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UR  - https://doi.org/10.54821/uiecd.1568223
L1  - http://dergipark.org.tr/tr/download/article-file/4291959
ER  -