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Zayıf Formda Piyasa Etkinliğinin Asimetrik Doğrusal Olmayan Birim Kök Testi ile Analizi: G-7 ve E-7 Ülkeleri Örneği

Yıl 2015, Cilt: 9 Sayı: 2, 73 - 90, 01.12.2015

Öz

Bu çalışmanın amacı, Etkin Piyasalar Hipotezi çerçevesinde G-7 ve E-7 ülkelerine ait hisse senedi piyasalarının zayıf formda etkinliğinin araştırılmasıdır. Çalışmanın amacı doğrultusunda, G-7 ve E-7 ülkelerine ait borsa endeksi serilerinin rassal yürüyüş izleyip izlemediği asimetrik doğrusal olmayan birim kök testi kullanılarak test edilmiştir. Elde edilen ampirik sonuçlara göre, G-7 ülkelerinden ABD, Fransa, İtalya ve Japonya ülke piyasalarının zayıf formda etkin olduğu ancak Almanya, İngiltere ve Kanada ülke piyasalarının etkin olmadığı sonucuna ulaşılmıştır. E-7 ülkelerinde ise Brezilya, Çin, Endonezya, Hindistan, Meksika ve Türkiye ülke piyasalarının zayıf formda etkin olduğu, Rusya ülke piyasasının ise zayıf formda etkin bir piyasa olmadığı anlaşılmıştır. Ayrıca çalışmadan çıkarılan diğer bir sonuca göre zayıf etkin piyasa olmadığı belirlenen Almanya, İngiltere, Kanada ve Rusya’ya ait hisse senedi piyasaları, aynı şiddetteki pozitif ve negatif şoka aynı şekilde tepki vermektedir

Kaynakça

  • Barberis, N. ve Thaler, R.H.. (2002). A Survey of Behavioral Finance. Nber Work- ing Paper 9222, September.
  • Bildik, R.. (2000). Hisse Senedi Piyasalarında Dönemsellikler ve İMKB Üzerine Ampirik Bir Çalışma. İMKB Yayınları, Mart Mat. Sanatlar Ltd. Şti., İstanbul.
  • De Bondt, W.F.M. ve Thaler, R.. (1985). Does the Stock Market Overreact? The Journal of Finance, 40(3): 793-805.
  • De Bondt, W.F.M. ve Thaler, R.. (1987). Further Evidence on Investor Overreac- tion and Stock Market Seasonality. The Journal of Finance, 42(3): 557-581.
  • Dickey, D.A. ve Fuller, W.A.. (1979). Distribution of the Estimators for Auto- regressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366): 427–431.
  • Duman-Atan, S., Özdemir, Z.A. ve Atan, M.. (2009). Hisse Senedi Piyasasında Zayıf Formda Etkinlik: İMKB Üzerine Ampirik Bir Çalışma. Dokuz Eylül Üniver- sitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2): 33-48.
  • Eken , H. ve Adalı, S.. (2008). Piyasa Etkinliği ve İMKB: Zayıf Formda Etkinliğe İlişkin Ekonometrik Bir Analiz. Muhasebe ve Finansman Öğretim Üyeleri Bilim ve Araştırma Derneği (MUFAD) Dergisi, 37: 1-16.
  • Fama, E.F.. (1965). The Behaviour of Stock Market Prices. The Journal of Busi- ness, 38(1): 34-105.
  • Fama, E.F.. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 35(2): 383-417.
  • Hamid, K., Suleman, M.T., Shah, S.Z.A. ve Akash, R.S.I.. (2010). Testing the Weak form of Efficient Market Hypothesis: Empirical Evidence from Asia-Pacific Markets. International Research Journal of Finance and Economics, 58: 121-133.
  • Kapetanios, G., Shin, Y. ve Snell, A.. (2003). Testing for a Unit Root in the Non- linear STAR Framework. Journal of Econometrics, 112(2): 359-379.
  • Karadagli, E.C. ve Omay, N.C.. (2012). Testing Weak Form Market Efficiency of Emerging Markets: A Nonlinear Approach. Journal of Applied Economic Scienc- es, 7(3): 235-245.
  • Luukkonen, R., Saikkonen, P. ve Terasvirta, T.. (1988). Testing Linearity against Smooth Transition Autoregressive Models. Biometrika, 75(3): 491-499.
  • Mobarak, A. ve Fiorante, A.. (2014). The Prospects of BRIC Countries: Testing Weak-Form Market EfŞciency. Research in International Business and Finance, 30: 217-232.
  • Munir, Q. ve Mansur, K.. (2009). Is Malaysian Stock Market Efficient? Eviden- ce from Threshold Unit Root Tests. Economics Bulletin, 29(2): 1359-1370.
  • Murthy, V.N.R., Washer, K. ve Wingender, J.. (2011). Do U.S. Stock Prices Exhibit Mean Reversion? Evidence from Recent Nonlinear Unit Root Tests. International Research Journal of Finance and Economics, 68: 46-49.
  • Narayan, P.K.. (2005). Are the Australian and New Zealand Stock Prices Non- linear with a Unit Root? Applied Economics, 37(18): 2161-2166.
  • Narayan, P.K.. (2008). Do Shocks to G7 Stock Prices Have a Permanent Effect? Evidence from Panel Unit Root Tests with Structural Change. Mathematics and Computers in Simulation, 77(4): 369-373.
  • Narayan, P.K. ve Smyth, R.. (2004). Is South Korea’s Stock Market Efficient? Applied Economics Letters, 11(11): 707-710.
  • Özdemir, Z.A.. (2008). Efficient Market Hypothesis: Evidence From a Small Open- Economy. Applied Economics, 40(5): 633-641.
  • Patel, N.R., Radadia, N. ve Dhawan, J.. (2012). An Empirical Study on Weak- Form of Market Efficiency of Selected Asian Stock Markets. Journal of Applied Finance & Banking, 2(2): 99-148.
  • Shleifer, A.. (2000). Inefficient Markets: An Introduction to Behavioral Finance. Oxford University Press.
  • Sollis, R.. (2009). A Simple Unit Root Test against Asymmetric STAR Nonlinearity with an Application to Real Exchange Rates in Nordic Countries. Economic Mo- delling, 26(1): 118-125.
  • Tiwari, A.K. ve Kyophilavong, P.. (2014). New Evidence from the Random Walk Hypothesis for BRICS Stock Indices: A Wavelet Unit Root Test Appro- ach. Economic Modelling, 43: 38-41.
  • Vaknin, S.. (2002). Economics: Psychology’s Neglected Branch. Working Paper.
  • Zeren, F., Kara, H., ve Arı, A.. (2013). Piyasa Etkinliği Hipotezi: İMKB için Am- pirik bir Analiz. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 36: 141-148.

The Analysis of Weak Form Efficiency with Asymmetric Nonlinear Unit Root Test: The Case of G-7 and E-7 Countries

Yıl 2015, Cilt: 9 Sayı: 2, 73 - 90, 01.12.2015

Öz

The Analysis of Weak Form Efficiency with Asymmetric Nonlinear Unit Root Test: The Case of G-7 and E-7 CountriesThe goal of this paper is to investigate the weak form efficiency of the stock markets of G-7 and E-7 countries within the framework of Efficient Market Hypothesis. Towards to the goal of paper, we test whether the stock market indices of G-7 and E-7 countries follow random walk or not, using asymmetric nonlinear unit root test. The empirical findings show that the stock markets of France, Italy, Japan and the USA have weak-form efficiency, but the stock markets of Canada, Germany and the UK are not weak form efficient. The empirical results also show that the stock markets of Brazil, China, India, Indonesia, Mexico and Turkey have weak form efficiency, but the stock market of Russia is not weak form efficient. Besides, the inefficient stock markets which of Canada, Germany, Russia and the UK response in the same way to positive and negative deviations of the same proportionate amount

Kaynakça

  • Barberis, N. ve Thaler, R.H.. (2002). A Survey of Behavioral Finance. Nber Work- ing Paper 9222, September.
  • Bildik, R.. (2000). Hisse Senedi Piyasalarında Dönemsellikler ve İMKB Üzerine Ampirik Bir Çalışma. İMKB Yayınları, Mart Mat. Sanatlar Ltd. Şti., İstanbul.
  • De Bondt, W.F.M. ve Thaler, R.. (1985). Does the Stock Market Overreact? The Journal of Finance, 40(3): 793-805.
  • De Bondt, W.F.M. ve Thaler, R.. (1987). Further Evidence on Investor Overreac- tion and Stock Market Seasonality. The Journal of Finance, 42(3): 557-581.
  • Dickey, D.A. ve Fuller, W.A.. (1979). Distribution of the Estimators for Auto- regressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366): 427–431.
  • Duman-Atan, S., Özdemir, Z.A. ve Atan, M.. (2009). Hisse Senedi Piyasasında Zayıf Formda Etkinlik: İMKB Üzerine Ampirik Bir Çalışma. Dokuz Eylül Üniver- sitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2): 33-48.
  • Eken , H. ve Adalı, S.. (2008). Piyasa Etkinliği ve İMKB: Zayıf Formda Etkinliğe İlişkin Ekonometrik Bir Analiz. Muhasebe ve Finansman Öğretim Üyeleri Bilim ve Araştırma Derneği (MUFAD) Dergisi, 37: 1-16.
  • Fama, E.F.. (1965). The Behaviour of Stock Market Prices. The Journal of Busi- ness, 38(1): 34-105.
  • Fama, E.F.. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 35(2): 383-417.
  • Hamid, K., Suleman, M.T., Shah, S.Z.A. ve Akash, R.S.I.. (2010). Testing the Weak form of Efficient Market Hypothesis: Empirical Evidence from Asia-Pacific Markets. International Research Journal of Finance and Economics, 58: 121-133.
  • Kapetanios, G., Shin, Y. ve Snell, A.. (2003). Testing for a Unit Root in the Non- linear STAR Framework. Journal of Econometrics, 112(2): 359-379.
  • Karadagli, E.C. ve Omay, N.C.. (2012). Testing Weak Form Market Efficiency of Emerging Markets: A Nonlinear Approach. Journal of Applied Economic Scienc- es, 7(3): 235-245.
  • Luukkonen, R., Saikkonen, P. ve Terasvirta, T.. (1988). Testing Linearity against Smooth Transition Autoregressive Models. Biometrika, 75(3): 491-499.
  • Mobarak, A. ve Fiorante, A.. (2014). The Prospects of BRIC Countries: Testing Weak-Form Market EfŞciency. Research in International Business and Finance, 30: 217-232.
  • Munir, Q. ve Mansur, K.. (2009). Is Malaysian Stock Market Efficient? Eviden- ce from Threshold Unit Root Tests. Economics Bulletin, 29(2): 1359-1370.
  • Murthy, V.N.R., Washer, K. ve Wingender, J.. (2011). Do U.S. Stock Prices Exhibit Mean Reversion? Evidence from Recent Nonlinear Unit Root Tests. International Research Journal of Finance and Economics, 68: 46-49.
  • Narayan, P.K.. (2005). Are the Australian and New Zealand Stock Prices Non- linear with a Unit Root? Applied Economics, 37(18): 2161-2166.
  • Narayan, P.K.. (2008). Do Shocks to G7 Stock Prices Have a Permanent Effect? Evidence from Panel Unit Root Tests with Structural Change. Mathematics and Computers in Simulation, 77(4): 369-373.
  • Narayan, P.K. ve Smyth, R.. (2004). Is South Korea’s Stock Market Efficient? Applied Economics Letters, 11(11): 707-710.
  • Özdemir, Z.A.. (2008). Efficient Market Hypothesis: Evidence From a Small Open- Economy. Applied Economics, 40(5): 633-641.
  • Patel, N.R., Radadia, N. ve Dhawan, J.. (2012). An Empirical Study on Weak- Form of Market Efficiency of Selected Asian Stock Markets. Journal of Applied Finance & Banking, 2(2): 99-148.
  • Shleifer, A.. (2000). Inefficient Markets: An Introduction to Behavioral Finance. Oxford University Press.
  • Sollis, R.. (2009). A Simple Unit Root Test against Asymmetric STAR Nonlinearity with an Application to Real Exchange Rates in Nordic Countries. Economic Mo- delling, 26(1): 118-125.
  • Tiwari, A.K. ve Kyophilavong, P.. (2014). New Evidence from the Random Walk Hypothesis for BRICS Stock Indices: A Wavelet Unit Root Test Appro- ach. Economic Modelling, 43: 38-41.
  • Vaknin, S.. (2002). Economics: Psychology’s Neglected Branch. Working Paper.
  • Zeren, F., Kara, H., ve Arı, A.. (2013). Piyasa Etkinliği Hipotezi: İMKB için Am- pirik bir Analiz. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, 36: 141-148.
Toplam 26 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Aycan Hepsağ Bu kişi benim

Burçay Yaşar Akçalı Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2015
Yayımlandığı Sayı Yıl 2015 Cilt: 9 Sayı: 2

Kaynak Göster

APA Hepsağ, A., & Yaşar Akçalı, B. (2015). Zayıf Formda Piyasa Etkinliğinin Asimetrik Doğrusal Olmayan Birim Kök Testi ile Analizi: G-7 ve E-7 Ülkeleri Örneği. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 9(2), 73-90.