BibTex RIS Kaynak Göster

Belirsiz Bilgi Hipotezi Üzerine Ampirik Bir İnceleme: Borsa İstanbul Örneği

Yıl 2013, Cilt: 7 Sayı: 2, 101 - 119, 01.12.2013

Öz

Bu çalışma, Ekim 2004 ile Eylül 2011 arasında Borsa İstanbul’a ulaşan, büyük öneme sahip, politik ve ekonomik haberlere yatırımcıların verdiği tepkileri incelemektedir. Çalışmanın ampirik sonuçları Aşırı Tepki Verme Hipotezinin öngörülerini desteklememekle birlikte sonuçlar Belirsiz Bilgi Hipotezi ile tutarlı bulunmuştur. Dolayısıyla Türkiye’deki yatırımcıların beklenmeyen bilgilere karşı menkul kıymet fiyatlarını temel değerlerinin altında belirlediği görülmüştür. Ancak çalışmanın sonuçları önceki dönemleri inceleyen çalışmalarla karşılaştırıldığında, bu etkinin azaldığı ve Borsa İstanbul’un 2004-2011 döneminde daha etkin hale geldiği sonucuna ulaşılmıştır

Kaynakça

  • Bush, P. J., Mehdian, S. M., and Perry, M. J. (2010). A Cross-Industry Analysis of Investors’ Reaction to Information Surprises: Evidence from NASDAQ Sectors. International Review of Accounting, Banking and Finance, 2(2): 85- 103.
  • Cootner (Ed.), P. H. (1964). The Random Character of Stock Market Prices. MIT Press, Cambridge, Massachusetts.
  • Cox, D. R., and Peterson, D. R. (1994). Stock Returns Following Large One- day Declines: Evidence on Short-term Reversals, Long-term Performance. Journal of Finance, 49: 255–267.
  • De Medeiros, O. R. (2005). Reaction of the Brazilian Stock Market to Positive and Negative Shocks. http://ssrn.com/abstract=868464.
  • DeBondt, W. F., and Thaler, R. H. (1985). Does the Stock Market Overreact? Journal of Finance, 40: 793−805.
  • DeBondt, W. F., and Thaler, R. H. (1987). Further Evidence on Investor Overreaction and Stock Market Seasonality. Journal of Finance, 42: 557−581.
  • Dickey, D. A. and Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4): 1057- 1072.
  • Erzurumlu, Y. O. (2011). Investor Reaction to Market Surprises on the Istanbul Stock Exchange. Dogus Universitesi Dergisi, 12 (2): 213-225.
  • Fama, E., (1965). The Behavior of Stock Market Prices. Journal of Business, 38: 34–105.
  • Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25: 383-417.
  • Howe, J. S. (1986). Evidence on Stock Market Overreaction. Financial Analysts Journal, 74-77.
  • Mehdian, S., Perry, M. J., and Nas, T. (2008). An Examination of Investor Reaction to Unexpected Political and Economic Events in Turkey, Global Finance Journal, 18: 337-350.
  • Pettengill, G. N. and Jordan, B. D. (1990). The Overreaction Hypothesis, Firm Size, and Stock Market Seasonality, Journal of Portfolio Management, 16 (3): 60-64.
  • Pham, V. T. L., Nguyen, D. Q. T. and Tô, T. (2008). Abnormal Returns after Large Stock Price Changes: Evidence from Asia-Pacific Markets. In M. McKenzie, and S. Kim (Eds.), Asia-Pacific Financial Markets: Integration, Innovation and ChallengesInternational Finance Review, 8: 205-227.
  • Rezvanian, R., Turk, R. S. and Mehdian, S. M. (2011). Investors’ Reactions to Sharp Price Change: Evidence from Equity Markets of the People’s Republic of China. Global Finance Journal, 22: 1-18.
  • Samuelson, P., (1965). Proof That Properly Anticipated Prices Fluctuate Randomly. Industrial Management Review, 6: 41–49.
  • Sevim, S., Yildiz, B., and Akkoc, S. (2007). Overreaction Hypothesis and an Empirical Work on the Istanbul Stock Exchange. Istanbul Stock Exchange Review, 9 (35): 21-36.
  • Shachmurove, Y. (2002). The Behavior of Secondary European Stock Markets to Positive and Negative Shocks. International Journal of Business,7(2): 1-16.
  • Zarowin, P. (1989). Does the Stock Market Overreact to Corporate Earning Information? Journal of Finance, 44 (5):1385-1399.

An Empirical Investigation of the Uncertain Information Hypothesis: Evidence From Borsa Istanbul

Yıl 2013, Cilt: 7 Sayı: 2, 101 - 119, 01.12.2013

Öz

This paper investigates the reaction of investors to the arrival of major political and economical news in Borsa Istanbul from October 2004 to September 2011. While the empirical results of the paper cannot support the prediction of Overreaction Hypothesis, they are consistent with the Uncertain Information Hypothesis which means investors in Turkey set security prices below their fundamental values in response to unexpected information. In comparison with the studies examining previous periods, we found that this impact is diminishing and Borsa Istanbul has become more efficient for the period of 2004 to 2011

Kaynakça

  • Bush, P. J., Mehdian, S. M., and Perry, M. J. (2010). A Cross-Industry Analysis of Investors’ Reaction to Information Surprises: Evidence from NASDAQ Sectors. International Review of Accounting, Banking and Finance, 2(2): 85- 103.
  • Cootner (Ed.), P. H. (1964). The Random Character of Stock Market Prices. MIT Press, Cambridge, Massachusetts.
  • Cox, D. R., and Peterson, D. R. (1994). Stock Returns Following Large One- day Declines: Evidence on Short-term Reversals, Long-term Performance. Journal of Finance, 49: 255–267.
  • De Medeiros, O. R. (2005). Reaction of the Brazilian Stock Market to Positive and Negative Shocks. http://ssrn.com/abstract=868464.
  • DeBondt, W. F., and Thaler, R. H. (1985). Does the Stock Market Overreact? Journal of Finance, 40: 793−805.
  • DeBondt, W. F., and Thaler, R. H. (1987). Further Evidence on Investor Overreaction and Stock Market Seasonality. Journal of Finance, 42: 557−581.
  • Dickey, D. A. and Fuller, W. A. (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49(4): 1057- 1072.
  • Erzurumlu, Y. O. (2011). Investor Reaction to Market Surprises on the Istanbul Stock Exchange. Dogus Universitesi Dergisi, 12 (2): 213-225.
  • Fama, E., (1965). The Behavior of Stock Market Prices. Journal of Business, 38: 34–105.
  • Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25: 383-417.
  • Howe, J. S. (1986). Evidence on Stock Market Overreaction. Financial Analysts Journal, 74-77.
  • Mehdian, S., Perry, M. J., and Nas, T. (2008). An Examination of Investor Reaction to Unexpected Political and Economic Events in Turkey, Global Finance Journal, 18: 337-350.
  • Pettengill, G. N. and Jordan, B. D. (1990). The Overreaction Hypothesis, Firm Size, and Stock Market Seasonality, Journal of Portfolio Management, 16 (3): 60-64.
  • Pham, V. T. L., Nguyen, D. Q. T. and Tô, T. (2008). Abnormal Returns after Large Stock Price Changes: Evidence from Asia-Pacific Markets. In M. McKenzie, and S. Kim (Eds.), Asia-Pacific Financial Markets: Integration, Innovation and ChallengesInternational Finance Review, 8: 205-227.
  • Rezvanian, R., Turk, R. S. and Mehdian, S. M. (2011). Investors’ Reactions to Sharp Price Change: Evidence from Equity Markets of the People’s Republic of China. Global Finance Journal, 22: 1-18.
  • Samuelson, P., (1965). Proof That Properly Anticipated Prices Fluctuate Randomly. Industrial Management Review, 6: 41–49.
  • Sevim, S., Yildiz, B., and Akkoc, S. (2007). Overreaction Hypothesis and an Empirical Work on the Istanbul Stock Exchange. Istanbul Stock Exchange Review, 9 (35): 21-36.
  • Shachmurove, Y. (2002). The Behavior of Secondary European Stock Markets to Positive and Negative Shocks. International Journal of Business,7(2): 1-16.
  • Zarowin, P. (1989). Does the Stock Market Overreact to Corporate Earning Information? Journal of Finance, 44 (5):1385-1399.
Toplam 19 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Research Article
Yazarlar

Soner Akkoç Bu kişi benim

Nasıf Özkan Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2013
Yayımlandığı Sayı Yıl 2013 Cilt: 7 Sayı: 2

Kaynak Göster

APA Akkoç, S., & Özkan, N. (2013). An Empirical Investigation of the Uncertain Information Hypothesis: Evidence From Borsa Istanbul. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 7(2), 101-119.