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Testing adaptive market hypothesis in global islamic stock markets: evidence from markov-switching adf test

Yıl 2021, Cilt 2021, Sayı 44, 425 - 449, 30.04.2021
https://doi.org/10.28949/bilimname.866724

Öz

Although market efficiency has been extensively examined in the literature, the studies generally focus on conventional stock markets. Since market efficiency is related to a well-functioning market, it is of great importance for the efficient allocation of resources and also providing sustainable economic growth. Market efficiency is not only important for conventional stock markets but also for the Islamic stock market as the Islamic stock markets are gaining prominence. An increase in the scope of Islamic markets worldwide creates the motivation for investigating the efficiency of Islamic stock markets. Hence there is a growing interest in Islamic stock markets. With a limited number of studies that analyze the efficient market hypothesis in Islamic stock markets, this paper aims to examine market efficiency in the global Islamic stock markets via Markov-Switching Augmented Dickey-Fuller (MS-ADF) test. The linear unit root test result shows that the global Islamic stock market indices exhibit random walk properties that are consistent with the Efficient Market Hypothesis. On the other hand, nonlinear test results suggest global Islamic stock markets exhibit two-state regime-switching characteristics. The MS-ADF test results indicate that the world and developed Islamic stock markets are stationary only in the high volatility regime and this finding supports the Adaptive Market Hypothesis. However, the emerging Islamic stock market is found to be stationary in both regimes that are contradictory for weak-form efficiency.

Kaynakça

  • ALI, S., SHAHZAD, S. J. H., RAZA, N., & Al-YAHYAEE, K. H. (2018). Stock market efficiency: A comparative analysis of Islamic and conventional stock markets. Physica A: Statistical Mechanics and Its Applications, 503, 139-153.
  • Al-KHAZALI, O., & MIRZAEI, A. (2017). Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices. Journal of International Financial Markets, Institutions and Money, 51, 190–208.
  • ALOUI, C., HKIRI, B., LAU, C. K. M., & YAROVAYA, L. (2016). Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis. Finance Research Letters, 19, 54-59.
  • ALVAREZ-DÍAZ, M., HAMMOUDEH, S., & GUPTA, R. (2014). Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions. The North American Journal of Economics and Finance, 29, 22-35.
  • ALVAREZ-RAMIREZ, J., RODRIGUEZ, E., & ESPINOSA-PAREDES, G. (2012). Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data. Physica A: Statistical Mechanics and Its Applications, 391(22), 5643–5647.
  • BOUOIYOUR, J., SELMI, R., & WOHAR, M. E. (2018). Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis. Finance Research Letters, 26, 100-105.
  • CARRASCO, M., HU, L., & PLOBERGER, W. (2009). Optimal test for Markov switching. Econometrica, 82(2), 765-784.
  • CEVIK, E. I., & BUGAN, M. F. (2018). Regime-dependent relation between Islamic and conventional financial markets. Borsa Istanbul Review, 18 (2), 114-121.
  • CEVIK, E. I., & DIBOOGLU, S. (2013). Persistence and non-linearity in US unemployment: A regime-switching approach. Economic Systems, 37(1), 61-68.
  • CEVIK, E. I., YILDIRIM, D. Ç., & DIBOOGLU, S. (2020). Renewable and non-renewable energy consumption and economic growth in the US: A Markov-Switching VAR analysis. Energy & Environment, 0958305X2094403. doi:10.1177/0958305x20944035
  • CHARFEDDINE, L., KHEDIRI, K. B., AYE, G. C., & GUPTA, R. (2018). Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data. Physica A: Statistical Mechanics and Its Applications, 505, 632–647.
  • Charles, A., Darné, O., & Kim, J. H. (2012). Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates. Journal of International Money and Finance, 31(6), 1607–1626.
  • CHARLES, A., DARNÉ, O., & KIM, J. H. (2017). Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. International Economics, 151, 100–112.
  • CHO, J., & WHITE, H. (2007). Testing for regime switching. Econometrica 75, 1671-1720.
  • DAVIES, R. B. (1987). Hypothesis testing when the nuisance parameter is present only under the alternative. Biometrika 74:33–43.
  • Di SANZO, S. (2009). Testing for linearity in Markov switching models: a bootstrap approach. Statistical Methods and Applications, 18: 153-168.
  • DICKEY, D. A., & FULLER, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.
  • 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., & FRENCH, K. R. (1988a). Dividend yields and expected stock returns. Journal of Financial Economics, 22: 3-25.
  • GARCIA, R. (1998). Asymptotic null distribution of the likelihood ratio test in Markov switching models. International Economic Review 39:763-788.
  • GHAZANI, M. M., & EBRAHIMI, S. B. (2019). Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices. Finance Research Letters, 30, 60–68.
  • GUPTA, R., HAMMOUDEH, S., SIMO-KENGNE, B. D., & SARAFRAZI, S. (2014). Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models? Applied Financial Economics, 24(17), 1147-1157.
  • HALL, S. G., PSARADAKIS, Z., & SOLA, M. (1999). Detecting periodically collapsing bubbles: a Markov-Switching unit root test. Journal of Applied Econometrics, 14, 143-154.
  • HANSEN, B. (1992). The likelihood ratio test under non-standard conditions: testing the Markov switching model of GNP. Journal of Applied Econometrics 7,61-82.
  • HIREMATH, G. S., & KUMARI, J. (2014). Stock returns predictability and the adaptive market hypothesis in emerging markets: Evidence from India. SpringerPlus, 3(1), 428.
  • HOLMES, M. J. (2010). Are Asia-Pacific real exchange rates stationary? A regime-switching perspective. Pacific Economic Review, 15(2), 189-203.
  • JAWADI, F., JAWADI, N., & CHEFFOU, A. I. (2015). Are Islamic stock markets efficient? A time-series analysis. Applied Economics, 47(16), 1686-1697.
  • KANAS, A., & GENIUS, M. (2005). Regime (non)stationarity in the US/UK real exchange rate. Economics Letters, 87, 407-413.
  • KHEDIRI, K. B., & CHARFEDDINE, L. (2015). Evolving efficiency of spot and futures energy markets: A rolling sample approach. Journal of Behavioral and Experimental Finance, 6, 67–79.
  • KHURSHEED, A., NAEEM, M., AHMED, S., & MUSTAFA, F. (2020). Adaptive market hypothesis: An empirical analysis of time –varying market efficiency of cryptocurrencies. Cogent Economics & Finance, 8(1), 1719574.
  • LO, A. W. (2004). The Adaptive Markets Hypothesis. The Journal of Portfolio Management, 30(5), 15–29.
  • LO, A. W. (2005). Reconciling efficient markets with behavioral finance: The adaptive markets hypothesis. Journal of Investment Consulting, 7(2), 21–44.
  • LO, A.W., & MacKinlay A. C. (1988). Stock market prices do not follow random walks: evidence from a simple specification test. Review of Financial Studies, 1: 41-66.
  • MISHRA, A., MISHRA, V., & SMYTH, R. (2015). The random-walk hypothesis on the Indian Stock Market. Emerging Markets Finance and Trade, 51(5), 879-892.
  • NASR, A. B., LUX, T., AJMI, A. N., & GUPTA, R. (2016). Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching. International Review of Economics and Finance, 45, 559–71.
  • NELSON, C. R., PIGER, J. & ZIVOT E. (2001). Markov regime switching and unit-root tests. Journal of Business and Economic Statistics, 19(4), 404-415.
  • RODRIGUEZ, E., AGUILAR-CORNEJO, M., FEMAT, R., & ALVAREZ-RAMIREZ, J. (2014). US stock market efficiency over weekly, monthly, quarterly and yearly time scales. Physica A: Statistical Mechanics and Its Applications, 413, 554–564.
  • SHAHID, M. N., JEHANZEB, M., ABBAS, A., ZUBAIR, A., & AKBAR, M. A. H. (2019a). Predictability of precious metals and adaptive market hypothesis. International Journal of Emerging Markets, ahead-of-print(ahead-of-print).
  • SHAHİD, M. N., SATTAR, A., AFTAB, F., SAEED, A., & ABBAS, A. (2019b). Month of Ramadan effect swings and market becomes adaptive: A firm level evidence through Islamic calendar. Journal of Islamic Marketing, ahead-of-print(ahead-of-print). https://doi.org/10.1108/JIMA-12-2017-0140
  • SHI, S. (2013). Specification sensitivities in the Markov-switching unit root test for bubbles. Empirical Economics 45, 697–713.
  • SIMON, H. A. (1955). A Behavioral Model of Rational Choice. The Quarterly Journal of Economics, 69(1), 99–118.
  • URQUHART, A., & HUDSON, R. (2013). Efficient or adaptive markets? Evidence from major stock markets using very long run historic data. International Review of Financial Analysis, 28, 130–142.
  • XIONG, X., MENG, Y., LI, X., & SHEN, D. (2019). An empirical analysis of the Adaptive Market Hypothesis with calendar effects: Evidence from China. Finance Research Letters, 31.
  • YÜCEL, A. G., & KÖSEOĞLU, A. (2020). Do participation banks contribute to economic growth? Time-series evidence from Turkey. Bilimname, 2020(42), 155-180.

Global islami pay piyasalarinda adaptif piyasa hipotezinin test edilmesi: markov-switching adf testi

Yıl 2021, Cilt 2021, Sayı 44, 425 - 449, 30.04.2021
https://doi.org/10.28949/bilimname.866724

Öz

Etkin Piyasa Hipotezi, piyasaya her gelen yeni bilginin hisse senedi fiyatlarına anında yansıyacağı, böylelikle yatırımcıların anormal getiri elde edemeyeceklerini varsayarak bilgi akışının önemini vurgulamaktadır. Etkin piyasa hipotezinin zayıf form, yarı güçlü form ve güçlü form olmak üzere üç farklı formu bulunmaktadır. Bu sınıflandırma, piyasadaki bilgi türlerine göre oluşturulmuştur. Buna göre, zayıf formda piyasa etkinliğine göre, hisse senedi fiyatları geçmiş fiyatların içerdiği tüm bilgileri içerir. Yarı güçlü piyasa etkinliği ile fiyatlar, halka açık tüm bilgileri yansıtırken etkin piyasa hipotezinin güçlü formda piyasa etkinliğine göre fiyatlar halka açık olan bilgilerin yanısıra özel bilgileri de (insider trading) yansıtır.
Etkin piyasa hipotezinin en önemli temel varsayımlarından birisi yatırımcıların yatırım kararlarında rasyonel hareket etmeleridir. Ancak, yapılan çok sayıda çalışmada, etkin piyasa hipotezi ile çelişen biçimde pay piyasalarındaki anomaliler, bazen getirilerin öngörülebilirliği ve yatırımcıların sınırlı rasyonelliği lehine kanıtlar bulunmaktadır. Ayrıca, psikoloji ve deneysel iktisat alanındaki çeşitli çalışmalar yatırımcıların rasyonaliteden sapmalarına odaklanmış ve sonuç olarak birçok önyargılı ve sezgisel davranış tespit edilmiştir. Bu sonuçlar, yatırımcıların yatırım kararlarında her zaman rasyonel davranmadıklarını ifade eden davranışsal finans yaklaşımının canlanmasına yol açmıştır.
Bu noktada Lo (2004) tarafından önerilen ve etkin piyasa hipotezi ile davranışsal finans arasında bir köprü oluşturan Adaptif Piyasa Hipotezi öne çıkmaktadır. Lo (2004), Simon (1955) tarafından ortaya atılan sınırlı rasyonalite kavramını evrimsel bir bakış açısıyla yeniden ele almıştır. Bu bakış açısı, davranışların doğal seleksiyon (ayıklanma) tarafından evrimleştiğini ima eder. Burada doğal seleksiyon bireysel olarak optimalin altında kalabilen ancak popülasyon perspektifinden bakıldığında optimal olan davranışları gösterir. Buna göre, davranışlar yalın bir şekilde değil büyük ölçüde içeriğe bağlı olarak ele alınır. Lo (2005), adaptif piyasa hipotezinin temellerini şu şekilde ortaya koymuştur: (i) kişisel çıkar, bireysel davranışı karakterize eder; (ii) bireyler hatasız değildir; (iii) ortam rekabetçidir; iv) rekabet, bireyleri öğrenmeye ve uyum sağlamaya zorlar; (v) doğal seleksiyon, toplam piyasa sonuçlarını şekillendirir; (vi) evrim, nihai piyasa dinamiklerini belirler.
Finans alanındaki birçok model, yatırım stratejileri üzerinde önemli etkileri olan piyasa etkinliğine dayanmaktadır. Piyasa etkinliği sadece kaynak tahsisi perspektifi açısından önemli değildir, aynı zamanda yatırımcılar, akademisyenler ve düzenleyici otoriteler için de önemlidir ve konvansiyonel pay piyasaları için etkin piyasa hipotezini inceleyen detaylı bir literatür vardır. Bu bağlamda, son zamanlarda hızlı bir şekilde büyümekte olan ve dini duyarlılığı olan yatırımcılar için alternatifler sunan İslami pay piyasaları için de piyasa etkinliğini incelemek ilgi çekici hale gelmiştir. İslami finans piyasaları için etkin piyasa hipotezinin araştırılmasını önemli kılan ek faktörler vardır çünkü İslami portföylerin oluşma şekli öngörülebilirliğe belli bir derecede katkıda bulunabilir. İki aşamalı şer’i taramanın düşük kaldıraçlı, likiditesi az, varlığa dayalı ve daha az çeşitlendirilmiş portföyler ile sonuçlandığı bilinmektedir. Bu da İslami pay senedi fiyatlarının öngörülebilirliğinin artmasını sağlamaktadır. 

Kaynakça

  • ALI, S., SHAHZAD, S. J. H., RAZA, N., & Al-YAHYAEE, K. H. (2018). Stock market efficiency: A comparative analysis of Islamic and conventional stock markets. Physica A: Statistical Mechanics and Its Applications, 503, 139-153.
  • Al-KHAZALI, O., & MIRZAEI, A. (2017). Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices. Journal of International Financial Markets, Institutions and Money, 51, 190–208.
  • ALOUI, C., HKIRI, B., LAU, C. K. M., & YAROVAYA, L. (2016). Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis. Finance Research Letters, 19, 54-59.
  • ALVAREZ-DÍAZ, M., HAMMOUDEH, S., & GUPTA, R. (2014). Detecting predictable non-linear dynamics in Dow Jones Islamic Market and Dow Jones Industrial Average indices using nonparametric regressions. The North American Journal of Economics and Finance, 29, 22-35.
  • ALVAREZ-RAMIREZ, J., RODRIGUEZ, E., & ESPINOSA-PAREDES, G. (2012). Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data. Physica A: Statistical Mechanics and Its Applications, 391(22), 5643–5647.
  • BOUOIYOUR, J., SELMI, R., & WOHAR, M. E. (2018). Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis. Finance Research Letters, 26, 100-105.
  • CARRASCO, M., HU, L., & PLOBERGER, W. (2009). Optimal test for Markov switching. Econometrica, 82(2), 765-784.
  • CEVIK, E. I., & BUGAN, M. F. (2018). Regime-dependent relation between Islamic and conventional financial markets. Borsa Istanbul Review, 18 (2), 114-121.
  • CEVIK, E. I., & DIBOOGLU, S. (2013). Persistence and non-linearity in US unemployment: A regime-switching approach. Economic Systems, 37(1), 61-68.
  • CEVIK, E. I., YILDIRIM, D. Ç., & DIBOOGLU, S. (2020). Renewable and non-renewable energy consumption and economic growth in the US: A Markov-Switching VAR analysis. Energy & Environment, 0958305X2094403. doi:10.1177/0958305x20944035
  • CHARFEDDINE, L., KHEDIRI, K. B., AYE, G. C., & GUPTA, R. (2018). Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data. Physica A: Statistical Mechanics and Its Applications, 505, 632–647.
  • Charles, A., Darné, O., & Kim, J. H. (2012). Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates. Journal of International Money and Finance, 31(6), 1607–1626.
  • CHARLES, A., DARNÉ, O., & KIM, J. H. (2017). Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. International Economics, 151, 100–112.
  • CHO, J., & WHITE, H. (2007). Testing for regime switching. Econometrica 75, 1671-1720.
  • DAVIES, R. B. (1987). Hypothesis testing when the nuisance parameter is present only under the alternative. Biometrika 74:33–43.
  • Di SANZO, S. (2009). Testing for linearity in Markov switching models: a bootstrap approach. Statistical Methods and Applications, 18: 153-168.
  • DICKEY, D. A., & FULLER, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427-431.
  • 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., & FRENCH, K. R. (1988a). Dividend yields and expected stock returns. Journal of Financial Economics, 22: 3-25.
  • GARCIA, R. (1998). Asymptotic null distribution of the likelihood ratio test in Markov switching models. International Economic Review 39:763-788.
  • GHAZANI, M. M., & EBRAHIMI, S. B. (2019). Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices. Finance Research Letters, 30, 60–68.
  • GUPTA, R., HAMMOUDEH, S., SIMO-KENGNE, B. D., & SARAFRAZI, S. (2014). Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models? Applied Financial Economics, 24(17), 1147-1157.
  • HALL, S. G., PSARADAKIS, Z., & SOLA, M. (1999). Detecting periodically collapsing bubbles: a Markov-Switching unit root test. Journal of Applied Econometrics, 14, 143-154.
  • HANSEN, B. (1992). The likelihood ratio test under non-standard conditions: testing the Markov switching model of GNP. Journal of Applied Econometrics 7,61-82.
  • HIREMATH, G. S., & KUMARI, J. (2014). Stock returns predictability and the adaptive market hypothesis in emerging markets: Evidence from India. SpringerPlus, 3(1), 428.
  • HOLMES, M. J. (2010). Are Asia-Pacific real exchange rates stationary? A regime-switching perspective. Pacific Economic Review, 15(2), 189-203.
  • JAWADI, F., JAWADI, N., & CHEFFOU, A. I. (2015). Are Islamic stock markets efficient? A time-series analysis. Applied Economics, 47(16), 1686-1697.
  • KANAS, A., & GENIUS, M. (2005). Regime (non)stationarity in the US/UK real exchange rate. Economics Letters, 87, 407-413.
  • KHEDIRI, K. B., & CHARFEDDINE, L. (2015). Evolving efficiency of spot and futures energy markets: A rolling sample approach. Journal of Behavioral and Experimental Finance, 6, 67–79.
  • KHURSHEED, A., NAEEM, M., AHMED, S., & MUSTAFA, F. (2020). Adaptive market hypothesis: An empirical analysis of time –varying market efficiency of cryptocurrencies. Cogent Economics & Finance, 8(1), 1719574.
  • LO, A. W. (2004). The Adaptive Markets Hypothesis. The Journal of Portfolio Management, 30(5), 15–29.
  • LO, A. W. (2005). Reconciling efficient markets with behavioral finance: The adaptive markets hypothesis. Journal of Investment Consulting, 7(2), 21–44.
  • LO, A.W., & MacKinlay A. C. (1988). Stock market prices do not follow random walks: evidence from a simple specification test. Review of Financial Studies, 1: 41-66.
  • MISHRA, A., MISHRA, V., & SMYTH, R. (2015). The random-walk hypothesis on the Indian Stock Market. Emerging Markets Finance and Trade, 51(5), 879-892.
  • NASR, A. B., LUX, T., AJMI, A. N., & GUPTA, R. (2016). Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching. International Review of Economics and Finance, 45, 559–71.
  • NELSON, C. R., PIGER, J. & ZIVOT E. (2001). Markov regime switching and unit-root tests. Journal of Business and Economic Statistics, 19(4), 404-415.
  • RODRIGUEZ, E., AGUILAR-CORNEJO, M., FEMAT, R., & ALVAREZ-RAMIREZ, J. (2014). US stock market efficiency over weekly, monthly, quarterly and yearly time scales. Physica A: Statistical Mechanics and Its Applications, 413, 554–564.
  • SHAHID, M. N., JEHANZEB, M., ABBAS, A., ZUBAIR, A., & AKBAR, M. A. H. (2019a). Predictability of precious metals and adaptive market hypothesis. International Journal of Emerging Markets, ahead-of-print(ahead-of-print).
  • SHAHİD, M. N., SATTAR, A., AFTAB, F., SAEED, A., & ABBAS, A. (2019b). Month of Ramadan effect swings and market becomes adaptive: A firm level evidence through Islamic calendar. Journal of Islamic Marketing, ahead-of-print(ahead-of-print). https://doi.org/10.1108/JIMA-12-2017-0140
  • SHI, S. (2013). Specification sensitivities in the Markov-switching unit root test for bubbles. Empirical Economics 45, 697–713.
  • SIMON, H. A. (1955). A Behavioral Model of Rational Choice. The Quarterly Journal of Economics, 69(1), 99–118.
  • URQUHART, A., & HUDSON, R. (2013). Efficient or adaptive markets? Evidence from major stock markets using very long run historic data. International Review of Financial Analysis, 28, 130–142.
  • XIONG, X., MENG, Y., LI, X., & SHEN, D. (2019). An empirical analysis of the Adaptive Market Hypothesis with calendar effects: Evidence from China. Finance Research Letters, 31.
  • YÜCEL, A. G., & KÖSEOĞLU, A. (2020). Do participation banks contribute to economic growth? Time-series evidence from Turkey. Bilimname, 2020(42), 155-180.

Ayrıntılar

Birincil Dil İngilizce
Konular Sosyal
Bölüm Makaleler
Yazarlar

Mehmet Fatih BUĞAN (Sorumlu Yazar)
GAZİANTEP ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ
0000-0001-9027-9532
Türkiye


Emrah İsmail ÇEVİK
NAMIK KEMAL UNIVERSITY
0000-0002-8155-1597
Türkiye


Nüket KIRCI ÇEVİK
NAMIK KEMAL UNIVERSITY
0000-0002-0104-1088
Türkiye


Durmuş Çağrı YILDIRIM
NAMIK KEMAL UNIVERSITY
0000-0003-4168-2792
Türkiye

Yayımlanma Tarihi 30 Nisan 2021
Başvuru Tarihi 22 Ocak 2021
Kabul Tarihi 26 Nisan 2021
Yayınlandığı Sayı Yıl 2021, Cilt 2021, Sayı 44

Kaynak Göster

APA Buğan, M. F. , Çevik, E. İ. , Kırcı Çevik, N. & Yıldırım, D. Ç. (2021). Testing adaptive market hypothesis in global islamic stock markets: evidence from markov-switching adf test . Bilimname , 2021 (44) , 425-449 . DOI: 10.28949/bilimname.866724