ETKİN PİYASA HİPOTEZİ VE GELİŞMEKTE OLAN PİYASALARIN BİRLİKTE HAREKETİ

Öz

Bu çalışmanın amacı hisse senedi piyasaları eşbütünleşimini etkin pazar pespektifinden araştırmaktır. Bu bağlamda 11 gelişmekte olan piyasanın Ocak 1998-Aralık 2008 ve Ocak 2002-Aralık 2008 dönemli haftalık verileri test edilmiştir. Gelişmekte olan ülke piyasalarının birlikte hareketi Johansen eşbütünleşim testi ile incelenmiş ve %5 anlamlılık düzeyinde iki eşbütünleşim vektörü bulunmuştur. Buna rağmen vektör hata düzeltme modelinin açıklama gücünün düşük olmasından dolayı piyasa ekinliğine karşı kesin bir bulgu ortaya konulamamıştır

Anahtar Kelimeler

• Etkin Piyasa Hipotezi, Birim Kök, Johansen Eşbütünleşim Testi, Vektör Hata Düzeltme Modeli

EFFICIENT MARKET HYPOTHESIS AND COMOVEMENT AMONG EMERGING MARKETS

Öz

The main purpose of this study is to investigate stock market cointegration from the market efficiency perspective. Therefore, eleven emerging stock market indices are tested by using weekly data for the period of January 1998-December 2008 and for the sub period of January 2002-December 2008. Comovement among the emerging market countries was analyzed through Johansen cointegration test. The existence of two cointegrating vectors has been found at 5% significance level. However, the firm evidence against the market efficiency could not be established because of the low explanatory power of the results generated from the vector error correction model.

Anahtar Kelimeler

• Efficient Market Hypothesis, Unit Root, Johansen Cointegration Test, Vector Error Correction Model

Kaynakça

1. ALEXANDER, C. (2001). Market Models: a guide to financial data analysis. 1st ed., Chichester: John Wiley & Sons Ltd.
2. BALABAN, E. (1995). Einstein, risk ve gümrük birliği. Ankara Üniversitesi Siyasal Bilgiler Fakültesi Dergisi, 50 (1-2), 77-93. ss.
3. BERUMENT, H., İNCE, O. (2005). Effect of S&P 500 return on emerging markets: Turkish experience. Applied Financial Economics Letters, 1 (1), 59-64. ss.
4. BUGUK, C., BRORSEN, W.B. (2003). Testing weak-form market efficiency: evidence from the Istanbul Stock Exchange. International Review of Financial Analysis. 12 (5), 579-590. ss.
5. CERNY, A. (2004). Stock market integration and the speed of information transmission. research report 242. Prague: The Center for Economic Research and Graduate Education – Economic Institute.
6. CHEUNG, Y.L., MAK, S.C. (1992). A Study of the international transmission of stock market fluctuation between the developed markets and the Asian-Pacific markets. Journal of Applied Economics, 2 (1), 43-47. ss.
7. CORHAY, A., RAD, A.T., URBAIN, J.P. (1993). Common stochastic trends in European stock markets. Economics Letters, 42 (4), 385-390. ss.
8. CROCI, M. (2003). An Empirical analysis of international equity market co-movements: implications for informational efficiency. Research report 197. Ancona: Universita Politecnica delle Marche.

9. DARRAT, A.F., ZHONG, M. (2000). On testing the random-walk hypothesis: a model comparison approach. The Financial Review, 35 (3), 105–124. ss.
10. DARRAT, A.F., BENKATO, O.M. (2003). Interdependence and volatility spillovers under market liberalization: the case of Istanbul Stock Exchange. Journal of Business Finance & Accounting, 30 (7-8), 1089-1114. ss.
11. EFENDİOĞLU, E., YÖRÜK, D. (2005). Avrupa Birliği sürecinde Türk hisse senedi piyasası ile Avrupa Birliği hisse senedi piyasalarının bütünleşmesi: İMKB Örneği. Unpublished Working Paper.
12. ENDERS, W. (1995). Applied dynamic econometrics. 1st ed., New Jersey: John Wiley.
13. ENGLE, R.F., GRANGER, C.W.J. (1987). Cointegration and error correction: pepresentation, estimation and testing. Econometrica, 55 (2), 251-276. ss.
14. ERDAL, F., GÜNDÜZ, L. (2001). An Empirical investigation of the interdepence of Istanbul Stock Exchange with selected stock markets. Global Business and Technology Association International Conference, Istanbul.
15. EUN, C.S., SHIM, S. (1989). International transmission of stock market movements. Journal of Financial and Quantitative Analysis, 24 (2), 241-256. ss.
16. FAMA, E. (1991). Efficient capital markets: II. Journal of Finance, 46 (5), 1575-1617. ss.
17. GRANGER, C.W.J. (1986). Developments in the study of cointegrated economic variables. Oxford Bulletin of Economics and Statistics, 48 (3), 213-228. ss.
18. HARVEY, C.R. (1993). Predictable risk and returns in emerging markets. Research report 4621. Cambridge: National Bureau of Economic Research.
19. JOHANSEN, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12 (2-3), 231-254. ss.
20. JOHANSEN, S., JUSELIUS, K. (1990). Maximum likelihood estimation and inference on cointegration with application to the demand for money. Oxford Bulletin of Economics and Statistics, 52 (2), 169–210. ss.
21. KANAS, A. (1998). Linkages between the US and European equity markets: further evidence from cointegration tests. Journal of Applied Financial Economics, 8 (6), 607-614. ss.
22. KASA, K. (1992). Common stochastic trends in international stock markets. Journal of Monetary Economics, 29 (1), 95-124. ss.
23. KELLY, P.J. (2005). Information efficiency and firm-specific return variation. Unpublished PhD Thesis, Arizona State University.
24. LEE, H.S. (2004). International transmission of stock market movements: a wavelet analysis. Applied Economics Letters, 11 (3), 197–201. ss.
25. LENCE, S., FALK, B. (2005). Cointegration, market integration and market efficiency, Journal of International Money and Finance, 24 (6), 873-890. ss.
26. LONGIN, E., SOLNIK, B. (1995). Is the correlation in international equity returns constant: 1960-1990? Journal of International Money and Finance, 14 (1), 3-26. ss.
27. MALATYALI, N.K. (1998). Seçilmiş borsa endeks getirileri arasındaki koentegrasyon ilişkileri üzerine bir araştırma. İMKB Dergisi, 2 (7-8), 23-34. ss.
28. MATHUR, I., SUBRAHMANYAM, V. (1990). Interdependencies among the Nordic and US stock markets. Scandinavian Journal of Economics, 92 (5), 587–597. ss.
29. ONAY, C. (2006). A Co-integration analysis approach to european union integration: the case of acceding and candidate countries. Research report 10. European Integration Online Papers.
30. ROLL, R. (1992). A Mean/variance analysis of tracking error. Journal of Portfolio Management, 18 (4), 13-22. ss.
31. STOCK, J.H., WATSON, M.W. (1988). Variable trends in economic time series. Journal of Economic Perspectives, 2 (3), 147-174. ss.
32. SWEENEY, J. (2003). Cointegration and market efficiency. Journal of Emerging Market Finance, 2 (1), 41-56. ss.
33. VALADKHANI, A., CHANCHARAT, S., HARVIE, C. (2006). The Interplay between the Thai and several other international stock markets. Research report 06-18. New South Wales: University of Wollongong.
34. VORONKOVA, S. (2004). Equity market integration in Central Europe Emerging Markets: a cointegration analysis with shifting regimes. International Review of Financial Analysis, 13 (5), 633-647. ss.