Ülke Sınıflandırması ile Piyasa Etkinliği Arasında Bir İlişki Var Mı?: Küresel Bir Çalışma

Öz

Bu makalenin amacı farklı ekonomik gelişmişlik düzeyinde olan ülkeler için Etkin Piyasa Hipotezini EPH test etmektir. Çalışmada 17’si gelişmiş ve 12’si gelişmekte olan ülkenin ekonomik gelişmişlik düzeyini göstermek için FTSE Ülke Sınıflandırması kullanılmıştır. Çalışmanın örneklem aralığı 2005ile 2013 yılları arasıdır. Piyasa etkinliğini test etmek için Portmanteau Q testi, runs testi, tekli ve çoklu varyans oranı testleri kullanılmıştır. Sonuçlar, gelişen piyasalar içerisinde ekonomik gelişmişliği daha iyi olan piyasaların zayıf formda etkin olduğunu göstermektedir. Çalışmanın en önemli bulgusu ise piyasaların ekonomik gelişmişlik seviyesi ile piyasa etkinliğinin yakından ilişkisi olduğudur. Piyasalar geliştikçe ve bir üst düzey gelişmişlik kademesine geçtikçe daha etkin hale gelmektedirler. Ayrıca, çalışmanın bulguları, finansal ve politik krizlerden etkilenen piyasalar ile daha az gelişmiş finansal piyasaların etkin piyasa olmaktan uzak olduğunu ortaya koymaktadır

Anahtar Kelimeler

• piyasa etkinliği, piyasa gelişmişliği

Is There a Relationship between Country Classification and Market Efficiency?: A Global Investigation

Öz

The objective of this paper is to test the Efficient Market Hypothesis EMH for countries at different economic development levels. The FTSE Country Classification was used to reveal the economic development of 17 developed and 12 emerging markets. The sampling period is between 2005 and 2013. In order to test market efficiency, Portmanteau Q test, the runs test, the single and multiple variance ratio VR tests were used. The results show that the weak-form market efficiency is becoming prevalent in the Advanced Emerging markets. The striking finding of the paper presents that the market efficiency is associated with the market evolution. As the economies and markets of countries evolve and meet the criteria for promotion to upper country classification, they become weak-form efficient. Further, the findings reveal the facts that the markets which suffer from severe financial and political crises, or belong to low ranked emerging markets are unlikely to be efficient.

Anahtar Kelimeler

• market efficiency, market development

Kaynakça

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