Testing the Efficient Market Hypothesis in Borsa Istanbul Sub-Indices: Evidence from Unit Root Tests with Fourier Breaks and Non-Linearity

Öz

The aim of this study is to test the validity of the efficient market hypothesis for six indexes (XU100, XTUMY, XUHIZ, XUMAL, XUSIN, XUTEK) in BIST. For this, ADF, RALS-ADF, Fourier-ADF and Fourier-KSS unit root tests were used. The longest period was used for each index in terms of data availability as the analysis period. Unlike the literature, the validity of the efficient market hypothesis for six indices in the BIST has been comprehensively and comparatively examined by considering both structural breaks, non-normal distribution and non-linearity at the same time. According to the empirical findings, the null hypothesis could not be rejected in all unit root tests applied in the XUHIZ index. In other words, strong evidence has been obtained for the XUHIZ index in line with the effective market hypothesis. On the contrary, as a result of all unit root tests applied in the XUMAL index, the null hypothesis was rejected and the results indicating that the efficient market hypothesis was invalid were obtained. In other indices, it was observed that considering structural breaks and nonlinearity caused differences in the results. This situation highlights the importance of choosing the appropriate test for the data set. 

Anahtar Kelimeler

• Efficient Markets Hypothesis
• Unit Root Tests
• Borsa Istanbul

Borsa İstanbul Alt Endekslerinde Etkin Piyasa Hipotezinin Test Edilmesi: Fourier Kırılmalı ve Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar

Öz

Bu çalışmanın amacı Borsa İstanbul’da (BİST) yer alan altı endeks için (XU100, XTUMY, XUHIZ, XUMAL, XUSIN, XUTEK) etkin piyasa hipotezinin (EPH) geçerliliğini test etmektir. Bunun için ADF, RALS-ADF, Fourier-ADF ve Fourier-KSS birim kök testlerinden yararlanılmıştır. Analiz dönemi olarak veri bulunabilirliği açısından her bir endeks için en uzun dönem kullanılmıştır. Literatürden farklı olarak BİST’de yer alan altı endeks için EPH’nin geçerliliği aynı anda hem yapısal kırılmalar hem normal dağılmama durumu hem de doğrusal olmama durumu dikkate alınarak kapsamlı ve karşılaştırmalı bir şekilde incelenmiştir. Elde edilen ampirik bulgulara göre XUHIZ endeksinde uygulanan tüm birim kök testlerinde boş hipotez reddedilememiştir. Yani XUHIZ endeksi için etkin piyasa hipotezi geçerli doğrultusunda güçlü kanıtlar elde edilmiştir. Aksine XUMAL endeksinde ise uygulanan bütün birim kök testleri sonucunda boş hipotez reddedilerek etkin piyasa hipotezinin geçersiz olduğuna yönelik sonuçlar elde edilmiştir. Diğer endekslerde ise yapısal kırılmaların ve doğrusal olmama durumunun dikkate alınmasının sonuçlar üzerinde farklılıklara neden olduğu gözlemlenmiştir. Bu durum da veri setine uygun test seçiminin önemini öne çıkarmaktadır. 

Anahtar Kelimeler

• Etkin Piyasalar Hipotezi
• Birim Kök Testleri
• Borsa İstanbul

Kaynakça

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