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Zayıf Form Piyasa Etkinliği Kapsamında Türkiye Döviz Piyasası Üzerine Ampirik Bir Çalışma

Yıl 2020, Cilt: 5 Sayı: 2, 471 - 484, 31.08.2020
https://doi.org/10.30784/epfad.689506

Öz

Bu çalışmanın amacı Türkiye döviz piyasası içerisinde bulunan varlıkları tarihsel fiyat bilgileriyle getiri oranı tahmin edilebilirliği açısından karşılaştırmak ve Türkiye döviz piyasasının zayıf formdaki piyasa etkinliğini değerlendirmektir. Bu amaç kapsamında çalışmada IMF SDR sepetinde yer alan ve Türkiye döviz cinsi rezervlerinin yaklaşık %96’sını oluşturan para birimlerinin TL cinsi değerlerine ait 07.02.1999-09.02.2020 tarihleri arasındaki haftalık getiri oranları kullanılarak hareketli alt örneklem pencereleri yardımıyla genelleştirilmiş spektral testi ile analizler gerçekleştirilmiştir. Analizler sonucunda, EURO/TL ve özellikle YEN/TL döviz kurlarının diğer döviz kurlarına göre tarihsel fiyat hareketleri kullanılarak daha fazla getiri oranlarının tahmin edilebildiği hafta sayısına sahip olduğu, DOLAR/TL ve YUAN/TL döviz kurlarının ise en az hafta sayısına sahip olduğu bilgisine ulaşılmıştır. Ayrıca döviz kurlarına ait getiri oranlarının tarihsel bilgiler kullanılarak belirli dönemlerde tahmin edilebildiği, belirli dönemler de ise tahmin edilemediği ve dolayısıyla Türkiye döviz piyasasının zayıf formdaki etkinliğinin dönemsel değişimler gösterdiği belirlenmiştir. Tarihsel fiyat hareketlerinden yararlanarak yatırımlarını gerçekleştiren yatırımcıların EURO/TL ve YEN/TL döviz kurlarında başarılı yatırımlar gerçekleştirme şansları diğer döviz kurlarına göre daha fazladır.

Kaynakça

  • Abounoori, E., Shahrazi, M. and Rasekhi, S. (2012). An investigation of forex market efficiency based on detrended fluctuation analysis: A case study for Iran. Physica A: Statistical Mechanics and its Applications, 391(11), 3170-3179. https://doi.org/10.1016/j.physa.2011.12.045
  • Aktan, C., Şahin, E. E. and Küçükkaplan, I. (2018). Testing the information efficiency in emerging markets. In G. Küçükkocaoğlu and S. Gökten (Eds.), Financial management from an emerging market perspective (pp. 49-66). https://doi.org/10.5772/intechopen.70369
  • Bayraktar, A. (2012). Etkin piyasalar hipotezi. Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 4(1), 37-47. Erişim adresi: https://dergipark.org.tr/tr/pub/aksarayiibd
  • Belkacem, L., Meddeb, Z. E. and Boubaker, H. (2005). Foreign exchange market efficiency: Fractional cointegration approach. International Journal of Business, 10(3), 285-302. Retrieved from http://www.craig.csufresno.edu/ijb/
  • Berke, B., Özcan, B. ve Dizdarlar, H. I. (2014). Döviz piyasasının etkinliği: Türkiye için bir analiz. Ege Akademik Bakış, 14(4), 621-636. Erişim adresi: https://dergipark.org.tr/tr/pub/eab
  • Charles, A., Darné, O. and Kim, J. H. (2011). Small sample properties of alternative tests for martingale difference hypothesis. Economics Letters, 110(2), 151-154. https://doi.org/10.1016/j.econlet.2010.11.018
  • Charles, A., Darné, O. and 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. https://doi.org/10.1016/j.jimonfin.2012.03.003
  • Charles, A., Darné, O. and Kim, J. H. (2017). Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. International Economics, 151, 100-112. https://doi.org/10.1016/j.inteco.2017.05.002
  • Chiang, S. M., Lee, Y. H., Su, H. M. and Tzou, Y. P. (2010). Efficiency tests of foreign exchange markets for four Asian countries. Research in International Business and Finance, 24, 284-294. https://doi.org/10.1016/j.ribaf.2010.01.001
  • Çiçek, M. (2014). A cointegration test for Turkish foreign exchange market efficiency. Asian Economic and Financial Review, 4(4), 451-471. Retrieved from http://www.aessweb.com/journals/5002
  • Degutis, A. and Novickytė, L. (2014). The efficient market hypothesis: A critical review of literature and methodology. Ekonomika, 93(2), 7-23. https://doi.org/10.15388/Ekon.2014.2.3549
  • Dutt, S. D. and Ghosh, D. (1999). An empirical examination of exchange market efficiency. Applied Economics Letters, 6, 89-91. https://doi.org/10.1080/135048599353690
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflations. Econometrica, 50(4), 987-1007. https://doi.org/10.2307/1912773
  • Ertekin, B. (2003). Rassal yürüyüş hipotezi ve döviz piyasalarının etkinliğinin araştırılması (Yayımlanmamış Yüksek Lisans Tezi). Marmara Üniversitesi Sosyal Bilimler Enstitüsü, İstanbul.
  • Escanciano, J. C. and Velasco, C. (2006). Generalized spectral tests for the martingale difference hypothesis. Journal of Econometrics, 134(1), 151-185. https://doi.org/10.1016/j.jeconom.2005.06.019
  • Fama, E. F. (1965). The behavior of stock market prices. Journal of Business, 38, 34-105. Retrieved from https://www.jstor.org/journal/jbusiness
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical works. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486
  • Gyamfi, E. N., Kyei, K. A. and Gill, R. (2016). African stock markets and return predictability. Journal of Economics and Behavioral Studies, 8(5), 91-99. https://doi.org/10.22610/jebs.v8i5(J).1434
  • Ibrahim, J., Long, Y., Ghani, H. and Salleh, S. I. M. (2011). Weak-form efficiency of foreign exchange market in the organization for economic cooperation and development countries: Unit root test. International Journal of Business and Management, 6(6), 55-65. https://doi.org/10.5539/ijbm.v6n6p55
  • Iyke, B. N. (2019). A test of the efficiency of the foreign exchange market in Indonesia. Bulletin of Monetary Economics and Banking, 22(12), 439-464. https://doi.org/10.21098/bemp.v0i0.976
  • Jarque, C. M. and Bera, A. K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters, 6(3), 255-259. https://doi.org/10.1016/0165-1765(80)90024-5
  • Karadağlı, E. C. and Omay, N. C. (2012). Testing weak form market efficiency of emerging markets: A nonlinear approach. Journal of Applied Economic Sciences, 7(3), 235-245. Retrieved from http://cesmaa.org/Extras/JAES
  • Katusiime, L., Shamsuddin, A. and Agbola, F. W. (2015). Foreign exchange market efficiency and profitability of trading rules: Evidence from a developing country. International Review of Economics & Finance, 35, 315-332. https://doi.org/10.1016/j.iref.2014.10.003
  • Korkmaz, T., Başaran, Ü. ve Çevik, E. İ. (2010). Yaz saati uygulaması anomalisinin İMKB 100 endeks getirisine etkisinin test edilmesi. Ege Akademik Bakış, 10(4), 1139-1153. Erişim adresi: https://dergipark.org.tr/tr/pub/eab
  • Kulalı, İ. (2016). Etkin piyasalar hipotezi ve davranışsal finans çatışması. Finans ve Bankacılık Çalışmaları Dergisi, 5(2), 46-57. https://doi.org/10.20525/ijfbs.v5i2.123
  • Kurtaran, A. T., Kurtaran, A. ve Çelik, M. K. (2018). Zayıf formda piyasa etkinliğinin Türkiye hisse senedi piyasasında test edilmesi [Özel Sayı]. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 457-474. https://doi.org/10.18092/ulikidince.456639
  • Lajaunie, J. P. and Naka, A. (1992). Is the Tokyo spot foreign exchange market consistent with the efficient market hypothesis? Review of Financial Economics, 2(1), 68-74. https://doi.org/10.1002/j.1873-5924.1992.tb00557.x
  • Lazar, D., Todea, A. and Filip, D. (2012). Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets. Economic Systems, 36, 338-350. https://doi.org/10.1016/j.ecosys.2012.02.002
  • Mabakeng, M. E. P. and Sheefeni, J. P. S. (2014). Examining the weak form efficiency in foreign exchange market in Namibia. International Review of Research in Emerging Markets and the Global Economy, 1(4), 174-187. Retrieved from http://globalbizresearch.org/emergingmarkets/
  • Malkiel, B. G. (2003). The efficient market hypothesis and its critics. Journal of Economic Perspectives, 17(1), 59-82. https://doi.org/10.1257/089533003321164958
  • Matebejana, G., Motlaleng, G. and Juana, J. (2017). Foreign exchange market efficiency in Botswana. Review of Economic and Business Studies, 10(1), 103-125. https://doi.org/10.1515/rebs-2017-0050
  • Mohamed, M. S. and Banu, M. A. S. (2015). Study on weak-form efficiency of foreign exchange markets of developing economies: Some India evidence. International Journal of Management, 6(1), 331-342. Retrieved from http://www.iaeme.com/Ijm/index.asp
  • Özdemir, A., Vergili, G. ve Çelik, İ. (2018). Döviz piyasalarının etkinliği üzerinde uzun hafızanın rolü: Türk döviz piyasasında ampirik bir araştırma. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 12(1), 87-107. Erişim adresi: https://dergipark.org.tr/tr/pub/bddkdergisi
  • Phillips, P. C. B. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. https://doi.org/10.1093/biomet/75.2.335
  • Said, S. E. and Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607. https://doi.org/10.1093/biomet/71.3.599
  • Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6, 41-49. Retrieved from https://www.worldcat.org
  • Serbinenko, A. and Rachev, S. T. (2009). Intraday spot foreign exchange market. Analysis of efficiency, liquidity and volatility. Investment Management and Financial Innovations, 6(4), 35-45. Retrieved from https://businessperspectives.org/journals/investment-management-and-financial-innovations
  • Sifunjo, K. E., Ngugi, R. W., Pokhariyal, G. and Wainaina, G. (2008). An analysis of the efficiency of the foreign exchange market in Kenya. Economics Bulletin, 14(2), 1-13. Retrieved from http://www.accessecon.com/pubs/eb/
  • Tweneboah, G., Amanfo, A. N. and Kumah, S. P. (2013). Evidence of market inefficiency and exchange rate predictability in Ghana. Ghanaian Journal of Economics, 1(1), 51-66. Retrieved from https://journals.co.za/content/journal/ghajecon
  • Wickremasinghe, G. (2004). Efficiency of foreign exchange markets: A developing country perspective. SSRN Electronic Journal, 10(1), 1-25. https://dx.doi.org/10.2139/ssrn.609285
  • Wickremasinghe, G. B. and Kim, J. H. (2008). Weak-form efficiency of foreign exchange markets of developing economies: Some Sri Lankan evidence. Journal of Emerging Market Finance, 7(2), 169-196. https://doi.org/10.1177%2F097265270800700203

An Empirical Study on Turkey Foreign Exchange Market in the Context of Weak Form Market Efficiency

Yıl 2020, Cilt: 5 Sayı: 2, 471 - 484, 31.08.2020
https://doi.org/10.30784/epfad.689506

Öz

This study aims to compare assets in the Turkey foreign exchange market in terms of return predictability with the historical price information and to evaluate weak-form market efficiency of Turkey foreign exchange market. For this aim, analyses are carried out with the generalized spectral test with the help of rolling sub-sample windows using weekly return rates between 07.02.1999-09.02.2020 of TL values of currencies in the IMF SDR basket, which account for about 96% of the Turkish foreign currency reserves. As a result of the analyses, it is found that EURO/TL and especially YEN/TL exchange rates have the number of weeks in which higher rates of return can be estimated using historical price movements compared to other exchange rates, while dollar/TL and YUAN/TL exchange rates have the minimum number of weeks. Also, it is determined that the return rates of foreign exchange rates can be estimated at certain periods using historical information and that they cannot be estimated at certain periods and therefore the weak-form efficiency of Turkey foreign exchange market shows periodic changes. Investors who make their investments using historical price movements have a greater chance of making successful investments at EURO/TL and YEN/TL exchange rates than other exchange rates.

Kaynakça

  • Abounoori, E., Shahrazi, M. and Rasekhi, S. (2012). An investigation of forex market efficiency based on detrended fluctuation analysis: A case study for Iran. Physica A: Statistical Mechanics and its Applications, 391(11), 3170-3179. https://doi.org/10.1016/j.physa.2011.12.045
  • Aktan, C., Şahin, E. E. and Küçükkaplan, I. (2018). Testing the information efficiency in emerging markets. In G. Küçükkocaoğlu and S. Gökten (Eds.), Financial management from an emerging market perspective (pp. 49-66). https://doi.org/10.5772/intechopen.70369
  • Bayraktar, A. (2012). Etkin piyasalar hipotezi. Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 4(1), 37-47. Erişim adresi: https://dergipark.org.tr/tr/pub/aksarayiibd
  • Belkacem, L., Meddeb, Z. E. and Boubaker, H. (2005). Foreign exchange market efficiency: Fractional cointegration approach. International Journal of Business, 10(3), 285-302. Retrieved from http://www.craig.csufresno.edu/ijb/
  • Berke, B., Özcan, B. ve Dizdarlar, H. I. (2014). Döviz piyasasının etkinliği: Türkiye için bir analiz. Ege Akademik Bakış, 14(4), 621-636. Erişim adresi: https://dergipark.org.tr/tr/pub/eab
  • Charles, A., Darné, O. and Kim, J. H. (2011). Small sample properties of alternative tests for martingale difference hypothesis. Economics Letters, 110(2), 151-154. https://doi.org/10.1016/j.econlet.2010.11.018
  • Charles, A., Darné, O. and 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. https://doi.org/10.1016/j.jimonfin.2012.03.003
  • Charles, A., Darné, O. and Kim, J. H. (2017). Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices. International Economics, 151, 100-112. https://doi.org/10.1016/j.inteco.2017.05.002
  • Chiang, S. M., Lee, Y. H., Su, H. M. and Tzou, Y. P. (2010). Efficiency tests of foreign exchange markets for four Asian countries. Research in International Business and Finance, 24, 284-294. https://doi.org/10.1016/j.ribaf.2010.01.001
  • Çiçek, M. (2014). A cointegration test for Turkish foreign exchange market efficiency. Asian Economic and Financial Review, 4(4), 451-471. Retrieved from http://www.aessweb.com/journals/5002
  • Degutis, A. and Novickytė, L. (2014). The efficient market hypothesis: A critical review of literature and methodology. Ekonomika, 93(2), 7-23. https://doi.org/10.15388/Ekon.2014.2.3549
  • Dutt, S. D. and Ghosh, D. (1999). An empirical examination of exchange market efficiency. Applied Economics Letters, 6, 89-91. https://doi.org/10.1080/135048599353690
  • Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflations. Econometrica, 50(4), 987-1007. https://doi.org/10.2307/1912773
  • Ertekin, B. (2003). Rassal yürüyüş hipotezi ve döviz piyasalarının etkinliğinin araştırılması (Yayımlanmamış Yüksek Lisans Tezi). Marmara Üniversitesi Sosyal Bilimler Enstitüsü, İstanbul.
  • Escanciano, J. C. and Velasco, C. (2006). Generalized spectral tests for the martingale difference hypothesis. Journal of Econometrics, 134(1), 151-185. https://doi.org/10.1016/j.jeconom.2005.06.019
  • Fama, E. F. (1965). The behavior of stock market prices. Journal of Business, 38, 34-105. Retrieved from https://www.jstor.org/journal/jbusiness
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical works. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486
  • Gyamfi, E. N., Kyei, K. A. and Gill, R. (2016). African stock markets and return predictability. Journal of Economics and Behavioral Studies, 8(5), 91-99. https://doi.org/10.22610/jebs.v8i5(J).1434
  • Ibrahim, J., Long, Y., Ghani, H. and Salleh, S. I. M. (2011). Weak-form efficiency of foreign exchange market in the organization for economic cooperation and development countries: Unit root test. International Journal of Business and Management, 6(6), 55-65. https://doi.org/10.5539/ijbm.v6n6p55
  • Iyke, B. N. (2019). A test of the efficiency of the foreign exchange market in Indonesia. Bulletin of Monetary Economics and Banking, 22(12), 439-464. https://doi.org/10.21098/bemp.v0i0.976
  • Jarque, C. M. and Bera, A. K. (1980). Efficient tests for normality, homoscedasticity and serial independence of regression residuals. Economics Letters, 6(3), 255-259. https://doi.org/10.1016/0165-1765(80)90024-5
  • Karadağlı, E. C. and Omay, N. C. (2012). Testing weak form market efficiency of emerging markets: A nonlinear approach. Journal of Applied Economic Sciences, 7(3), 235-245. Retrieved from http://cesmaa.org/Extras/JAES
  • Katusiime, L., Shamsuddin, A. and Agbola, F. W. (2015). Foreign exchange market efficiency and profitability of trading rules: Evidence from a developing country. International Review of Economics & Finance, 35, 315-332. https://doi.org/10.1016/j.iref.2014.10.003
  • Korkmaz, T., Başaran, Ü. ve Çevik, E. İ. (2010). Yaz saati uygulaması anomalisinin İMKB 100 endeks getirisine etkisinin test edilmesi. Ege Akademik Bakış, 10(4), 1139-1153. Erişim adresi: https://dergipark.org.tr/tr/pub/eab
  • Kulalı, İ. (2016). Etkin piyasalar hipotezi ve davranışsal finans çatışması. Finans ve Bankacılık Çalışmaları Dergisi, 5(2), 46-57. https://doi.org/10.20525/ijfbs.v5i2.123
  • Kurtaran, A. T., Kurtaran, A. ve Çelik, M. K. (2018). Zayıf formda piyasa etkinliğinin Türkiye hisse senedi piyasasında test edilmesi [Özel Sayı]. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 457-474. https://doi.org/10.18092/ulikidince.456639
  • Lajaunie, J. P. and Naka, A. (1992). Is the Tokyo spot foreign exchange market consistent with the efficient market hypothesis? Review of Financial Economics, 2(1), 68-74. https://doi.org/10.1002/j.1873-5924.1992.tb00557.x
  • Lazar, D., Todea, A. and Filip, D. (2012). Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets. Economic Systems, 36, 338-350. https://doi.org/10.1016/j.ecosys.2012.02.002
  • Mabakeng, M. E. P. and Sheefeni, J. P. S. (2014). Examining the weak form efficiency in foreign exchange market in Namibia. International Review of Research in Emerging Markets and the Global Economy, 1(4), 174-187. Retrieved from http://globalbizresearch.org/emergingmarkets/
  • Malkiel, B. G. (2003). The efficient market hypothesis and its critics. Journal of Economic Perspectives, 17(1), 59-82. https://doi.org/10.1257/089533003321164958
  • Matebejana, G., Motlaleng, G. and Juana, J. (2017). Foreign exchange market efficiency in Botswana. Review of Economic and Business Studies, 10(1), 103-125. https://doi.org/10.1515/rebs-2017-0050
  • Mohamed, M. S. and Banu, M. A. S. (2015). Study on weak-form efficiency of foreign exchange markets of developing economies: Some India evidence. International Journal of Management, 6(1), 331-342. Retrieved from http://www.iaeme.com/Ijm/index.asp
  • Özdemir, A., Vergili, G. ve Çelik, İ. (2018). Döviz piyasalarının etkinliği üzerinde uzun hafızanın rolü: Türk döviz piyasasında ampirik bir araştırma. BDDK Bankacılık ve Finansal Piyasalar Dergisi, 12(1), 87-107. Erişim adresi: https://dergipark.org.tr/tr/pub/bddkdergisi
  • Phillips, P. C. B. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. https://doi.org/10.1093/biomet/75.2.335
  • Said, S. E. and Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607. https://doi.org/10.1093/biomet/71.3.599
  • Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6, 41-49. Retrieved from https://www.worldcat.org
  • Serbinenko, A. and Rachev, S. T. (2009). Intraday spot foreign exchange market. Analysis of efficiency, liquidity and volatility. Investment Management and Financial Innovations, 6(4), 35-45. Retrieved from https://businessperspectives.org/journals/investment-management-and-financial-innovations
  • Sifunjo, K. E., Ngugi, R. W., Pokhariyal, G. and Wainaina, G. (2008). An analysis of the efficiency of the foreign exchange market in Kenya. Economics Bulletin, 14(2), 1-13. Retrieved from http://www.accessecon.com/pubs/eb/
  • Tweneboah, G., Amanfo, A. N. and Kumah, S. P. (2013). Evidence of market inefficiency and exchange rate predictability in Ghana. Ghanaian Journal of Economics, 1(1), 51-66. Retrieved from https://journals.co.za/content/journal/ghajecon
  • Wickremasinghe, G. (2004). Efficiency of foreign exchange markets: A developing country perspective. SSRN Electronic Journal, 10(1), 1-25. https://dx.doi.org/10.2139/ssrn.609285
  • Wickremasinghe, G. B. and Kim, J. H. (2008). Weak-form efficiency of foreign exchange markets of developing economies: Some Sri Lankan evidence. Journal of Emerging Market Finance, 7(2), 169-196. https://doi.org/10.1177%2F097265270800700203
Toplam 41 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Makaleler
Yazarlar

Oktay Özkan 0000-0001-9419-8115

Yayımlanma Tarihi 31 Ağustos 2020
Kabul Tarihi 25 Ağustos 2020
Yayımlandığı Sayı Yıl 2020 Cilt: 5 Sayı: 2

Kaynak Göster

APA Özkan, O. (2020). Zayıf Form Piyasa Etkinliği Kapsamında Türkiye Döviz Piyasası Üzerine Ampirik Bir Çalışma. Ekonomi Politika Ve Finans Araştırmaları Dergisi, 5(2), 471-484. https://doi.org/10.30784/epfad.689506