Küresel Hisse Senedi Piyasalarında Zayıf Form Verimliliğinin Araştırılması

Öz

Bu çalışma, Zayıf Formda Piyasa Etkinliği'nin varlığını Etkin Piyasa Hipotezi (EPH) çerçevesinde incelemeyi amaçlamakta ve RALS-LM birim kök testi yardımıyla 67 farklı ülkede faaliyet gösteren 71 borsa için mevcut en büyük veri setini kullanmaktadır. Bu test, finansal piyasalarda birim kök özelliğini tespit etmeye yönelik geliştirilmiş bir yöntem olup, literatürde piyasa etkinliği çalışmalarında sıkça kullanılan geleneksel yöntemlerin ötesine geçmektedir. Çalışmanın bulgularına göre, incelenen 68 borsanın gösterge endeksleri birim kök içermemektedir, yani durağandır ve dolayısıyla zayıf formda etkin değildir. Başka bir deyişle, bu borsalarda fiyatların geçmiş bilgiyi yansıttığı ve gelecekteki fiyatların tahmin edilmesinin mümkün olduğu sonucuna ulaşılmıştır. Çalışma, yalnızca Bulgaristan Borsası (BSE Sofix) ve Hindistan Borsası (Nifty 50) için zayıf formda piyasa etkinliği koşullarının sağlandığını ortaya koymaktadır. Buna göre, ilgili borsalarda geçmiş fiyatları gelecekteki fiyatların bir göstergesi olarak kullanmak mümkün olup, bu piyasaların zayıf formda dahi etkin olmadığını göstermektedir.

Anahtar Kelimeler

• Etkin Piyasa Hipotezi (EPH)
• Zayıf Formda Piyasa Etkinliği
• Borsalar
• RALS-LM Testi
• Birim Kök Analizi

Investigating Weak-Form Efficiency in Global Stock Markets

Öz

This study aims to examine the presence of weak-form market efficiency using the largest available dataset of 71 stock exchanges operating in 67 different countries, within the framework of the Efficient Market Hypothesis (EMH), with the assistance of the RALS-LM unit root test. This test is a methodology designed to detect the unit root feature in financial markets and goes beyond the traditional methods frequently used in market efficiency studies in the literature. The results show that the indicator indices of 68 examined exchanges do not contain a unit root, meaning they are stationary and, therefore, not weak-form efficient. In other words, it can be concluded that prices in these exchanges reflect past information, making it possible to forecast future prices. The study reveals that weak-form efficiency conditions are not met for all exchanges except for the Bulgarian Stock Exchange (BSE Sofix) and the Indian Stock Exchange (Nifty 50). Accordingly, it is possible to use past prices as a predictor of future prices on the relevant exchanges, indicating the absence of even weak-form efficiency in these markets.

Anahtar Kelimeler

• Efficient Market Hypothesis (EMH)
• Weak-form Market Efficiency
• Stock Exchanges
• RALS-LM Test
• Unit Root Analysis

Kaynakça

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