TÜRKİYE’DEKİ BANKALARIN HİSSE SENEDİ GETİRİLERİNDE FRAKTAL PİYASA HİPOTEZİNİN TESTİ

Öz

Bankalarda volatilite yapısının modellenmesiyle, bankaların yanında ekonominin genelini ilgilendiren risk ve belirsizliklerin karakteristik yapısı ortaya konulmaktadır. Bu çalışmada, Türkiye’deki bankaların hisse senedi getirilerindeki volatilitenin tahmin edilmesi amaçlanmıştır. Çalışmanın inceleme dönemi 5 Ocak 2010 - 31 Aralık 2020’dir. Ding, Granger ve Engle (1993) tarafından önerilen doğrusal olmayan asimetrik koşullu volatilite analiz yöntemiyle (APGARCH) bankaların hisse senetlerinin getiri volatilitesi tahmin edilmiştir. Çalışmada öncelikle getirilerin durağanlığı, ARCH etkisi, asimetri yapısı ve doğrusallık özellikleri test edilmiştir. Ardından, APGARCH modeliyle, bankaların getiri volatilitesindeki şokun yüksek kalıcılığa sahip olduğu, asimetri etkisinin bulunduğu ve uzun dönem hafıza özelliğinin olduğu ortaya konmuştur. Bulgular, Türkiye’deki bankaların hisse senedi getiri volatilitesinde Etkin Piyasalar Hipotezi’nin yerine Fraktal Piyasa Hipotezi’nin varlığını destekleyici niteliktedir. Buna göre hisse senedi fiyatlarında bağımlılık tespit edilmiştir. Dolayısıyla, yatırımcıların teknik analiz varsayımlarını dikkate aldıkları söylenebilir.

Anahtar Kelimeler

• Uzun dönemli hafıza
• Etkin piyasa hipotezi
• Fraktal piyasa hipotezi
• Bankalar

FRACTAL MARKET HYPOTHESİS TEST OF THE BANKS' STOCK RETURNS IN TURKEY

Öz

By modeling the volatility structure of banks, the characteristic structure of risks and uncertainties that concern the economy as well as banks are revealed. In this study, it is aimed to estimate the volatility of stock returns of banks in Turkey. The review period of the study is January 5, 2010 - December 31, 2020. The return volatility of banks' stocks was estimated with the nonlinear asymmetric conditional volatility analysis method (APGARCH) proposed by Ding, Granger, and Engle (1993). In the study, first of all, the stability of returns, ARCH effect, asymmetry structure, and linearity properties are tested. Then, with the APGARCH model, it was revealed that the shock in the return volatility of banks has high permanence, has an asymmetry effect and has a long-term memory feature. The findings support that the existence of Fractal Market Hypothesis rather than the Efficient Market Hypothesis in the stock return volatility of the banks in Turkey. Accordingly, dependency on stock prices has been determined. Therefore, it can be said that investors take into account the assumptions of technical analysis.

Anahtar Kelimeler

• Long memory
• Efficient market hypothesis
• Fractal market hypothesis
• Banks

Kaynakça

1. Aidoo, E. N., Saeed, B. I. I., Ababio, K. A., Nsowah-Nuamah, N. N. N., & Louis, M. (2012). Analysis of long memory dynamics in exchange rate. The Empirical Economics Letters, 11(7), 745-754.
2. Altın, H. (2018). Borsa İstanbul’da bankacılık endeksinde işlem gören banka pay senetlerinin performanslarının değerlendirilmesi. Akademik Sosyal Araştırmalar Dergisi, 6(66), 58-69. http://dx.doi.org/10.16992/ASOS.13420
3. Anderson, N., & Noss, J. (2013). The Fractal market hypothesis and its implications for the stability of financial markets. Bank of England Financial Stability Paper, No. 23.
4. Aygören, H. (2008). İstanbul Menkul Kıymetler Borsasının fractal analizi. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 23(1), 125-134.
5. Barone, R. (2003). From efficient markets to behavioral finance. 1-27, 20.12.2020 tarihinde https://papers.ssrn.com/sol3/papers.cfm?abstract_id=493545 adresinden erişilmiştir.
6. Bodie, Z., Kane, A., & Marcus, A. J. (2008). Essentials of Investments. McGraw-Hill.
7. Bollerslev, T. (1986). Generalised autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-328. https://doi.org/10.1016/0304-4076(86)90063-1
8. Borges, M. R. (2010). Efficient market hypothesis in European Stock Markets. The European Journal of Finance, 16(7), 711-726. https://doi.org/10.1080/1351847X.2010.495477

9. Brock, W. A., Dechert, W. D., Scheinkman, J., & LeBaron, B. (1996). A Test for ındependence based on correlation dimension. Econometric Reviews, 15(3), 197-235. https://doi.org/10.1080/07474939608800353
10. Brooks, R., Faff, R., McKenzie, M., & Mitchell, H. (2000). A multi-country study of power ARCH models and national stock market returns. Journal of International Money and Finance, 19(3), 377-397. https://doi.org/10.1016/S0261-5606(00)00011-5
11. Corsi, F. (2009). A simple approximate long-memory model of realized volatility. Journal of Financial Econometrics, 7(2), 174-196. https://doi.org/10.1093/jjfinec/nbp001
12. Çelik, İ., & Kaya, H. (2019). İkili uzun hafızada asimetri etkisi: BİST Banka Endeksi örneği. Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 6(1), 92-106. https://doi.org/10.30798/makuiibf.516455
13. Çelik, T. T., & Taş, O. (2007). Etkin piyasa hipotezi ve gelişmekte olan hisse senedi piyasaları. İTÜ Dergisi Sosyal Bilimler, 4(2), 11-22.
14. Çevik, E. İ., & Erdoğan, S. (2009). Bankacılık sektörü hisse senedi piyasasının etkinliği: Yapısal kırılma ve güçlü hafıza. Doğuş Üniversitesi Dergisi, 10(1), 26-40.
15. Çevik, E. İ., & Sezen, S. (2020). Bankacılık sektörü için etkin piyasalar hipotezinin uzun hafıza modelleri ile analizi. Yönetim ve Ekonomi Araştırmaları Dergisi, 18(1), 332-351. https://doi.org/10.11611/yead.621826
16. Dickey, D. A. & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431. https://doi.org/10.2307/2286348
17. Dimson, E., & Mussavian, M. (1998). A brief history of market efficiency. European Financial Management. 4(1), 91-103. https://doi.org/10.1111/1468-036X.00056
18. Ding, Z., Granger, V. W. & Engle, R. F. (1993). A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1, 83-106. https://doi.org/10.1016/0927-5398(93)90006-D
19. Eken, M. H. & Adalı, S. (2008). Piyasa etkinliği ve İMKB: Zayıf formda etkinliğe ilişkin ekonometrik bir analiz. Muhasebe ve Finansman Dergisi, (37), 1-16.
20. Engle, R. (2001). GARCH 101: The use of ARCH / GARCH models in applied econometrics. Journal of Economic Perspectives, 15, 157-168. https://doi.org/10.1257/jep.15.4.157
21. Engle, R. F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrics, 50, 987-1007. https://doi.org/10.2307/1912773
22. Engle, R.F., & Ng, V.K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 5, 1749-1778. https://doi.org/10.1111/j.1540-6261.1993.tb05127.x
23. Erdoğan, N. K. (2017). Finansal zaman serilerinin fraktal analizi. Aksaray Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(4), 49-54.
24. Fama, E. F. (1965a). Random walks in stock market prices. Financial Analysts Journal, 21(5), 55-59.
25. Fama, E. F. (1965b). The behavior of stock-market prices. The Journal of Business, 38(1), 34-105.
26. Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical work. The Journal of Finance, 25(2), 383-417. https://doi.org/10.2307/2325486
27. Fama, E. F. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x
28. Giot, P., & Laurent, S. (2004). Modelling daily value-at-risk using realized volatility and ARCH type models. Journal of Empirical Finance, 11, 379-398. https://doi.org/10.1016/j.jempfin.2003.04.003
29. Göçmen Yağcılar, G., & Aslan, Z. (2019). Hisse senedi piyasalarında tatil anomalisi: BIST bankacılık endeksi üzerine bir uygulama. Üçüncü Sektör Sosyal Ekonomi Dergisi, 54(3), 1114-1134. https://doi.org/10.15659/3.sektor-sosyal-ekonomi.19.07.1157
30. Günay, S. (2015). BİST100 endeksi fiyat ve işlem hacminin fraktallık analizi. Doğuş Üniversitesi Dergisi, 16(1), 35-50.
31. Gündüz, L., & Omran, M. (2001). Gelişmekte olan piyasalarda stokastik trendler ve hisse senetleri fiyatları: Orta Doğu ve Kuzey Afrika Ülkeleri örneği. İMKB Dergisi, 5(17), 1-22.
32. Hamid, K., Suleman, M. T., Shah, S. Z. A., & Akash, R. S. I. (2010). Testing the Weak form of efficient market hypothesis: empirical evidence from Asia-Pacific markets. International Research Journal of Finance and Economics, 58, 121-133.
33. Hatipoğlu, M., & Bozkurt, İ. (2018). Finansal piyasalarda uzun dönemli bağımlılık ve etkin piyasalar hipotezi. Kastamonu Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 20(3), 47-56.
34. Hawaldar, I. T., Rohit, B., & Pinto, P. (2017). Testing of weak form of efficient market hypothesis: Evidence from the Bahrain Bourse. Investment Management and Financial Innovations, 14(2), 376-385. http://dx.doi.org/10.21511/imfi.14(2-2).2017.09
35. Hentschel, L. (1995). All in the family: Nesting symmetric and asymmetric GARCH models. Journal of Financial Economics, 39, 71-104. https://doi.org/10.1016/0304-405X(94)00821-H
36. Ikeda, T. (2017). A fractal analysis of world stock markets. Economics Bulletin, 37(3), 1514-1532.
37. Jones, C.P. (2013). Investments analysis and management. USA: Wiley.
38. Karan, M. B. (2004). Yatırım analizi ve portföy yönetimi. Ankara: Gazi Kitabevi.
39. Karp, A., & Vuuren, G. V. (2019). Investment implications of the fractal market hypothesis. Annals of Financial Economics, 14(1), 1-27. https://doi.org/10.1142/S2010495219500015
40. Kelikume, I., Olaniyi, E., & Iyohab, F. A. (2020). Efficient market hypothesis in the presence of market imperfections: Evidence from selected stock markets in Africa. International Journal of Management, Economics and Social Sciences, 9(1), 37-57. https://doi.org/10.32327/IJMESS/9.1.2020.3
41. Kristoufek, L. (2013). Fractal markets hypothesis and the global financial crisis: Wavelet power evidence. Scientific Reports, 3(2857), 1-7. https://doi.org/10.1038/srep02857
42. Kumar, A. S., Jayakumar, C. & Kamaiah, B. (2017). Fractal market hypothesis: Evidence for nine Asian Forex Markets. Indian Economic Review, 52, 181-192. https://doi.org/10.1007/s41775-017-0014-7
43. Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159-178. https://doi.org/10.1016/0304-4076(92)90104-Y
44. Li, D. Y., Nishimura, Y., & Men, M. (2014). Fractal Markets: Liquidity and investors on different time horizons. Physica A, 144-151. https://doi.org/10.1016/j.physa.2014.03.073
45. Lo, A. W. (2004). The adaptive markets hypothesis: Market efficiency from an evolutionary perspective. The Journal of Portfolio Management, 30(5), 15-29.
46. Lo, A. W. (2008). Efficient markets hypothesis. In L. Blume, S. Durlauf (ed.), The New Palgrave Dictionary of Economics. New York: Palgrave McMillan.
47. Lux, T., & Kaizoji, T. (2007). Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching. Journal of Economic Dynamics & Control, 31(6), 1808-1843. https://doi.org/10.1016/j.jedc.2007.01.010
48. Mandelbrot, B. B. (1963). The variation of certain speculative prices. Journal of Business, 36, 394-419.
49. Mandacı, E. (2018). Etkin piyasa hipotezi. A. Gündoğdu (ed.) içinde, Finansın Temel Teorileri, İstanbul: Beta Basım Yayım Dağıtım, 83-111.
50. McKenzie, M., & Mitchell, H. (1999). Generalised asymmetric power Arch modeling of exchange rate volatility. Applied Financial Economics, 12, 555-564. https://doi.org/10.1080/09603100010012999
51. McMillan, D. G., & Thupayagale, P. (2008). Efficiency of The South African Equity Market. Applied Financial Economics Letters, 4(5), 327-330. https://doi.org/10.1080/17446540701720717
52. Meier, C. (2014). Adaptive market efficiency: Review of recent empirical evidence on persistence of stock market anomalies. Review of Integrative Business & Economics Research, 3(2), 268-280.
53. Moralı, T., & Uyar, U. (2018). Kıymetli metaller piyasasının fraktal analizi. Hitit Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 11(3), 2203-2218. https://doi.org/10.17218/hititsosbil.441151
54. Müller, U. A., Dacorogna, M. M., Dave, R. D., Pictet, O. V., Olsen, R. B., & Ward, J. R. (1993). Fractals and intrinsic time- a challenge to econometricians, 39th International Conference of the Applied Econometrics Association (AEA), Real Time Econometrics -Submonthly Time Series, 14-15 October 1993, Luxembourg.
55. Owidi, O. H., & Waweru, F. M. (2016). Analysis of asymmetric and persistence in stock return volatility in the Nairobi Securities Exchange Market phases. Journal of Finance and Economics, 4(3), 63-73.
56. Özdemir, A., Vergili, G., & 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.
57. Panas, E., & Ninni, V. (2010). The distribution of London metal exchange prices: a test of the fractal market hypothesis. European Research Studies, 13(2), 193-210.
58. Peters, E. E. (1994). Fractal market analysis applying chaos theory to investment and economics. John Wiley & Sons Inc.
59. Phillips, P.C.B., & Perron, P. (1988). Testing for a unit root in time series regressions. Biometrika, 75, 335-346. https://doi.org/10.1093/biomet/75.2.335
60. Rachev, S. T., Weron, A., & Weron, R. (1999). CED model for asset returns and fractal market hypothesis. Mathematical and Computer Modelling, 29, 23-36. https://doi.org/10.1016/S0895-7177(99)00090-4
61. Quang, T. V. (2005). The fractal market analysis and its application on Czech conditions. Acta Oeconomica Pragensia, 13(1), 101-111. https://doi.org/10.18267/j.aop.141
62. Selvam, M., Gayathri, J., & Saranya, G. (2011). Fractal structure analysis in the Indian Stock Market. 20.12.2020 tarihinde https://ssrn.com/abstract=1885030 adresinden erişilmiştir.
63. Singh, K. K., Dimri, P., & Rawat, M. (2013). Fractal market hypothesis in Indian Stock Market. International Journal of Advanced Research in Computer Science and Software Engineering, 3(11), 739-743.
64. Sülkü, S. N., & Ürkmez, E. (2018). Hisse senedi getirilerinde doğrusal olmayan dinamikler: Türkiye'den kanıtlar. Uluslararası İktisadi ve İdari İncelemeler Dergisi, 18. EYİ Özel Sayısı, 473-484. https://doi.org/10.18092/ulikidince.349846
65. Tooma, E. A., & Sourial, M. S. (2004). Modeling the Egyptian Stock Market volatility pre- and post circuit breaker. Working Paper, 1-31. http://dx.doi.org/10.2139/ssrn.572061
66. Umoru, B, Udobi-Owoloja, P. I., Nzekwe, G. U., Iyiegbuniwe, W. C. & Ezike, J. E. (2020). Are stock returns predictable? The myth of efficient market hypothesis and random walk theory using Nigerian market data. International Journal of Economics, Business and Management Research, 4(7), 115-130.
67. Ural, M., & Demirelli, E. (2009). Hurst üstel katsayısı aracılığıyla fraktal yapı analizi ve İMKB’de bir uygulama. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 23(2), 243-255.
68. Vats, A. (2011). Long memory in returns and volatility: evidence from foreign exchange market of Asian countries. The International Journal of Applied Economics and Finance, 5(4), 245-256. https://doi.org/10.3923/ijaef.2011.245.256
69. Weron, A., & Weron, R. (2000). Fractal market hypothesis and two power-laws. Chaos, Solitons and Fractals, 11, 289-296. https://doi.org/10.1016/S0960-0779(98)00295-1