Katılım 30 Endeksi İçin Zayıf Formda Etkin Piyasa Hipotezinin ARFIMA-FIEGARCH Model ile Analizi

Öz

Etkin piyasa hipotezi EPH , bireysel ve kurumsal yatırımcılar, port-föy yöneticileri ve politika yapıcılar açısından büyük önem arz et-mektedir. Bu nedenle konvansiyonel finans literatüründe sıklıkla çalışılan konuların başında gelmektedir. Ancak İslami hisse senedi piyasaları ve de özellikle Türkiye İslami hisse senedi piyasasında EPH’nin geçerliliğini konu edinen çok az çalışma mevcuttur. Bu ne-denle bu çalışmada, Türkiye İslami hisse senedi piyasalarında etkin piyasa hipotezinin geçerliliği incelenmiştir. Bu kapsamda Katılım 30 endeksi için getiri ve volatilitede uzun hafızanın varlığı ARFIMA-FIEGARCH modeli ile araştırılmıştır. Çalışmadan elde edilen bulgu-lar ışığında Türkiye İslami hisse senedi piyasasında uzun hafızanın varlığına rastlanılmış ve zayıf formda etkin piyasa hipotezinin geçerli olmadığı görülmüştür

Anahtar Kelimeler

• Etkin Piyasa Hipotezi, Katılım 30 Endeksi, ARFIMA-FIEGARCH

The Analysis of Weak Form Efficient Market Hypothesis for Participation 30 Index by ARFIMA-FIEGARCH Model

Öz

Efficient market hypothesis EMH is important for individual and institutional investors, portfolio managers and policy makers. There-fore, it has been widely examined in the conventional finance litera-ture. However, there is limited numbers of studies that examine the validity of the EMH in Islamic stock markets, specifically in Turkey. Therefore, in this study, the validity of the EMH in Turkey Islamic stock markets was investigated. In this manner, the presence of long memory in both returns and volatility of the Participation 30 Index was investigated by using ARFIMA-FIEGARCH model. The results indicate the presence of long memory in Turkey Islamic stock mar-kets and this finding suggest that the weak form of the efficient mar-ket hypothesis is no valid

Anahtar Kelimeler

• Efficient Market Hypothesis, Participation 30 Index, ARFIMA-FIEGARCH

Kaynakça

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