FİNANSAL PİYASALARDA UZUN DÖNEMLİ BAĞIMLILIK VE ETKİN PİYASALAR HİPOTEZİ

Yıl 2018, Cilt: 20 Sayı: 3, 47 - 56, 27.07.2018

Mercan Hatipoğlu , İbrahim Bozkurt

Öz

Bu makalenin amacı etkin piyasalar hipotezini
Amerika, İngiltere, Türkiye ve Rusya finansal piyasaları için uzun dönemli
bağımlılık kapsamında test etmektir. Çalışmada yöntem olarak Dönüştürülmüş
Genişlik ve Trendten Arındırılmış Dalgalanma Analizi kullanılmıştır. Veriler
günlük frekansta olup Mayıs 2013 ile Mayıs 2015 arası dönemi kapsamaktadır.
Sonuç olarak gelişmekte olan ülke borsalarının gelişmiş ülke borsalarına göre
daha etkin olduğu bulunmuştur. Bununla beraber uzun hafıza özelliği
getirilerden daha fazla oynaklığın göstergesi olan getiri karelerinde
görülmüştür. 

Anahtar Kelimeler

Etkin piyasalar, Hurst Katsayısı, Uzun dönemli hafıza

Kaynakça

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