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TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY

Yıl 2013, Cilt: 5 Sayı: 2, 10 - 22, 01.12.2013

Öz

We implemented several parametric and non-parametric tests to investigate
random walk hypothesis and market efficiency theorem for Turkey’s two main
markets, Turkish Derivatives Exchange and Borsa İstanbul(new name for İstanbul
Stock Exchange). 12/02/2007 – 08/02/2013 period is our testing period and we
used daily log returns. According to our findings in the very short term null
hypothesis of random walk is accepted.

Kaynakça

  • Campbell, John Y., Lo, Andrew W., & MacKinlay, A.Craig. (1997), “The
  • Econometrics of Financial Marketes”, New Jersey: Princeton University Press Ehrhardt, M.C., & Brigham, E.F.(2011), Financial Management: Theory and Practice (13th ed.) , Ohio: South-Western Cengage Learning.
  • Sharpe, W., Alexander, G.J., & Bailey, J.V. (1998), Investments (6th ed.), New
  • Jersey: Prentice Hall. Borges, Maria. Rosa (2011), “Random walk tests for the Lisbon stock market.”, Applied Economics, 43(5), pp.631-639.
  • Büyükşalvarcı, Ahmet, & Abdioğlu, Hasan (2011), “Testing weak form efficiency of the Turkish stock market”, African Journal of Business Management, Vol. 5 No.34, pp.13044-13056
  • Charels, Amélie,& Darné, Oliver (2009), “Variance-Ratio Tests Of Random
  • Walk: An Overview”, Journal Of Economic Surveys, Vol.23 No.3, pp.503-527
  • Crouch, R. L. (1970), “A Nonlinear Test of the Random-Walk Hypothesis.”,
  • American Economic Review, 60(1), pp.199-202. Ergül, Nuray (2009), “Ulusal Hisse Senetleri Piyasası’nda Etkinlik”, Journal Of
  • Administrative Sciences, 7(1), pp.101-117. Fama, Eugene F. (1965), “Random Walks in Stock Market Prices”, Financial
  • Analysts Journal , Vol. 21, No. 5, pp. 55-59
  • Jašić, Teo., & Wood, Douglas. (2006), “Testing for efficiency and non-linearity in market and natural time series.”, Journal Of Applied Statistics, 33(2), pp.113-138.
  • Jiang, George. J., & Tian, Yisong. S. (2012), “A random walk down the options market.”, Journal Of Futures Markets, 32(6), pp.505-535.
  • Khan, Walayet,& Vieito, João Paulo (2012), “Stock exchange mergers and weak form of market efficiency: The case of Euronext Lisbon”, International Review of
  • Economics & Finance, Volume 22, Issue 1, pp.173-189
  • Kleiman, Robert T., Payne, James E., & Sahu, Anandi P. (2002), “Random Walks and Market Efficiency: Evidence from International Real Estate Markets.”,
  • Journal Of Real Estate Research, 24(3), pp.279-297. Lock, Dat Bue, (2007),"The Taiwan stock market does follow a random walk.",
  • Economics Bulletin, Vol. 7, No. 3, pp.1-8
  • Payne, James E., & Sahu, Anandi P. (2004), “Random Walks, Cointegration, And The Transmission Of Shocks Across Global Real Estate And Equity Markets.”,
  • Journal Of Economics & Finance, 28(2), pp.198-210. Smith, Graham (2002), “Tests of the random walk hypothesis for London gold prices.”, Applied Economics Letters, 9(10), pp.671-674.
  • Smith, Graham, & Ryoo, Hyun-Jung (2003), “Variance ratio tests of the random walk hypothesis for European emerging stock markets”, The European Journal of Finance, Vol.9, pp.290-300
  • Tunçel, Ahmet Kamil (2007), “Rassal Yürüyüş(Random Walk) Hipotezi’nin
  • İMKB’de Test Edilmesi: Koşu Testi Uygulaması”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), pp.1-18. Urrutia, Jorge. L. (1995), “Tests Of Random Walk And Market Efficiency For
  • Latin American Emerging Equity Markets.”, Journal Of Financial Research, (3), pp.299-309. Van Horne, James C., & Parker, George C. (1967), “The Random-Walk Theory:
  • An Empirical Test.”, Financial Analysts Journal, 23(6), pp.87-92. Lo, Andrew W. & MacKinlay, A. Craig(1986:1987), “A Simple Specification
  • Test Of Random Walk Hypothesis”, Rodney L. White Center For Financial Research Working Papers 13-87, Pennsylvania: Wharton School of the University of Pennsylvania Borsa Verileri, verileri/endeks-verileri, [Accessed 24.07.2013]
  • IFC-İstanbul (2009), Strategy And Action Plan For İstanbul International Financial
  • Center, http://www.ifm.gov.tr/Shared%20Documents/Strategy%20and%20Action %20Plan%20for%20IFC%20Istanbul.pdf, [Accessed 03.10.2012]
  • İMKB (2013), Veriler, http://www.imkb.gov.tr/Data/StocksData.aspx, [Accessed 02.2013]
  • İstanbul Menkul kıymetler Borsası (2013), VOB-İMKB Birleşme Süreci Hk., pdf?sfvrsn=0, [Accessed 23.07.2013]
  • Türkiye Büyük Millet Meclisi (2012), Sermaye Piyasası Kanunu Tasarısı ile Plan ve Bütçe Komisyonu
  • Raporu(1/638), http://www.tbmm.gov.tr/sirasayi/donem24/yil01/ss337.pdf, Accessed 03.03.2013] VOB (2013),
  • Veriler, http://www.vob.org.tr/VOBPortalTur/DesktopModules/QuotaHistoricSho wCSV.aspx ,[Accessed 10.02.2013] (2013), Endeks http://borsaistanbul.com/veriler/verileralt/hisse-senetleri-piyasasi- http://borsaistanbul.com/docs/default-source/viop/genel-mektup
Yıl 2013, Cilt: 5 Sayı: 2, 10 - 22, 01.12.2013

Öz

Kaynakça

  • Campbell, John Y., Lo, Andrew W., & MacKinlay, A.Craig. (1997), “The
  • Econometrics of Financial Marketes”, New Jersey: Princeton University Press Ehrhardt, M.C., & Brigham, E.F.(2011), Financial Management: Theory and Practice (13th ed.) , Ohio: South-Western Cengage Learning.
  • Sharpe, W., Alexander, G.J., & Bailey, J.V. (1998), Investments (6th ed.), New
  • Jersey: Prentice Hall. Borges, Maria. Rosa (2011), “Random walk tests for the Lisbon stock market.”, Applied Economics, 43(5), pp.631-639.
  • Büyükşalvarcı, Ahmet, & Abdioğlu, Hasan (2011), “Testing weak form efficiency of the Turkish stock market”, African Journal of Business Management, Vol. 5 No.34, pp.13044-13056
  • Charels, Amélie,& Darné, Oliver (2009), “Variance-Ratio Tests Of Random
  • Walk: An Overview”, Journal Of Economic Surveys, Vol.23 No.3, pp.503-527
  • Crouch, R. L. (1970), “A Nonlinear Test of the Random-Walk Hypothesis.”,
  • American Economic Review, 60(1), pp.199-202. Ergül, Nuray (2009), “Ulusal Hisse Senetleri Piyasası’nda Etkinlik”, Journal Of
  • Administrative Sciences, 7(1), pp.101-117. Fama, Eugene F. (1965), “Random Walks in Stock Market Prices”, Financial
  • Analysts Journal , Vol. 21, No. 5, pp. 55-59
  • Jašić, Teo., & Wood, Douglas. (2006), “Testing for efficiency and non-linearity in market and natural time series.”, Journal Of Applied Statistics, 33(2), pp.113-138.
  • Jiang, George. J., & Tian, Yisong. S. (2012), “A random walk down the options market.”, Journal Of Futures Markets, 32(6), pp.505-535.
  • Khan, Walayet,& Vieito, João Paulo (2012), “Stock exchange mergers and weak form of market efficiency: The case of Euronext Lisbon”, International Review of
  • Economics & Finance, Volume 22, Issue 1, pp.173-189
  • Kleiman, Robert T., Payne, James E., & Sahu, Anandi P. (2002), “Random Walks and Market Efficiency: Evidence from International Real Estate Markets.”,
  • Journal Of Real Estate Research, 24(3), pp.279-297. Lock, Dat Bue, (2007),"The Taiwan stock market does follow a random walk.",
  • Economics Bulletin, Vol. 7, No. 3, pp.1-8
  • Payne, James E., & Sahu, Anandi P. (2004), “Random Walks, Cointegration, And The Transmission Of Shocks Across Global Real Estate And Equity Markets.”,
  • Journal Of Economics & Finance, 28(2), pp.198-210. Smith, Graham (2002), “Tests of the random walk hypothesis for London gold prices.”, Applied Economics Letters, 9(10), pp.671-674.
  • Smith, Graham, & Ryoo, Hyun-Jung (2003), “Variance ratio tests of the random walk hypothesis for European emerging stock markets”, The European Journal of Finance, Vol.9, pp.290-300
  • Tunçel, Ahmet Kamil (2007), “Rassal Yürüyüş(Random Walk) Hipotezi’nin
  • İMKB’de Test Edilmesi: Koşu Testi Uygulaması”, Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), pp.1-18. Urrutia, Jorge. L. (1995), “Tests Of Random Walk And Market Efficiency For
  • Latin American Emerging Equity Markets.”, Journal Of Financial Research, (3), pp.299-309. Van Horne, James C., & Parker, George C. (1967), “The Random-Walk Theory:
  • An Empirical Test.”, Financial Analysts Journal, 23(6), pp.87-92. Lo, Andrew W. & MacKinlay, A. Craig(1986:1987), “A Simple Specification
  • Test Of Random Walk Hypothesis”, Rodney L. White Center For Financial Research Working Papers 13-87, Pennsylvania: Wharton School of the University of Pennsylvania Borsa Verileri, verileri/endeks-verileri, [Accessed 24.07.2013]
  • IFC-İstanbul (2009), Strategy And Action Plan For İstanbul International Financial
  • Center, http://www.ifm.gov.tr/Shared%20Documents/Strategy%20and%20Action %20Plan%20for%20IFC%20Istanbul.pdf, [Accessed 03.10.2012]
  • İMKB (2013), Veriler, http://www.imkb.gov.tr/Data/StocksData.aspx, [Accessed 02.2013]
  • İstanbul Menkul kıymetler Borsası (2013), VOB-İMKB Birleşme Süreci Hk., pdf?sfvrsn=0, [Accessed 23.07.2013]
  • Türkiye Büyük Millet Meclisi (2012), Sermaye Piyasası Kanunu Tasarısı ile Plan ve Bütçe Komisyonu
  • Raporu(1/638), http://www.tbmm.gov.tr/sirasayi/donem24/yil01/ss337.pdf, Accessed 03.03.2013] VOB (2013),
  • Veriler, http://www.vob.org.tr/VOBPortalTur/DesktopModules/QuotaHistoricSho wCSV.aspx ,[Accessed 10.02.2013] (2013), Endeks http://borsaistanbul.com/veriler/verileralt/hisse-senetleri-piyasasi- http://borsaistanbul.com/docs/default-source/viop/genel-mektup
Toplam 33 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA23PC27RT
Bölüm Makaleler
Yazarlar

Gizay Daver Bu kişi benim

Merve Karacaer Bu kişi benim

Hülya Ünlü

Yayımlanma Tarihi 1 Aralık 2013
Yayımlandığı Sayı Yıl 2013 Cilt: 5 Sayı: 2

Kaynak Göster

APA Daver, G., Karacaer, M., & Ünlü, H. (2013). TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY. International Journal of Economics and Finance Studies, 5(2), 10-22.
AMA Daver G, Karacaer M, Ünlü H. TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY. IJEFS. Aralık 2013;5(2):10-22.
Chicago Daver, Gizay, Merve Karacaer, ve Hülya Ünlü. “TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY”. International Journal of Economics and Finance Studies 5, sy. 2 (Aralık 2013): 10-22.
EndNote Daver G, Karacaer M, Ünlü H (01 Aralık 2013) TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY. International Journal of Economics and Finance Studies 5 2 10–22.
IEEE G. Daver, M. Karacaer, ve H. Ünlü, “TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY”, IJEFS, c. 5, sy. 2, ss. 10–22, 2013.
ISNAD Daver, Gizay vd. “TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY”. International Journal of Economics and Finance Studies 5/2 (Aralık 2013), 10-22.
JAMA Daver G, Karacaer M, Ünlü H. TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY. IJEFS. 2013;5:10–22.
MLA Daver, Gizay vd. “TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY”. International Journal of Economics and Finance Studies, c. 5, sy. 2, 2013, ss. 10-22.
Vancouver Daver G, Karacaer M, Ünlü H. TESTING OF BIST AND TURKDEX: RANDOM WALK AND MARKET EFFICIENCY. IJEFS. 2013;5(2):10-22.