Araştırma Makalesi
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Türkiye Konut Piyasasında Zayıf Formda Etkinlik Analizi: Makroekonomik Bakış

Yıl 2021, Cilt: 6 Sayı: 14, 130 - 141, 28.02.2021
https://doi.org/10.25204/iktisad.855543

Öz

Bu çalışmanın amacı Türkiye’de Konut piyasasında etkin bir piyasanın varlığından söz edilebilir mi?” sorusuna cevap aramaktır. Türkiye ekonomisinin son 5 yılında gayrimenkul sektörü önemli bir yatırım aracı olarak değerlendirilmiş, Nispeten düşük konut (mortgage) faiz oranlarının beraberinde fiyat katılığını da yaşandığı görülmüştür. Amacın, farkında olmadan konut sektörünü verimli bir pazara dönüştürmek olduğu bilinse de etkin piyasanın durumu cevaplanmalıdır. Bu doğrultuda Merkez Bankası veri tabanından konut piyasası kavramının oluşumunda arz-talep pazarını temsil eden yeni konut fiyat endeksi (YKF), yeni olmayan konut fiyat endeksi (YOKF), konut fiyat endeksi (KFE) ve hedonik konut fiyat endeksi (HKFE) kullanılarak ampirik bir analiz yapılmıştır. İlk üç endeks için veri aralığı 1/2010 ile 1/2020 arasındadır. Hedonik konut fiyat endeksi veri aralığı ise 1/2011 ile 1/2020 arasındadır. Konut piyasasının özel durumunu gösteren Rastlantısal Yürüyüş Kuramını test etmek için birim kök testleri kullanılmıştır. Çalışmadan elde edilen sonuçlar, konut piyasasından ortalamanın üzerinde sürdürülebilir getiri elde edilemeyeceğini, yani piyasanın zayıf bir şekilde verimli olduğunu göstermektedir. Aynı zamanda Türkiye konut piyasasında, arz fazlası ile birlikte bulunan fiyat katılığı, düşündürücü bir durumdur. Bu sebeple, konut piyasasında oluşabilecek her türlü manipülatif haberin düzenleyici ve denetleyici kurumlar tarafından engellenmesi gerekmektedir.

Kaynakça

  • Alp, E. & Seven, U. (2019). The dynamics of household final consumption: The role of wealth channel. Central Bank Review, 19 (1), 21-32.
  • Altunöz, U. (2016). Borsa İstanbul’da Zayıf Formda Etkin Piyasa Hipotezinin Testi: Bankacılık Sektörü Örneği. Journal of International Social Research, 9(43).
  • Atan, S. D. & Ozdemir, Z. A. (2009). Hisse senedi piyasasında zayıf formda etkinlik: İMKB üzerine ampirik bir çalışma. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2), 33–48
  • Becker, R., Enders, W. & Hurn, S. (2004). “A General Test for Time Dependence in Parameters”, Journal of Applied Econometrics, 19, 899–906.
  • Becker, R., Enders, W. & Lee, J. (2006). “A Stationarity Test in the Presence of An Unknown Number of Smooth Breaks”, Journal of Time Series Analysis 27, 381–409.
  • Berke, B., Ozcan, B. & Dizdarlar, H. I. (2014). Döviz Piyasasının Etkinliği: Türkiye İçin Bir Analiz. Ege Academic Review, 14(4), 621–636.
  • Case, K. E. & Shiller, R. J. (1989). The behavior of home buyers in boom and post-boom markets. NBER Working Paper No. 2748.
  • Case, K. E. & Shiller, R. J. (1990). Forecasting prices and excess returns in the housing market. Real Estate Economics, 18(3), 253–273.
  • Christopoulos, D. K. & Leon-Ledesma, M. A. (2011). International Output Convergence, Breaks, And Asymmetric Adjustment. Studies in Nonlinear Dynamics & Econometrics, 15(3).
  • Coskun, Y. & Seven, U. (2016). Etkin Piyasalar Hipotezi ve BİST’in Zayıf Form Etkinlik Analizi. (Finansal Piyasalar ve Kurumlar: Teori ve Türkiye Uygulamasına Güncel Bakış) Bölüm 9, Seçkin Yayınları, Ed: Aysel Gündoğdu, ISBN: 978-975-02-3765-2), 289–319
  • Celik, T. T. (2007). “Efficient Market Hypothesis and Co-Mobility in Developing Countries”, Unpublished Doctoral Thesis, Istanbul Technical University.
  • Enders, W. & Lee, J. (2012). “A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks”, Oxford Bulletin of Economics and Statistics
  • Esra, Alp. & Seven, U. (2019). Türkiye Konut Piyasasında Etkinlik Analizi. Istanbul Business Research, 48(1), 84-112.
  • EVDS, website, https://evds2.tcmb.gov.tr/
  • Fama, E. F. (1965a). Random walks in stock market prices. Financial Analysts Journal 21(5), 55–59. Reprinted in 1995 as Random Walks in Stock Market Prices, Financial Analysts Journal 51(1), 75–80.
  • Fama, E. F. (1965b). The Behavior of Stock-Market Prices, Journal of Business, 38(1), 34–105.
  • Gau, G.W. (1984). Weak Form Test of The Efficiency of Real Estate Investment Markets. Financial Review, 19(4), 301-320.
  • Gau, G.W. (1985). Public Information and Abnormal Returns in Real Estate Investment. Journal of the American Real Estate and Urban Economics Association, 13(1), 15–31
  • Gumuş, B. F. & Zeren, F. (2014). Analyzing the Efficient Market Hypothesis with The Fourier Unit Root Tests: Evidence From G-20 Countries. Ekonomski horizonti, 16(3), 225-237.
  • Harvey, D.I. & Leybourne, S.J. (2007). “Testing for Time Series Linearity”, Econometrics Journal, 10, pp. 149-165.
  • Harvey, D.I., Leybourne, S.J. & Xiao, B., (2008). “A Powerful Test for Linearity When the order of Integration is Unknown”, Studies Nonlinear Dynamics and Econometrics, 12 (3) (article 2).
  • Iskenderoglu, O. & Akdag, S. (2019). Türkiye'de reel konut fiyatlarında balonların varlığı üzerine uygulamalı bir analiz. Business and Economics Research Journal, 10(5), 1085-1093.
  • Keenan, D.M. (1985). “A Tukey Nonadditivity-Type Test for Time Series Nonlinearity”, Biometrika, 72, pp. 39-44.
  • Kuo, C. L. (1996). Serial correlation and seasonality in the real estate market. Journal of Real Estate Finance and Economics 12(2), 139–162.
  • Koyuncu, T. & A. Aslan (2019). “An Application on Efficient Market Hypothesis and Advanced Stock Markets: Panel Data Analysis”, Kapadokya Academic Perspective Cappadocia Academic Review, 1 (1) ,17-30
  • Linneman, P. (1986). An empirical test of the efficiency of the housing market. Journal of Urban Economics, 20(2), 140–154
  • Loredana, M. E. (2019). A Critical Theoretical Analysis on The Implications of Efficient Market Hypothesis (Emh). Annals of ‘Constantin Brancusi’ University of Targu-Jiu. Economy Series, (6).
  • Ludlow, J. & Enders, W. (2000). Estimating Non-Linear ARMA Models Using Fourier Coefficients. International Journal of Forecasting, 16(3), 333-347.
  • McLeod, A.I. & Li, W.K. (1983). “Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations”, Journal of Time Series Analysis, 4(4), 269-273.
  • Prodan, R. (2008). “Potential Pitfalls in Determining Multiple Structural Changes with An Application to Purchasing Power Parity”, Journal of Business and Economics Statistics, 26, 50-65.
  • Rodrigues, P. & Taylor, A.M.R. (2012). “The Flexible Fourier Form and Local GLS De-Trending Unit Root Tests”, Oxford Bulletin of Economics and Statistics.
  • Telatar, E., Türkmen, Ş. & Teoman, Ö. (2002). Pamuk Borsalarında Oluşan Fiyatların Etkinliği. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 17(2), 55–74.
  • Tsay, R.S. (1986). “Nonlinearity Tests for Time Series”. Biometrika, 73, 461-466.
  • Zhang, J., de Jong, R. & Haurin, D. (2013). Are Real House Prices Stationary? Evidence from New Panel and Univariate Data. Department of Economics, The Ohio State University, 1, 2013.

Empirical Analysis of Weak Form Efficiency Evidence from The Housing Market in Turkey: Macroeconomic Glance

Yıl 2021, Cilt: 6 Sayı: 14, 130 - 141, 28.02.2021
https://doi.org/10.25204/iktisad.855543

Öz

The aim of this study is to look for an answer to the question of “Is it possible to discuss the existence of an efficient market for the housing market in Turkey?”. It was observed that relatively low housing (mortgage) interest rates were accompanied by price rigidity. Accordingly, in the formation of the housing market definition from the Central Bank (CBRT) database; an empirical analysis was made using the Residential Property Price Index for New Dwellings (NRPPI), the Residential Property Price Index for Existing Dwellings (ERPPI), the Residential Property Price Index (RPPI) and the Hedonic House Price Index (HHPI). The data range for the first three indices is between 1/2010 and 1/2020. Hedonic housing price index data range is between 1/2011 and 1/2020. Unit root tests were used to test the Random Walk Theory, which shows the characteristic condition of the housing market. The results from the study show that above average sustainable returns cannot be obtained from the housing market, as a result the market is poorly efficient. At the same time the housing market in Turkey, the rigidity of prices found along with excess supply situation is worrisome. Therefore, it is necessary to prevent all kinds of manipulative news that may occur in the housing market by the regulatory and supervisory institutions.

Kaynakça

  • Alp, E. & Seven, U. (2019). The dynamics of household final consumption: The role of wealth channel. Central Bank Review, 19 (1), 21-32.
  • Altunöz, U. (2016). Borsa İstanbul’da Zayıf Formda Etkin Piyasa Hipotezinin Testi: Bankacılık Sektörü Örneği. Journal of International Social Research, 9(43).
  • Atan, S. D. & Ozdemir, Z. A. (2009). Hisse senedi piyasasında zayıf formda etkinlik: İMKB üzerine ampirik bir çalışma. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2), 33–48
  • Becker, R., Enders, W. & Hurn, S. (2004). “A General Test for Time Dependence in Parameters”, Journal of Applied Econometrics, 19, 899–906.
  • Becker, R., Enders, W. & Lee, J. (2006). “A Stationarity Test in the Presence of An Unknown Number of Smooth Breaks”, Journal of Time Series Analysis 27, 381–409.
  • Berke, B., Ozcan, B. & Dizdarlar, H. I. (2014). Döviz Piyasasının Etkinliği: Türkiye İçin Bir Analiz. Ege Academic Review, 14(4), 621–636.
  • Case, K. E. & Shiller, R. J. (1989). The behavior of home buyers in boom and post-boom markets. NBER Working Paper No. 2748.
  • Case, K. E. & Shiller, R. J. (1990). Forecasting prices and excess returns in the housing market. Real Estate Economics, 18(3), 253–273.
  • Christopoulos, D. K. & Leon-Ledesma, M. A. (2011). International Output Convergence, Breaks, And Asymmetric Adjustment. Studies in Nonlinear Dynamics & Econometrics, 15(3).
  • Coskun, Y. & Seven, U. (2016). Etkin Piyasalar Hipotezi ve BİST’in Zayıf Form Etkinlik Analizi. (Finansal Piyasalar ve Kurumlar: Teori ve Türkiye Uygulamasına Güncel Bakış) Bölüm 9, Seçkin Yayınları, Ed: Aysel Gündoğdu, ISBN: 978-975-02-3765-2), 289–319
  • Celik, T. T. (2007). “Efficient Market Hypothesis and Co-Mobility in Developing Countries”, Unpublished Doctoral Thesis, Istanbul Technical University.
  • Enders, W. & Lee, J. (2012). “A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks”, Oxford Bulletin of Economics and Statistics
  • Esra, Alp. & Seven, U. (2019). Türkiye Konut Piyasasında Etkinlik Analizi. Istanbul Business Research, 48(1), 84-112.
  • EVDS, website, https://evds2.tcmb.gov.tr/
  • Fama, E. F. (1965a). Random walks in stock market prices. Financial Analysts Journal 21(5), 55–59. Reprinted in 1995 as Random Walks in Stock Market Prices, Financial Analysts Journal 51(1), 75–80.
  • Fama, E. F. (1965b). The Behavior of Stock-Market Prices, Journal of Business, 38(1), 34–105.
  • Gau, G.W. (1984). Weak Form Test of The Efficiency of Real Estate Investment Markets. Financial Review, 19(4), 301-320.
  • Gau, G.W. (1985). Public Information and Abnormal Returns in Real Estate Investment. Journal of the American Real Estate and Urban Economics Association, 13(1), 15–31
  • Gumuş, B. F. & Zeren, F. (2014). Analyzing the Efficient Market Hypothesis with The Fourier Unit Root Tests: Evidence From G-20 Countries. Ekonomski horizonti, 16(3), 225-237.
  • Harvey, D.I. & Leybourne, S.J. (2007). “Testing for Time Series Linearity”, Econometrics Journal, 10, pp. 149-165.
  • Harvey, D.I., Leybourne, S.J. & Xiao, B., (2008). “A Powerful Test for Linearity When the order of Integration is Unknown”, Studies Nonlinear Dynamics and Econometrics, 12 (3) (article 2).
  • Iskenderoglu, O. & Akdag, S. (2019). Türkiye'de reel konut fiyatlarında balonların varlığı üzerine uygulamalı bir analiz. Business and Economics Research Journal, 10(5), 1085-1093.
  • Keenan, D.M. (1985). “A Tukey Nonadditivity-Type Test for Time Series Nonlinearity”, Biometrika, 72, pp. 39-44.
  • Kuo, C. L. (1996). Serial correlation and seasonality in the real estate market. Journal of Real Estate Finance and Economics 12(2), 139–162.
  • Koyuncu, T. & A. Aslan (2019). “An Application on Efficient Market Hypothesis and Advanced Stock Markets: Panel Data Analysis”, Kapadokya Academic Perspective Cappadocia Academic Review, 1 (1) ,17-30
  • Linneman, P. (1986). An empirical test of the efficiency of the housing market. Journal of Urban Economics, 20(2), 140–154
  • Loredana, M. E. (2019). A Critical Theoretical Analysis on The Implications of Efficient Market Hypothesis (Emh). Annals of ‘Constantin Brancusi’ University of Targu-Jiu. Economy Series, (6).
  • Ludlow, J. & Enders, W. (2000). Estimating Non-Linear ARMA Models Using Fourier Coefficients. International Journal of Forecasting, 16(3), 333-347.
  • McLeod, A.I. & Li, W.K. (1983). “Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations”, Journal of Time Series Analysis, 4(4), 269-273.
  • Prodan, R. (2008). “Potential Pitfalls in Determining Multiple Structural Changes with An Application to Purchasing Power Parity”, Journal of Business and Economics Statistics, 26, 50-65.
  • Rodrigues, P. & Taylor, A.M.R. (2012). “The Flexible Fourier Form and Local GLS De-Trending Unit Root Tests”, Oxford Bulletin of Economics and Statistics.
  • Telatar, E., Türkmen, Ş. & Teoman, Ö. (2002). Pamuk Borsalarında Oluşan Fiyatların Etkinliği. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 17(2), 55–74.
  • Tsay, R.S. (1986). “Nonlinearity Tests for Time Series”. Biometrika, 73, 461-466.
  • Zhang, J., de Jong, R. & Haurin, D. (2013). Are Real House Prices Stationary? Evidence from New Panel and Univariate Data. Department of Economics, The Ohio State University, 1, 2013.
Toplam 34 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Ekonomi
Bölüm Araştırma Makaleleri
Yazarlar

Mehmet Çanakçı 0000-0002-3878-562X

Yayımlanma Tarihi 28 Şubat 2021
Gönderilme Tarihi 6 Ocak 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 6 Sayı: 14

Kaynak Göster

APA Çanakçı, M. (2021). Empirical Analysis of Weak Form Efficiency Evidence from The Housing Market in Turkey: Macroeconomic Glance. İktisadi İdari Ve Siyasal Araştırmalar Dergisi, 6(14), 130-141. https://doi.org/10.25204/iktisad.855543
AMA Çanakçı M. Empirical Analysis of Weak Form Efficiency Evidence from The Housing Market in Turkey: Macroeconomic Glance. İKTİSAD. Şubat 2021;6(14):130-141. doi:10.25204/iktisad.855543
Chicago Çanakçı, Mehmet. “Empirical Analysis of Weak Form Efficiency Evidence from The Housing Market in Turkey: Macroeconomic Glance”. İktisadi İdari Ve Siyasal Araştırmalar Dergisi 6, sy. 14 (Şubat 2021): 130-41. https://doi.org/10.25204/iktisad.855543.
EndNote Çanakçı M (01 Şubat 2021) Empirical Analysis of Weak Form Efficiency Evidence from The Housing Market in Turkey: Macroeconomic Glance. İktisadi İdari ve Siyasal Araştırmalar Dergisi 6 14 130–141.
IEEE M. Çanakçı, “Empirical Analysis of Weak Form Efficiency Evidence from The Housing Market in Turkey: Macroeconomic Glance”, İKTİSAD, c. 6, sy. 14, ss. 130–141, 2021, doi: 10.25204/iktisad.855543.
ISNAD Çanakçı, Mehmet. “Empirical Analysis of Weak Form Efficiency Evidence from The Housing Market in Turkey: Macroeconomic Glance”. İktisadi İdari ve Siyasal Araştırmalar Dergisi 6/14 (Şubat 2021), 130-141. https://doi.org/10.25204/iktisad.855543.
JAMA Çanakçı M. Empirical Analysis of Weak Form Efficiency Evidence from The Housing Market in Turkey: Macroeconomic Glance. İKTİSAD. 2021;6:130–141.
MLA Çanakçı, Mehmet. “Empirical Analysis of Weak Form Efficiency Evidence from The Housing Market in Turkey: Macroeconomic Glance”. İktisadi İdari Ve Siyasal Araştırmalar Dergisi, c. 6, sy. 14, 2021, ss. 130-41, doi:10.25204/iktisad.855543.
Vancouver Çanakçı M. Empirical Analysis of Weak Form Efficiency Evidence from The Housing Market in Turkey: Macroeconomic Glance. İKTİSAD. 2021;6(14):130-41.


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