Araştırma Makalesi
BibTex RIS Kaynak Göster

Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices

Yıl 2023, Cilt: 8 Sayı: 21, 377 - 402, 30.06.2023
https://doi.org/10.25204/iktisad.1208721

Öz

We aim in this study to investigate the existence of the Adaptive Market Hypothesis in the Turkish stock market during the global crisis periods. In other words, it has been investigated whether there are periods in the stock market in Turkey is both efficient and inefficient. For this purpose, Borsa Istanbul's main index (XU100) and selected sector indices (XBANK, XGIDA, XTEKS, XTRZM) were tested in the crisis environments, the Asian Financial Crisis, the American "Dotcom" crisis, the Mortgage crisis, the European debt crisis and finally the Covid-19 crisis. Automatic Portmanteau and Wild Bootstrap Automatic Variance Ratio tests were used in the research. According to the results obtained, findings compatible with the Adaptive Market Hypothesis were reached in all Borsa Istanbul indices within the scope of the research. It has been observed that there may be fluctuations in market efficiency at different frequencies and durations in relation to the nature of the crisis and the source of its output. It is thought that the study is original and will contribute to the literature for the following reasons; the Adaptive Market Hypothesis for the Turkish stock market has been tested for all crisis periods in the recent history and the effects of the crises on the sectors are also examined in terms of effectiveness.

Kaynakça

  • Adaramola, A.O. and Obisesan, O.G. (2021). Adaptive market hypothesis: Evidence from Nigerian stock exchange. The Journal of Developing Areas, 55(2), 153-165.
  • Ajao, M.G. and Osayuwu, R. (2012). Testing the weak form of efficient market hypothesis in Nigerian capital. Accounting And Finance Research, 1(1), 169-179.
  • Altunöz, U. (2021). Davranışsal finans kapsamında aşırı tepki anomalisinin Borsa İstanbul’da pay senedi ve endeksler özelinde analizi. Sosyal, Beşeri ve İdari Bilimler Dergisi, 2(9), 635-656.
  • Bosnjak, M. (2023). Evolving efficiency of stock returns and market conditions: The case from Croatia. ELIT–Economic Laboratory for Transition Research Dz. Washingtona 4/5, 19(1), 107.
  • Box, G. E. and Pierce, D. A. (1970). Distribution of residual autocorrelations in autoregressive-integrated moving average time series models. Journal of the American Statistical Association, 65(332), 1509-1526.
  • Buğan, M.F., Çevik, E.İ., Kırcı Çevik, N. and Yıldırım, D. Ç. (2021). Testing adaptive market hypothesis in global islamic stock markets: Evidence from markov-switching adf test. Bilimname, 2021(44), 425-449. https://doi.org/10.28949/bilimname.866724
  • Burhan, H. A. and Acar, E. (2021). Adaptive market hypothesis and return predictability: A hidden Markov model application in Borsa Istanbul. Socioeconomics, 29(48), 31-58.
  • Cavalheiro, E. A., Vieira, K. M. and Ceretta, S. P. (2012). Efficiency in emerging markets: Applying the automatic variance ratio test. Corporate Ownership & Control, 9(2), 300-309.
  • Çelik, T. T. and Taş, O. (2007). Etkin piyasa hipotezi ve gelişmekte olan hisse senedi piyasaları. İTÜ Dergisi, 4(2), 11-22.
  • Charles, A., Darné, O. and Kim, J. (2011). Small sample properties of alternative tests for martingale difference hypothesis. Economics Letters, 110(2), 151-154.
  • Charles, A., Darné, O. and Kim, J. H. (2015). Adaptive Markets Hypothesis for islamic stock portfolios: Evidence from Dow Jones size and sector-indices. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2611472
  • Cho, B., and Saki, Z. (2022). Firm performance under the COVID-19 pandemic: The case of the US textile and apparel industry. The Journal of The Textile Institute, 113(8), 1637-1647.
  • Choi, I. (1999). Testing the random walk hypothesis for real exchange rates. Journal of Applied Econometrics, 14(3), 293-308.
  • Chu, J., Zhang, Y. and Chan, S. (2019). The adaptive market hypothesis in the high frequency cryptocurrency market. International Review of Financial Analysis, 64, 221-231.
  • Çilek, A. (2022). Entegre CRITIC-COPRAS yaklaşımıyla Covid-19 salgınının Borsa İstanbul turizm endeksinde işlem gören şirketlerin finansal performansına etkisi. Güncel Turizm Araştırmaları Dergisi, 6(1), 263-281.
  • Çipe, B. (2021). Testing the adaptive markets hypothesis in the covid-19 process in developed and developing countries. Unpublished Doctoral Thesis. Nevsehir: Nevşehir Hacı Bektaş Veli University, Institute of Social Sciences.
  • Diallo, O. K., Mendy, P. and Burlea-Schiopoiu, A. (2021). A method to test weak form market efficiency from sectoral indices of the WAEMU stock exchange: A wavelet analysis. Heliyon, 7(1), 1-8.
  • Doğukanlı, H. and Ergün, B. (2011). Davranışsal finans etkin piyasalara karşı: aşırı tepki hipotezinin İMKB’de araştırılması. Ç.Ü. Sosyal Bilimler Enstitüsü Dergisi, 20(1), 321-336.
  • Doley, S. R. (2022). Hypothesis test of weak form of market efficiency in some selected stocks. Indian Journal of Research in Capital Markets, 8(4), 28-49.
  • Doruk, Ö. T. (2022). Covıd-19’un finansal performansa etkisi: Gıda sektörü firmaları için karşılaştırmalı bir değerlendirme. Muhasebe ve Denetime Bakış, 22(66), 67-82.
  • Ege, İ., Topaloğlu, E. E. and Coşkun, D. (2012). Davranışsal finans ve anomaliler: Ocak ayı anomalisinin İMKB’de test edilmesi. Muhasebe ve Finansman Dergisi, 2012(56), 175-190.
  • Engle, R. F. (1982). A general approach to lagrange multiplier model diagnostics. Journal of Econometrics, 20(1), 83-104.
  • Ertaş, F. C. and Özkan, O. (2018). Testing the adaptive market hypothesis in terms of market efficiency: The case of Turkish and US stock markets. Finans Politik & Ekonomik Yorum, 2018(642), 23-40.
  • Escanciano, J. C. and Lobato, I. N. (2009). An automatic portmanteau test for serial correlation. Journal of Econometrics, 151(2), 140-149.
  • Eyüboğlu, K. and Eyüboğlu, S. (2020). Testing the validity of the adaptive market hypothesis in Borsa Istanbul indices. Journal of Yasar University, 15(59), 642-654.
  • Gemici, E. (2021). Testing the adaptive market hypothesis in Asia-Pacific countries. Journal of Financial Research and Studies, 13(24), 129-142.
  • Ggayi, C. M. (2021). Testing the weak-form of the efficient market hypothesis on the Johannesburg stock exchange after the global financial crisis. Unpublished Master Dissertation. Cape Town: University of the Western Cape, School of Business and Finance.
  • Hiremath, G. S. and Narayan, S. (2016). Testing the adaptive market hypothesis and its determinants for the Indian stock markets. Finance Research Letters, 19, 173-180.
  • Hota, H. S., Handa, R. and Shrivas, A. K. (2017). Time series data prediction using sliding window based RBF neural network. International Journal of Computational Intelligence Research, 13(5), 1145-1156.
  • Ildırar, M. ve Dallı, T. (2021). Etkin piyasa hipotezinin Türk bankacılık sektörü üzerine uygulaması. Journal of Economics and Research, 2(2), 47-66.
  • Ito, M. and Sugiyama, S. (2009). Measuring the degree of time varying market inefficiency. Economics Letters, 103 (1), 62-64.
  • Kamışlı M. and Sevil G. (2018), Borsa İstanbul alt sektör endeksleri arasındaki oynaklık yayılımlarının analizi, BMIJ, (2018), 6(4): 1015-1032. http://dx.doi.org/10.15295/bmij.v6i4.381
  • Karaömer, Y. and Kakilli Acaravci, S. (2023). Adaptive market hypothesis: Evidence from the cryptocurrency market. Iranian Journal of Management Studies (IJMS), 16(1), 125-138.
  • Khuntia, S. and Pattanayak, J. K. (2018). Adaptive market hypothesis and evolving predictability of bitcoin. Economics Letters, 167, 26-28.
  • Kılıc, Y. (2020). Adaptive market hypothesis: Evidence from the Turkey stock market. Journal of Applied Economics and Business Research, 10(1), 28-39.
  • Kim, J. H. (2009). Automatic variance ratio test under conditional heteroskedasticity. Finance Research Letters, 6(3), 179-185.
  • Kim, J. H., Shamsuddin, A., and Lim, K. P. (2011). Stock return predictability and the adaptive markets hypothesis: Evidence from century-long US data. Journal of Empirical Finance, 18(5), 868-879.
  • Köse İçigen, F. (2020). Testing the adaptive markets hypothesis in the Borsa Istanbul 100 index. Unpublished Doctoral Dissertation. Kütahya: Kütahya Dumlupınar University, Institute of Social Sciences.
  • Lazăr, D., Todea, A. and Filip, D. (2012). Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets. Economic Systems, 36(3), 338-350.
  • Lee, C. C., Lee, J. D. and Lee, C. C. (2010). Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks. Japan and the World Economy, 22(1), 49-58.
  • Lim, K. P. (2007). Ranking market efficiency for stock markets: A nonlinear perspective. Physica A: Statistical Mechanics and its Applications, 376, 445-454.
  • Lim, K. P. and Brooks, R. D. (2006). The evolving and relative efficiencies of stock markets: Empirical evidence from rolling bicorrelation test statistics. Available at SSRN 931071. https://dx.doi.org/10.2139/ssrn.931071
  • Ljung, G. M. and Box, G. E. (1978). On a measure of lack of fit in time series models. Biometrika, 65(2), 297-303.
  • Lo, A. W. (2004). The adaptive markets hypothesis - market efficiency from an evolutionary perspective. The Journal Of Portfolio Management, 30(5), 15-29.
  • Lo, A. W. (2012). Adaptive markets and the new world order (corrected May 2012). Financial Analysts Journal, 68(2), 18-29.
  • Lo, A. W. and MacKinlay, A. C. (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. The Review of Financial Studies, 1(1), 41-66.
  • Lobato, I., Nankervis, J. C., and Savin, N. E. (2001). Testing for autocorrelation using a modified box-pierce Q test. International Economic Review, 42(1), 187-205.
  • Mammen, E. (1993). Bootstrap and wild bootstrap for high dimensional linear models. The Annals of Statistics, 21(1), 255-285.
  • Mandacı, P. E., Taşkın, F. D. and Ergün, Z. C. (2019). Adaptive market hypothesis. International Journal of Economics and Business Administration, 7(4), 84-101.
  • Mooney, C. Z. (1996). Bootstrap statistical inference: Examples and evaluations for political science. American Journal of Political Science, 40(2), 570-602.
  • Munir, A. F., Sukor, M. E. A. and Shaharuddin, S. S. (2022). Adaptive market hypothesis and time-varying contrarian effect: Evidence from emerging stock markets of South Asia. SAGE Open, 12(1), 1-16.
  • Okorie, D. I. and Lin, B. (2021). Stock markets and the COVID-19 fractal contagion effects. Finance Research Letters, 38(January/2021), 1-8.
  • Özkan, O. (2020a). Adaptive markets hypothesis: A study on Turkish financial markets. Ankara: Gazi Kitapevi Tic. Ltd. Şti.
  • Özkan, O. (2020b). A global comparison of the weak form market efficiency of stock markets: An empirical study on G-20 members. Manisa Celal Bayar University Journal of Social Sciences, 18(2), 327-338.
  • Özkan, O. (2021). Impact of COVID-19 on stock market efficiency: Evidence from developed countries. Research in International Business and Finance, 58(December 2021), 1-10. https://www.sciencedirect.com/science/article/pii/S0275531921000660?via%3Dihub (24.02.2022).
  • Özkan, O. and Şahin, E. E. (2020). Comparison of weak form informational efficiency of cryptocurrencies within the scope of efficient markets hypothesis. Turkish Studies - Economy, 15(4), 2393-2406.
  • Phan Tran Trung, D. and Quang, H. P. (2019). Adaptive market hypothesis: Evidence from the Vietnamese stock market. Journal of Risk and Financial Management, 12(2), 81.
  • Phiri, A. (2015). Efficient market hypothesis in South Africa: Evidence from linear and nonlinear unit root tests. Managing Global Transitions, 13(4), 369-387.
  • Rahman, M. L., Lee, D. and Shamsuddin, A. (2017). Time-varying return predictability in South Asian equity markets. International Review of Economics and Finance, 48(3), 179-200.
  • Shahid, M. N., Jehanzeb, M., Abbas, A., Zubair, A. and Akbar, M. H. (2020a). Predictability of precious metals and adaptive market hypothesis. International Journal of Emerging Markets, 15(5), 1011-1027.
  • Shahid, M. N., Latif, K., Chaudhary, G. M. and Adil, S. (2020b). Financial crises and adaptive market hypothesis: An evidence from international commodities traded at New York stock exchange. Review of Economics and Development Studies, 6(1), 67-81.
  • Smith, G., and Dyakova, A. (2016). The relative predictability of stock markets in the Americas. International Journal of Finance & Economics, 21(2), 131-142.
  • Tokić, S., Bolfek, B. and Peša, A. R. (2018). Testing efficient market hypothesis in developing Eastern European countries. Investment Management and Financial Innovations, 15(2), 281-291.
  • Tripathi, A., Vipul, V. and Dixit, A. (2020). Adaptive market hypothesis and investor sentiments: Global evidence. Managerial Finance, 46(11), 1407-1436.
  • Urquhart, A. and McGroarty, F. (2016). Are stock markets really efficient? Evidence of the adaptive market hypothesis. International Review of Financial Analysis, 47, 39-49.
  • Zhang, D., Wu, T.-C., Chang, T. and Lee, C.-H. (2012). Revisiting the efficient market hypothesis for African countries: Panel surkss test with a fourier function. South African Journal of Economics, 80(3), 287-300.
  • Zhao, X. G., Wu, L. and Li, A. (2017). Research on the efficiency of carbon trading market in China. Renewable and Sustainable Energy Reviews, 79, 1-8.
  • Zhou, J. and Lee, J. M. (2013). Adaptive market hypothesis: Evidence from the REIT market. Applied Financial Economics, 23(21), 1649-1662.
  • Zhu, G., Du, Z. and Escanciano, J. C. (2017). Automatic portmanteau tests with applications to market risk management. The Stata Journal, 17(7), 901-915.

Küresel Finansal Kriz Dönemlerinde Adaptif Piyasa Hipotezinin Pay Piyasalarında Test Edilmesi: Borsa İstanbul Endeksleri Üzerine Bir Uygulama

Yıl 2023, Cilt: 8 Sayı: 21, 377 - 402, 30.06.2023
https://doi.org/10.25204/iktisad.1208721

Öz

Bu çalışmada, küresel kriz dönemlerinde Türkiye borsasında Adaptif Piyasa Hipotezinin varlığının araştırılması amaçlanmıştır. Diğer bir deyişle, Türkiye'de borsanın hem etkin hem de etkin olmadığı dönemlerin olup olmadığı incelenmiştir. Bu amaçla, Borsa İstanbul'un ana endeksi (XU100) ve seçilen sektör endeksleri (XBANK, XGIDA, XTEKS, XTRZM), Asya Finansal Krizi, Amerikan “Dotcom” krizi, Mortgage krizi, Avrupa borç krizi ve son olarak da Covid-19 krizi gibi dönemler için test edilmiştir. Araştırmada Otomatik Portmanteau ve Doğal Bootstrap Otomatik Varyans Rasyo testleri kullanılmıştır. Elde edilen sonuçlara göre araştırma kapsamındaki tüm Borsa İstanbul endekslerinde Adaptif Piyasa Hipotezi ile uyumlu bulgulara ulaşılmıştır. Krizin niteliğine ve çıkış kaynağına bağlı olarak piyasa etkinliğinde farklı sıklık ve sürelerde dalgalanmalar olabileceği gözlemlenmiştir. Çalışmanın şu nedenlerle özgün olduğu ve literatüre katkı sağlayacağı düşünülmektedir; Türk pay piyasasında Adaptif Piyasa Hipotezi yakın tarihteki tüm kriz dönemleri için test edilmiştir ve krizlerin sektörler üzerindeki etkileri etkinlik açısından ayrıca incelenmiştir.

Kaynakça

  • Adaramola, A.O. and Obisesan, O.G. (2021). Adaptive market hypothesis: Evidence from Nigerian stock exchange. The Journal of Developing Areas, 55(2), 153-165.
  • Ajao, M.G. and Osayuwu, R. (2012). Testing the weak form of efficient market hypothesis in Nigerian capital. Accounting And Finance Research, 1(1), 169-179.
  • Altunöz, U. (2021). Davranışsal finans kapsamında aşırı tepki anomalisinin Borsa İstanbul’da pay senedi ve endeksler özelinde analizi. Sosyal, Beşeri ve İdari Bilimler Dergisi, 2(9), 635-656.
  • Bosnjak, M. (2023). Evolving efficiency of stock returns and market conditions: The case from Croatia. ELIT–Economic Laboratory for Transition Research Dz. Washingtona 4/5, 19(1), 107.
  • Box, G. E. and Pierce, D. A. (1970). Distribution of residual autocorrelations in autoregressive-integrated moving average time series models. Journal of the American Statistical Association, 65(332), 1509-1526.
  • Buğan, M.F., Çevik, E.İ., Kırcı Çevik, N. and Yıldırım, D. Ç. (2021). Testing adaptive market hypothesis in global islamic stock markets: Evidence from markov-switching adf test. Bilimname, 2021(44), 425-449. https://doi.org/10.28949/bilimname.866724
  • Burhan, H. A. and Acar, E. (2021). Adaptive market hypothesis and return predictability: A hidden Markov model application in Borsa Istanbul. Socioeconomics, 29(48), 31-58.
  • Cavalheiro, E. A., Vieira, K. M. and Ceretta, S. P. (2012). Efficiency in emerging markets: Applying the automatic variance ratio test. Corporate Ownership & Control, 9(2), 300-309.
  • Çelik, T. T. and Taş, O. (2007). Etkin piyasa hipotezi ve gelişmekte olan hisse senedi piyasaları. İTÜ Dergisi, 4(2), 11-22.
  • Charles, A., Darné, O. and Kim, J. (2011). Small sample properties of alternative tests for martingale difference hypothesis. Economics Letters, 110(2), 151-154.
  • Charles, A., Darné, O. and Kim, J. H. (2015). Adaptive Markets Hypothesis for islamic stock portfolios: Evidence from Dow Jones size and sector-indices. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2611472
  • Cho, B., and Saki, Z. (2022). Firm performance under the COVID-19 pandemic: The case of the US textile and apparel industry. The Journal of The Textile Institute, 113(8), 1637-1647.
  • Choi, I. (1999). Testing the random walk hypothesis for real exchange rates. Journal of Applied Econometrics, 14(3), 293-308.
  • Chu, J., Zhang, Y. and Chan, S. (2019). The adaptive market hypothesis in the high frequency cryptocurrency market. International Review of Financial Analysis, 64, 221-231.
  • Çilek, A. (2022). Entegre CRITIC-COPRAS yaklaşımıyla Covid-19 salgınının Borsa İstanbul turizm endeksinde işlem gören şirketlerin finansal performansına etkisi. Güncel Turizm Araştırmaları Dergisi, 6(1), 263-281.
  • Çipe, B. (2021). Testing the adaptive markets hypothesis in the covid-19 process in developed and developing countries. Unpublished Doctoral Thesis. Nevsehir: Nevşehir Hacı Bektaş Veli University, Institute of Social Sciences.
  • Diallo, O. K., Mendy, P. and Burlea-Schiopoiu, A. (2021). A method to test weak form market efficiency from sectoral indices of the WAEMU stock exchange: A wavelet analysis. Heliyon, 7(1), 1-8.
  • Doğukanlı, H. and Ergün, B. (2011). Davranışsal finans etkin piyasalara karşı: aşırı tepki hipotezinin İMKB’de araştırılması. Ç.Ü. Sosyal Bilimler Enstitüsü Dergisi, 20(1), 321-336.
  • Doley, S. R. (2022). Hypothesis test of weak form of market efficiency in some selected stocks. Indian Journal of Research in Capital Markets, 8(4), 28-49.
  • Doruk, Ö. T. (2022). Covıd-19’un finansal performansa etkisi: Gıda sektörü firmaları için karşılaştırmalı bir değerlendirme. Muhasebe ve Denetime Bakış, 22(66), 67-82.
  • Ege, İ., Topaloğlu, E. E. and Coşkun, D. (2012). Davranışsal finans ve anomaliler: Ocak ayı anomalisinin İMKB’de test edilmesi. Muhasebe ve Finansman Dergisi, 2012(56), 175-190.
  • Engle, R. F. (1982). A general approach to lagrange multiplier model diagnostics. Journal of Econometrics, 20(1), 83-104.
  • Ertaş, F. C. and Özkan, O. (2018). Testing the adaptive market hypothesis in terms of market efficiency: The case of Turkish and US stock markets. Finans Politik & Ekonomik Yorum, 2018(642), 23-40.
  • Escanciano, J. C. and Lobato, I. N. (2009). An automatic portmanteau test for serial correlation. Journal of Econometrics, 151(2), 140-149.
  • Eyüboğlu, K. and Eyüboğlu, S. (2020). Testing the validity of the adaptive market hypothesis in Borsa Istanbul indices. Journal of Yasar University, 15(59), 642-654.
  • Gemici, E. (2021). Testing the adaptive market hypothesis in Asia-Pacific countries. Journal of Financial Research and Studies, 13(24), 129-142.
  • Ggayi, C. M. (2021). Testing the weak-form of the efficient market hypothesis on the Johannesburg stock exchange after the global financial crisis. Unpublished Master Dissertation. Cape Town: University of the Western Cape, School of Business and Finance.
  • Hiremath, G. S. and Narayan, S. (2016). Testing the adaptive market hypothesis and its determinants for the Indian stock markets. Finance Research Letters, 19, 173-180.
  • Hota, H. S., Handa, R. and Shrivas, A. K. (2017). Time series data prediction using sliding window based RBF neural network. International Journal of Computational Intelligence Research, 13(5), 1145-1156.
  • Ildırar, M. ve Dallı, T. (2021). Etkin piyasa hipotezinin Türk bankacılık sektörü üzerine uygulaması. Journal of Economics and Research, 2(2), 47-66.
  • Ito, M. and Sugiyama, S. (2009). Measuring the degree of time varying market inefficiency. Economics Letters, 103 (1), 62-64.
  • Kamışlı M. and Sevil G. (2018), Borsa İstanbul alt sektör endeksleri arasındaki oynaklık yayılımlarının analizi, BMIJ, (2018), 6(4): 1015-1032. http://dx.doi.org/10.15295/bmij.v6i4.381
  • Karaömer, Y. and Kakilli Acaravci, S. (2023). Adaptive market hypothesis: Evidence from the cryptocurrency market. Iranian Journal of Management Studies (IJMS), 16(1), 125-138.
  • Khuntia, S. and Pattanayak, J. K. (2018). Adaptive market hypothesis and evolving predictability of bitcoin. Economics Letters, 167, 26-28.
  • Kılıc, Y. (2020). Adaptive market hypothesis: Evidence from the Turkey stock market. Journal of Applied Economics and Business Research, 10(1), 28-39.
  • Kim, J. H. (2009). Automatic variance ratio test under conditional heteroskedasticity. Finance Research Letters, 6(3), 179-185.
  • Kim, J. H., Shamsuddin, A., and Lim, K. P. (2011). Stock return predictability and the adaptive markets hypothesis: Evidence from century-long US data. Journal of Empirical Finance, 18(5), 868-879.
  • Köse İçigen, F. (2020). Testing the adaptive markets hypothesis in the Borsa Istanbul 100 index. Unpublished Doctoral Dissertation. Kütahya: Kütahya Dumlupınar University, Institute of Social Sciences.
  • Lazăr, D., Todea, A. and Filip, D. (2012). Martingale difference hypothesis and financial crisis: Empirical evidence from European emerging foreign exchange markets. Economic Systems, 36(3), 338-350.
  • Lee, C. C., Lee, J. D. and Lee, C. C. (2010). Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks. Japan and the World Economy, 22(1), 49-58.
  • Lim, K. P. (2007). Ranking market efficiency for stock markets: A nonlinear perspective. Physica A: Statistical Mechanics and its Applications, 376, 445-454.
  • Lim, K. P. and Brooks, R. D. (2006). The evolving and relative efficiencies of stock markets: Empirical evidence from rolling bicorrelation test statistics. Available at SSRN 931071. https://dx.doi.org/10.2139/ssrn.931071
  • Ljung, G. M. and Box, G. E. (1978). On a measure of lack of fit in time series models. Biometrika, 65(2), 297-303.
  • Lo, A. W. (2004). The adaptive markets hypothesis - market efficiency from an evolutionary perspective. The Journal Of Portfolio Management, 30(5), 15-29.
  • Lo, A. W. (2012). Adaptive markets and the new world order (corrected May 2012). Financial Analysts Journal, 68(2), 18-29.
  • Lo, A. W. and MacKinlay, A. C. (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. The Review of Financial Studies, 1(1), 41-66.
  • Lobato, I., Nankervis, J. C., and Savin, N. E. (2001). Testing for autocorrelation using a modified box-pierce Q test. International Economic Review, 42(1), 187-205.
  • Mammen, E. (1993). Bootstrap and wild bootstrap for high dimensional linear models. The Annals of Statistics, 21(1), 255-285.
  • Mandacı, P. E., Taşkın, F. D. and Ergün, Z. C. (2019). Adaptive market hypothesis. International Journal of Economics and Business Administration, 7(4), 84-101.
  • Mooney, C. Z. (1996). Bootstrap statistical inference: Examples and evaluations for political science. American Journal of Political Science, 40(2), 570-602.
  • Munir, A. F., Sukor, M. E. A. and Shaharuddin, S. S. (2022). Adaptive market hypothesis and time-varying contrarian effect: Evidence from emerging stock markets of South Asia. SAGE Open, 12(1), 1-16.
  • Okorie, D. I. and Lin, B. (2021). Stock markets and the COVID-19 fractal contagion effects. Finance Research Letters, 38(January/2021), 1-8.
  • Özkan, O. (2020a). Adaptive markets hypothesis: A study on Turkish financial markets. Ankara: Gazi Kitapevi Tic. Ltd. Şti.
  • Özkan, O. (2020b). A global comparison of the weak form market efficiency of stock markets: An empirical study on G-20 members. Manisa Celal Bayar University Journal of Social Sciences, 18(2), 327-338.
  • Özkan, O. (2021). Impact of COVID-19 on stock market efficiency: Evidence from developed countries. Research in International Business and Finance, 58(December 2021), 1-10. https://www.sciencedirect.com/science/article/pii/S0275531921000660?via%3Dihub (24.02.2022).
  • Özkan, O. and Şahin, E. E. (2020). Comparison of weak form informational efficiency of cryptocurrencies within the scope of efficient markets hypothesis. Turkish Studies - Economy, 15(4), 2393-2406.
  • Phan Tran Trung, D. and Quang, H. P. (2019). Adaptive market hypothesis: Evidence from the Vietnamese stock market. Journal of Risk and Financial Management, 12(2), 81.
  • Phiri, A. (2015). Efficient market hypothesis in South Africa: Evidence from linear and nonlinear unit root tests. Managing Global Transitions, 13(4), 369-387.
  • Rahman, M. L., Lee, D. and Shamsuddin, A. (2017). Time-varying return predictability in South Asian equity markets. International Review of Economics and Finance, 48(3), 179-200.
  • Shahid, M. N., Jehanzeb, M., Abbas, A., Zubair, A. and Akbar, M. H. (2020a). Predictability of precious metals and adaptive market hypothesis. International Journal of Emerging Markets, 15(5), 1011-1027.
  • Shahid, M. N., Latif, K., Chaudhary, G. M. and Adil, S. (2020b). Financial crises and adaptive market hypothesis: An evidence from international commodities traded at New York stock exchange. Review of Economics and Development Studies, 6(1), 67-81.
  • Smith, G., and Dyakova, A. (2016). The relative predictability of stock markets in the Americas. International Journal of Finance & Economics, 21(2), 131-142.
  • Tokić, S., Bolfek, B. and Peša, A. R. (2018). Testing efficient market hypothesis in developing Eastern European countries. Investment Management and Financial Innovations, 15(2), 281-291.
  • Tripathi, A., Vipul, V. and Dixit, A. (2020). Adaptive market hypothesis and investor sentiments: Global evidence. Managerial Finance, 46(11), 1407-1436.
  • Urquhart, A. and McGroarty, F. (2016). Are stock markets really efficient? Evidence of the adaptive market hypothesis. International Review of Financial Analysis, 47, 39-49.
  • Zhang, D., Wu, T.-C., Chang, T. and Lee, C.-H. (2012). Revisiting the efficient market hypothesis for African countries: Panel surkss test with a fourier function. South African Journal of Economics, 80(3), 287-300.
  • Zhao, X. G., Wu, L. and Li, A. (2017). Research on the efficiency of carbon trading market in China. Renewable and Sustainable Energy Reviews, 79, 1-8.
  • Zhou, J. and Lee, J. M. (2013). Adaptive market hypothesis: Evidence from the REIT market. Applied Financial Economics, 23(21), 1649-1662.
  • Zhu, G., Du, Z. and Escanciano, J. C. (2017). Automatic portmanteau tests with applications to market risk management. The Stata Journal, 17(7), 901-915.
Toplam 69 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Finans, İşletme
Bölüm Araştırma Makaleleri
Yazarlar

Sinan Aytekin 0000-0003-1502-2643

Sermet Doğan 0000-0001-8447-3603

Erken Görünüm Tarihi 24 Haziran 2023
Yayımlanma Tarihi 30 Haziran 2023
Gönderilme Tarihi 22 Kasım 2022
Yayımlandığı Sayı Yıl 2023 Cilt: 8 Sayı: 21

Kaynak Göster

APA Aytekin, S., & Doğan, S. (2023). Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices. İktisadi İdari Ve Siyasal Araştırmalar Dergisi, 8(21), 377-402. https://doi.org/10.25204/iktisad.1208721
AMA Aytekin S, Doğan S. Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices. İKTİSAD. Haziran 2023;8(21):377-402. doi:10.25204/iktisad.1208721
Chicago Aytekin, Sinan, ve Sermet Doğan. “Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices”. İktisadi İdari Ve Siyasal Araştırmalar Dergisi 8, sy. 21 (Haziran 2023): 377-402. https://doi.org/10.25204/iktisad.1208721.
EndNote Aytekin S, Doğan S (01 Haziran 2023) Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices. İktisadi İdari ve Siyasal Araştırmalar Dergisi 8 21 377–402.
IEEE S. Aytekin ve S. Doğan, “Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices”, İKTİSAD, c. 8, sy. 21, ss. 377–402, 2023, doi: 10.25204/iktisad.1208721.
ISNAD Aytekin, Sinan - Doğan, Sermet. “Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices”. İktisadi İdari ve Siyasal Araştırmalar Dergisi 8/21 (Haziran 2023), 377-402. https://doi.org/10.25204/iktisad.1208721.
JAMA Aytekin S, Doğan S. Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices. İKTİSAD. 2023;8:377–402.
MLA Aytekin, Sinan ve Sermet Doğan. “Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices”. İktisadi İdari Ve Siyasal Araştırmalar Dergisi, c. 8, sy. 21, 2023, ss. 377-02, doi:10.25204/iktisad.1208721.
Vancouver Aytekin S, Doğan S. Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices. İKTİSAD. 2023;8(21):377-402.


Creative Commons Lisansı

Bu dergide yayınlanan tüm makaleler Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı ile lisanslanmıştır.