İslami Endekslerde Zayıf Formda Piyasa Etkinliğinin Fourier Wavelet ADF Birim Kök Testi ile Test Edilmesi

Yıl 2022, Cilt: 9 Sayı: 2, 315 - 329, 29.07.2022

Salih Ülev , Mervan Selçuk

https://doi.org/10.26650/JEPR1111585

Öz

İslami hisse senedi piyasa endeksleri, küresel finansal sistem içerisinde yeni gelişen ve önemli bir alandır. İslami hisse senedi piyasaları, Şer’i prensiplere uymayan firmaları filtrelediği için konvansiyonel muadillerinden ayrılmaktadır. Hisse senedi piyasalarının etkinliği, kaynak dağılımı ve sürdürülebilir ekonomik kalkınma için önemli bir unsurdur. Bu nedenle, piyasa etkinliğini araştıran pek çok hipotez geliştirilmiştir. Bunlardan ilki ve en önemlilerinden biri etkin piyasa hipotezidir (EMH). Bu çalışma İslami hisse senedi endeksleri için zayıf formda piyasa etkinliğini test etmeyi amaçlamaktadır. Bu amaçla, 2011-2021 yılları arasında Dow Jones ve Standard and Poors İslami endekslerinde yer alan 13 endekse ait veriler, Fourier Wavelet ADF (FWADF) birim kök testi kullanılarak test edilmiştir. FWADF testi, bilinmeyen bir sayı, zaman ve formda yapısal kırılmaları dikkate almaktadır. EMH’yi ve İslami endeksleri inceleyen çalışmalar, Wavelet temelli birim kök testlerinde yer alan yumuşak değişiklikleri ve frekans bilgisini dikkate almamaktadır. Bu nedenle, endeks verileriyle ilgili bilgilerin tamamlanmamış olma ihtimali bulunmaktadır. Çalışmamız, hisse senedi endeks verileriyle ilgili tüm bilgileri dikkate alan FWADF testini kullanarak liteatüre katkı sağlamaktadır. Çalışmada, 6 endeksin birim köklü, 7 endeksin ise durağan olduğu tespit edilmiştir. Bu bulgular, analiz edilen bütün gelişmekte olan İslami piyasa endekslerinde piyasa etkinliğinin olduğu, fakat gelişmiş ülke İslami piyasa endekslerinde piyasa etkinliğinin olmadığını göstermektedir. Çalışmanın sonuçları, yatırımcıların ve finansal analistlerin yatırım portföyleri oluştururken kararlarını etkin bir şekilde değerlendirmelerini sağlamak için bir anlayış sağlamaktadır.

Anahtar Kelimeler

İslami endeksler, gelişen piyasalar, piyasa etkinliği, fourier wavelet birim kök testi, Dow Jones, S&P

Testing the Weak-Form Market Efficiency for the Islamic Market Indices: Evidence from Fourier Wavelet ADF Unit Root Test

Öz

Islamic stock markets and indices are a newly developing field and an essential phenomenon in the global financial system. Islamic stocks are different from conventional counterparts because they filter firms that do not comply with Shari'ah principles. The efficiency of stock markets is essential for all countries in regard to resource allocation and sustainable economic development. Therefore, many hypotheses have been developed to investigate market efficiency. The first and one of the most important of these hypotheses is the efficient market hypothesis. This paper aims to investigate the weak-form market efficiency of Islamic stock markets. For this purpose, we used 13 indices data in Dow Jones and S&P between 2011 and 2021, employing the Fourier Wavelet ADF (FWADF) Unit Root Test. The FWADF test enabled us to consider structural breaks with an unknown number, time, and form. The studies examining EMH and Islamic indices did not consider smooth changes and frequency information in wavelet-based unit root tests. Therefore, it is possible that the information for indices may have been incomplete. Adopting FWADF, our study contributes to the literature in that it uses all information about the stock market indices data in the analysis. The findings show that six Islamic market indices have unit roots, but seven indices are stationary. This means that all emerging market indices analyzed have market efficiency, but developed country indices do not. The results provide further understanding for investors and financial analysists enabling them to assess their decisions efficiently in constructing investment portfolios.

Anahtar Kelimeler

Islamic market indices, emerging markets, market efficiency, fourier wavelet unit root test, Dow Jones, S&P

Kaynakça

• Al-Khazali, O. M., Leduc, G., & Alsayed, M. S. (2016). A Market Efficiency Comparison of Islamic and Non- Islamic Stock Indices. Emerging Markets Finance and Trade, 52(7), 1587–1605. https://doi.org/10.1080/15404 96X.2014.998572
• Alexakis, C., Patra, T., & Poshakwale, S. (2010). Predictability of stock returns using financial statement information: evidence on semi-strong efficiency of emerging Greek stock market. Applied Financial Economics, 20(16), 1321–1326. https://doi.org/10.1080/09603107.2010.482517
• Ali, S., Shahzad, S. J. H., Raza, N., & Al-Yahyaee, K. H. (2018). Stock market efficiency: A comparative analysis of Islamic and conventional stock markets. Physica A: Statistical Mechanics and Its Applications, 503, 139– 153. https://doi.org/10.1016/j.physa.2018.02.169
• Arshad, S. A. R. R. & S. (2014). An Empirical Study of Islamic Equity as a Better Alternative during Crisis Using Multivariate GARCH DCC. Islamic Economic Studies, 22(1), 159–184.
• Asiri, B. (2008). Testing weak‐form efficiency in the Bahrain stock market. International Journal of Emerging Markets, 3(1), 38–53. https://doi.org/10.1108/17468800810849213
• Aydin, M., & Pata, U. K. (2020). Are shocks to disaggregated renewable energy consumption permanent or temporary for the USA? Wavelet based unit root test with smooth structural shifts. Energy, 207. https://doi. org/10.1016/j.energy.2020.118245
• Aydın, M. (2019). A New Nonlinear Wavelet-Based Unit Root Test with Structural Breaks. MPRA Paper No. 98693. https://mpra.ub.uni-muenchen.de/98693/
• Barbuscia, D. (2021). Global Islamic finance forecast to grow as main markets recover - S&P. Reuters. https:// www.reuters.com/business/finance/global-islamic-finance-forecast-grow-main-markets-recover- sp-2021-05-03/
• Bouoiyour, J., Selmi, R., & Wohar, M. E. (2018). Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis. Finance Research Letters, 26, 100–105. https://doi.org/10.1016/J.FRL.2017.12.008
• Bugan, M. F., Çevik, E. İ., Kırcı Çevik, N., & Yıldırım, D. Ç. (2021). Testing Adaptive Market Hypothesis In Global Islamic Stock Markets: Evidence From Markov-Switching Adf Test. Bilimname, 425–449.
• Buguk, C., & Wade Brorsen, B. (2003). Testing weak-form market efficiency: Evidence from the Istanbul Stock Exchange. International Review of Financial Analysis, 12(5), 579–590. https://doi.org/10.1016/S1057- 5219(03)00065-6
• Chaudhuri, K., & Wu, Y. (2003). Mean reversion in stock prices: evidence from emerging markets. Managerial Finance, 29(10), 22–37. https://doi.org/10.1108/03074350310768490
• Cheung, K.-C., & Andrew Coutts, J. (2001). A note on weak form market efficiency in security prices: evidence from the Hong Kong stock exchange. Applied Economics Letters, 8(6), 407–410. https://doi. org/10.1080/135048501750237865
• Eroğlu, B. A., & Soybilgen, B. (2018). On the Performance of Wavelet Based Unit Root Tests. Journal of Risk and Financial Management, 11(3), 47.
• Fama, E. F. (1965). Random Walks in Stock Market Prices. Financial Analysts Journal, 21(5).
• Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York.
• Fan, Y., & Gençay, R. (2010). Unıt Root Tests Wıth Wavelets. Econometric Theory, 26(5), 1305–1331. https://doi. org/https://doi.org/10.1017/S0266466609990594.
• Gençay, R., Selçuk, F., & Whitcher, B. J. (2001). An Introduction to Wavelets and Other Filtering Methods in Finance and Economics. Elsevier.
• IFSB. (2019). Islamic Financial Services Industry Stability Report 2019. In Annual Report.
• Islam, A., & Khaled, M. (2005). Tests of Weak-Form Efficiency of the Dhaka Stock Exchange. Journal of Business Finance and Accounting, 32(7–8), 1613–1624. https://doi.org/10.1111/j.0306-686X.2005.00642.x
• Mandelbrot, B. (1966). Forecasts of Future Prices, Unbiased Markets, and “Martingale” Models. The Journal of Business, 39(S1), 242. https://doi.org/10.1086/294850
• Mensi, W., Tiwari, A. K., & Yoon, S.-M. (2017). Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis. Physica A: Statistical Mechanics and Its Applications, 471, 135–146. https://doi.org/10.1016/j.physa.2016.12.034
• Mobarek, A., & Fiorante, A. (2014). The prospects of BRIC countries: Testing weak-form market efficiency.
• Research in International Business and Finance, 30, 217–232. https://doi.org/10.1016/j.ribaf.2013.06.004
• Narayan, P. K. (2008). Do shocks to G7 stock prices have a permanent effect? Mathematics and Computers in Simulation, 77(4), 369–373. https://doi.org/10.1016/j.matcom.2007.03.003
• Rizvi, S. A. R., Dewandaru, G., Bacha, O. I., & Masih, M. (2014). An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA. Physica A: Statistical Mechanics and Its Applications, 407, 86–99. https://doi.org/10.1016/j.physa.2014.03.091
• Samuelson, P. A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6(2).
• Savaşan, F., Yardımcıoğlu, F., & Beşel, F. (2015). The Effect of Exogenous Shocks on Participation Index of Borsa Istanbul: Permanent or Temporary? International Journal of Islamic Economics and Finance Studies, 1(1).
• Yazgan, M. E., & Özkan, H. (2015). Detecting structural changes using wavelets. Finance Research Letters, 12, 22–37. https://doi.org/https://doi.org/10.1016/j.frl.2014.12.003