İSTANBUL MENKUL KIYMETLER BORSASI’NDA ETKİN PİYASA HİPOTEZİNİN UZUN HAFIZA MODELLERİ İLE ANALİZİ: SEKTÖREL BAZDA BİR İNCELEME

Yıl 2012, Cilt: 7 Sayı: 26, 4437 - 4454, 01.06.2012

Emrah İsmail Cevık

Öz

Anahtar Kelimeler

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İSTANBUL MENKUL KIYMETLER BORSASI’NDA ETKİN PİYASA HİPOTEZİNİN UZUN HAFIZA MODELLERİ İLE ANALİZİ: SEKTÖREL BAZDA BİR İNCELEME

Öz

Bu çalışmada İstanbul Menkul Kıymetler Borsası’nda (İMKB) etkin piyasa hipotezinin geçerli olup olmadığı parametrik ve yarı parametrik yöntemler ile araştırılmıştır. Zayıf formda etkin piyasa hipotezinin varlığını belirleyebilmek için 10 sektör endeksi dikkate alınmıştır. Yarı parametrik ve parametrik uzun hafıza model sonuçları sektörlere ait endeks getirilerinin oynaklığının uzun hafıza özelliği gösterdiğini belirtmektedir. Buna bağlı olarak İMKB’nin etkin bir piyasa olmadığı ifade edilebilir

Anahtar Kelimeler

İMKB, Etkin Piyasa Hipotezi, Uzun Hafıza, FIGARCH, Local Whittle Tahminci

Kaynakça

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