Öz
Etkin piyasa hipotezi
(EPH), fiyatların mevcut tüm bilgileri yansıtıyor olduğunu ve dolayısıyla
hiçbir yatırımcının gelecek fiyatları tahmin etmek için bir avantajı olmadığını
öne sürmektedir. EPH’ye göre, satın alma ve satma kararlarının geçmiş verilere
dayandığı teknik ticari kurallar, ekonomik açıdan olağanüstü fazla kazançlara
neden olmamalıdır. Denizcilik sektörünün etkin piyasa özellikleri göstermesi
özellikle küçük yatırımcılar için hayati bir öneme sahiptir,çünkü bu sektör
sermaye yoğun bir sektördür. Bu bağlamda, bu çalışmanın amacı, kuru yük
piyasasında navlun oranlarının etkin olup olmadığını belirlemektir.Çünkü eğer
navlun piyasaları etkinse, alınan kararların kârlılığa bir etkisi olmayacaktır.
Ama eğer etkin değilse, kar olanakları ortaya çıkmaktadır. Navlun piyasasındaki
taşımacılık ücretlerinin göstergesi olarak Baltık Kuru Yük Endeksi (BDI)
seçilmiştir. Veriler 4 Ocak 1985 ile 1 Aralık 2017 tarihleri arasını
kapsamaktadır. Veri günlük bazda 8264 gözlem içermektedir. Metodoloji, kuru
dökme piyasanın verimli olup olmadığını belirlemek için birim kök testi,
varyans oranı testi ve BDS bağımsızlık testi olmak üzere 3 ana uygulamadan
oluşmaktadır. Bu çalışma, yaygın
olarak kullanılan yöntemler haricinde BDS testini de kullanarak etkinliği farklı bir yöntemle test ederek literatüre
katkıda bulunmaktadır. Sonuçlar etkin piyasa hipotezinin kuru dökme piyasa için
geçerli olmadığını ve piyasada kâr fırsatlarının doğduğunu göstermektedir.
Anahtar Kelimeler
Baltık Kuru Yük Endeksi denizcilik etkin piyasa hipotezi BDS testi
Kaynakça
- Alizadeh, A. H., and N. K. Nomikos. 2007. “Investment Timing and Trading Strategies in the Sale and Purchase Market for Ships.” Transportation Research Part B: Methodological 41 (1): 126–143.
- Bera, A. K. and Jarque, C. M. 1982 “Model Specification Tests: A Simultaneous Approach.” Journal of Econometrics, 20: 59-82.
- Bloomberg Data Platform, Baltic Dry Index, Accessed 02.12.2017
- Brock, W. A., Dechert, W. D. and Scheinkman, J. A. 1987. “A test for independence based on the correlation dimension.” Manuscript, Social Systems Research Unit, University of Wisconsin.
- Brock, William, Davis Dechert, Jose Sheinkman and Blake LeBaron. 1996. “A Test for Independence Based on the Correlation Dimension.” Econometric Reviews 15(3): 197–235.
- Chow, K. V. and Denning, K. C. 1993. “A Simple Multiple Variance Ratio Test.” Journal of Econometrics 58: 385-401. Dickey, D. A. and Fuller, W. A. 1979. “Distribution Of The Estimators For Autoregressive Time Series With A Unit Root.” Journal of the American Statistical Association 74: 427-431.
- Fama, E. F. 1965. “The Behavior Of Stock-Market Prices.” The Journal of Business 38(1): 34-105.
- Fama, E. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance 25: 383-417.
- Geman, H. (Ed.). 2009. Risk Management in Commodity Markets: From shipping to agriculturals and energy (Vol. 445). John Wiley & Sons.
- Grammenos, C. T. 2010. The Handbook of Maritime Economics & Business, London: Informa.
- Hassan, A., M. Shoaib and Shah. 2007. “Testing of Random Walk and Market Efficiency In an Emerging Market: An Empirical Analysis of KSE.” Business Review Cambridge 271-281.
- Karakitsos, E., & Varnavides, L. 2014. Maritime Economics: A Macroeconomic Approach. Springer.
- Lin, F., & Sim, N. C. 2013. “Trade, İncome and The Baltic Dry Index.” European Economic Review 59: 1-18.
- Lo, Andrew W. and A. Craig MacKinlay. 1989. “The Size and Power of the Variance Ratio Test in Finite Samples.” Journal of Econometrics, 40: 203-238.
- Lun, V., Hilmola, P. 2013. Oil Transport Management. London: Springer-Verlag
- Merikas, A., Merika, A., & Sharma, A. 2015, January. “Exploring Price Formation in the Global Ship Demolition Market.” In 2015 Annual Meetings.
- Nomikos, N., and K. Doctor. 2013. “Market Timing Strategies in the Freight Derivatives Market.” Transportation Research Part E: Logistics and Transportation Review 52: 77–93.
- Ogilvie, J. and Parkinson, C. 2005. Management Accounting – Financial Strategy. Great Britain: Elsevier
- Roar Adland & Siri Strandenes. 2006. “Market Efficiency in The Bulk Freight Market Revisited.” Maritime Policy & Management: The flagship journal of international shipping and port research 33(2): 107-117
- Roar Adland & Steen Koekebakker. 2004. “Market Efficiency in the Second-hand Market for Bulk Ships.” Maritime Economics & Logistics 6: 1–15.
- Steve Engelen , Wout Dullaert & Bert Vernimmen. 2009. “Market Efficiency Within Dry Bulk Markets in The Short Run: A Multi-Agent System Dynamics Nash Equilibrium.” Maritime Policy & Management: The flagship journal of international shipping and port research 36(5): 385-396.
- Stopford, M. 2009. Maritime economics 3e. Routledge.
- Tsioumas, V., and S. Papadimitriou. 2015. “Excess Returns in the Spot Market for Bulk Carriers.” Maritime Economics & Logistics 17: 399–415
Öz
The efficient market
hypothesis (EMH) suggests that prices fully reflect all available information
and so no investor has an advantage to forecast future prices. According to
EMH, the technical commercial rules on which purchase and sale decisions are
based on historical data should not result in an economically remarkable excess
profits. It is vital to have efficient market characteristics in maritime
sector especially for small participants, because shipping is a capital
intensive sector. In this context, the purpose of this study is to determine
whether the freight rates are efficient in the dry bulk market. Because if the
freight markets are efficient, the decision that is taken will make no
difference to profitability. Otherwise, if the market inefficient, profit
opportunities arise. Baltic Dry Index (BDI) is selected as an indicator of
transportation service prices in freight market. The data covers the period
between 4th January 1985 and 1st December 2017. The data consists of 8264
observations on daily basis. The methodology consists of 3 main application
which are unit root test, variance ratio test and BDS independence test to
determine whether the dry bulk market efficient or not. This study also
contributes to literature by testing the efficiency with a different method,
using the BDS test, except for the commonly used methods. The results indicate
that the efficient market hypothesis is not valid for the dry bulk market and
profit opportunities arise in the market.
Anahtar Kelimeler
Baltic Dry Index maritime efficient market hypothesis BDS test
Kaynakça
- Alizadeh, A. H., and N. K. Nomikos. 2007. “Investment Timing and Trading Strategies in the Sale and Purchase Market for Ships.” Transportation Research Part B: Methodological 41 (1): 126–143.
- Bera, A. K. and Jarque, C. M. 1982 “Model Specification Tests: A Simultaneous Approach.” Journal of Econometrics, 20: 59-82.
- Bloomberg Data Platform, Baltic Dry Index, Accessed 02.12.2017
- Brock, W. A., Dechert, W. D. and Scheinkman, J. A. 1987. “A test for independence based on the correlation dimension.” Manuscript, Social Systems Research Unit, University of Wisconsin.
- Brock, William, Davis Dechert, Jose Sheinkman and Blake LeBaron. 1996. “A Test for Independence Based on the Correlation Dimension.” Econometric Reviews 15(3): 197–235.
- Chow, K. V. and Denning, K. C. 1993. “A Simple Multiple Variance Ratio Test.” Journal of Econometrics 58: 385-401. Dickey, D. A. and Fuller, W. A. 1979. “Distribution Of The Estimators For Autoregressive Time Series With A Unit Root.” Journal of the American Statistical Association 74: 427-431.
- Fama, E. F. 1965. “The Behavior Of Stock-Market Prices.” The Journal of Business 38(1): 34-105.
- Fama, E. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance 25: 383-417.
- Geman, H. (Ed.). 2009. Risk Management in Commodity Markets: From shipping to agriculturals and energy (Vol. 445). John Wiley & Sons.
- Grammenos, C. T. 2010. The Handbook of Maritime Economics & Business, London: Informa.
- Hassan, A., M. Shoaib and Shah. 2007. “Testing of Random Walk and Market Efficiency In an Emerging Market: An Empirical Analysis of KSE.” Business Review Cambridge 271-281.
- Karakitsos, E., & Varnavides, L. 2014. Maritime Economics: A Macroeconomic Approach. Springer.
- Lin, F., & Sim, N. C. 2013. “Trade, İncome and The Baltic Dry Index.” European Economic Review 59: 1-18.
- Lo, Andrew W. and A. Craig MacKinlay. 1989. “The Size and Power of the Variance Ratio Test in Finite Samples.” Journal of Econometrics, 40: 203-238.
- Lun, V., Hilmola, P. 2013. Oil Transport Management. London: Springer-Verlag
- Merikas, A., Merika, A., & Sharma, A. 2015, January. “Exploring Price Formation in the Global Ship Demolition Market.” In 2015 Annual Meetings.
- Nomikos, N., and K. Doctor. 2013. “Market Timing Strategies in the Freight Derivatives Market.” Transportation Research Part E: Logistics and Transportation Review 52: 77–93.
- Ogilvie, J. and Parkinson, C. 2005. Management Accounting – Financial Strategy. Great Britain: Elsevier
- Roar Adland & Siri Strandenes. 2006. “Market Efficiency in The Bulk Freight Market Revisited.” Maritime Policy & Management: The flagship journal of international shipping and port research 33(2): 107-117
- Roar Adland & Steen Koekebakker. 2004. “Market Efficiency in the Second-hand Market for Bulk Ships.” Maritime Economics & Logistics 6: 1–15.
- Steve Engelen , Wout Dullaert & Bert Vernimmen. 2009. “Market Efficiency Within Dry Bulk Markets in The Short Run: A Multi-Agent System Dynamics Nash Equilibrium.” Maritime Policy & Management: The flagship journal of international shipping and port research 36(5): 385-396.
- Stopford, M. 2009. Maritime economics 3e. Routledge.
- Tsioumas, V., and S. Papadimitriou. 2015. “Excess Returns in the Spot Market for Bulk Carriers.” Maritime Economics & Logistics 17: 399–415
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 30 Nisan 2018 |
| Yayımlandığı Sayı | Yıl 2018 Cilt: 13 Sayı: 50 |