TÜRKİYE HİSSE SENEDİ PİYASASINDA RASYONEL KÖPÜKLER: SAKLI EŞ BÜTÜNLEŞME YAKLAŞIMI

Yıl 2013, Cilt: 5 Sayı: 9, 17 - 31, 10.01.2014

Şeref Bozoklu Fatma Zeren

Öz

Bu çalışmada Borsa İstanbul hisse senedi piyasasında rasyonel köpüklerin varlığı Ocak 1998-Nisan 2013 dönemi için geleneksel ve saklı eşbütünleşme testleri aracılığıyla araştırılmaktadır. Ampirik sonuçlar hisse senedi fiyat endeksi ile getiri endeksi arasında saklı eşbütünleşme ilişkisinin olduğunu ve dolayısıyla hisse senedi piyasasında rasyonel köpüğün bulunmadığını göstermektedir.

Anahtar Kelimeler

Türk Hisse Senedi Piyasası, Etkin Piyasalar Hipotezi, Cari Değer Modeli, Rasyonel Köpükler, Saklı Eşbütünleşme

Kaynakça

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