ADAPTİF PİYASA HİPOTEZİNİN ASYA – PASİFİK ÜLKELERİNDE TEST EDİLMESİ

Yıl 2021, Cilt: 13 Sayı: 24, 129 - 142, 31.01.2021

Eray Gemici

https://doi.org/10.14784/marufacd.880619

Cited By: 2

Öz

Bu çalışma, Asya Pasifik ülkelerinde Adaptif Piyasa Hipotezinin geçerliliğini araştırmayı amaçlamaktadır. Bu amaçla, 31 Aralık 1992'den 31 Ocak 2020'ye kadar olan aylık dönem, Otomatik Portmanteau Q testi, Genelleştirilmiş Spektral test ve Wild-Bootstrap Otomatik Varyans Oran testi kullanılarak analiz edilmiştir. Ayrıca, getirilerin zamana bağlı olarak tahmin edilebilirliği kayan pencereler yaklaşımı kullanılarak incelenmiştir. Elde edilen bulgular, ülke borsalarının Adaptif Piyasa Hipotezini doğruladığını göstermektedir.

Anahtar Kelimeler

Adaptif Piyasa Hipotezi, Asya-Pasifik Ülkeleri, Varyans-Oran Testleri

Kaynakça

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