Metal Ana Sanayi Sektöründe Piyasa Etkinliğinin Test Edilmesi

Öz

Bu çalışmanın amacı ülkelerin gelişmişlik düzeyinin artmasında son derece önemli bir yere sahip olan metal ana sanayi sektörüne ilişkin piyasa etkinliğinin test edilmesidir. Bu amaçla gelişmekte olan bir ülke olan ve aynı zamanda kırılgan beşli arasında yer alan Türkiye’de faaliyet göstermekte olan Borsa İstanbul örneklem olarak seçilmiştir. Araştırma kapsamında Borsa İstanbul Metal Ana Sanayi Endeksi (XMANA)’nin Nisan 2015-Mayıs 2025 tarihleri arasındaki aylık getiri serileri doğrusal ve doğrusal olmayan testler yardımıyla analize tabi tutulmuş ve piyasada hem etkin piyasalar hipotezinin (EMH) hem de adaptif piyasa hipotezinin (AMH) geçerliliği test edilmiştir. Bu amaçla, getiri serilerine Jarque-Bera normallik testi, birim kök testleri, varyans oranı testi ve BDS testi uygulanmıştır. Çalışmada normallik ve BDS testleri sonucunda BİST ana metal sanayi endeksinin rassal yürüyüş hipotezini doğruladığına ilişkin bulgular elde edilmiştir. Dolayısıyla sektörün hem EMH hem de AMH hipotezlerine uygun davranışlar gösterdiğine ilişkin bulgular elde edilmiştir. Çalışma sonucunda elde edilen bir diğer önemli bulgu ise getiri serilerinin leptokurtik dağılım gösterdiğidir. Dolayısıyla araştırma kapsamında yatırımcıların XMANA endeksine yatırım yaparak aşırı negatif ve aşırı pozitif getiri sağlayabileceklerine ilişkin de bulgulara ulaşılmıştır.

Anahtar Kelimeler

• Etkin Piyasa Hipotezi
• Adaptif Piyasa Hipotezi
• Ana Metal Sanayi

Testing Market Efficiency in The Main Metal Industry Sector

Öz

The aim of this study is to test the market efficiency of the main metal industry sector, which plays a crucial role in enhancing national development. For this purpose, Borsa Istanbul (BIST), which operates in Turkey, a developing country among the fragile five, was selected as a sample. Within the scope of the research, the monthly return series of Borsa Istanbul Main Metal Industry Index (XMANA) between April 2015 and May 2025 was analyzed with the help of linear and non-linear tests, and the validity of both the Efficient Markets Hypothesis (EMH) and the Adaptive Markets Hypothesis (AMH) in the market was tested. For this purpose, Jarque-Bera normality tests, unit root tests, variance ratio test, and BDS test were applied to the return series. As a result of normality and BDS tests, the findings indicated that the BIST main metal industry index confirmed the random walk hypothesis. Therefore, findings indicated that the sector exhibited behaviors consistent with both the EMH and AMH hypotheses. Another important finding from the study is that the return series show a leptokurtic distribution. The research indicates that investors can obtain excessive negative and excessive positive returns by investing in the XMANA index.

Anahtar Kelimeler

• Efficient Market Hypothesis
• Adaptive Market Hypothesis
• Main Metal Industry

Kaynakça

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