Metal Ana Sanayi Sektöründe Piyasa Etkinliğinin Test Edilmesi

Yıl 2026, Sayı: 109, 135 - 154, 02.01.2026

Yakup Söylemez

https://doi.org/10.25095/mufad.1759560

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

• Benveniste, Albert- Goursat, Maurice- Ruget, Gabriel (1980), “Robust identification of a nonminimum phase system: Blind adjustment of a linear equalizer in data communications”. IEEE Transactions on Automatic Control, 25(3), 385-399.
• Bock, Jonas- Geissel, Sebastian (2024), “Evolution of stock market efficiency in Europe: Evidence from measuring periods of inefficiency”. Finance Research Letters, 62(A), 105129.
• Broock, William A.- Scheinkman, José A.- Dechert, W. Davis- LeBaron, Blake (1996), “A test for independence based on the correlation dimension”. Econometric Reviews, 15(3), 197-235.
• Buğan, Mehmet Fatih- Çevik, Emrah İsmail- Çevik, Nüket Kırcı (2019), “The analysis of weak form efficient market hypothesis for Participation 30 Index by ARFIMA-FIEGARCH model”. Igdır University Journal of Social Sciences. Supplement Issue, 219-242.
• Çevik, Emrah İsmail- Sezen, Serhat (2020), “The analysis of the efficient market hypothesis for banking sector by using long memory models”. Journal of Management and Economics Research, 18(1), 332-351.
• Dos Santos, Marco Aurélio- Fávero, Luiz Paulo Lopez- Brugni, Talles Vianna- Serra, Ricardo Goulart (2024), “Adaptive markets hypothesis and economic-institutional environment: A cross-country analysis”. Revista de Gestão, 31(2), 215-236.
• Enders, W. (2015). Applied econometric time series (4th ed.). Wiley.
• Ertaş, Fatih Coşkun- Özkan, Oktay (2018), “Testing the adaptive market hypothesis in terms of market efficiency: The case of Turkey and the US stock markets”. Finance, Politics and Economic Reviews, 642, 223-240.
• Eryılmaz, Serkan- Zeren, Feyyaz- Yılmaz, Tayfun (2025), “Testing the adaptive market hypothesis for fragile five countries: Time-varying KSS unit root test application”. International Journal of Business and Economic Studies, 7(1), 70-80.
• Eyüboğlu, Kemal- Eyüboğlu, Sinem (2020), “Testing the validity of adaptive market hypothesis in Borsa Istanbul indices”. Journal of Yasar University, 15(59), 642-654.
• Dickey, David A.- Fuller, Wayne A. (1979), “Distribution of the estimators for autoregressive time series with a unit root”. Journal of the American Statistical Association, 74(366a), 427- 431.
• Fama, Eugene F. (1970), “Efficient capital markets: A review of theory and empirical work”. The Journal of Finance, 25(2), 383–417.
• Ghazani, Majid M.- Araghi, Mansour K. (2014), “Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the Tehran Stock”. Research in International Business and Finance, 32, 50–59.
• Görgel, Büşra- Ege, İlhan (2024), “Investigation of efficient market hypothesis and adaptive market hypothesis on stock markets of E7 Countries”. Fiscaoeconomia, 8(3), 1392-1423.
• Gujarati, Damodar N.- Porter, Dawn C. (2010), “Essentials of econometrics”, McGraw–Hill International, New York.
• İçigen, Fatma Köse- Kayalı Mustafa Mesut (2022), “An analysis of the relationship between return predictability and market conditions in the context of adaptive market hypothesis: Evidence from Borsa Istanbul 100 Index”. Finance, Politics and Economic Reviews, 659, 135-160.
• Jarque, Carlos M.- Bera, Anil K. (1980), “Efficient tests for normality, homoscedasticity and serial independence of regression residuals”. Economics Letters, (6), 255–259.
• Kahneman, Daniel- Tversky, Amos (1979), “Prospect theory: An analysis of decision under risk”. Econometrica, 47(2), 1979, 263–291.
• Karaca, Cengizhan (2025), “Adaptive market hypothesis in BRICS-T countries: Dynamic effects of geopolitical risks and market predictability”. Journal of Economics and Administrative Sciences, 26(2), 421-441.
• Karakaya, Aykut- Atukalp, M. Esra (2022), “Fractal market hypothesis test of the banks' stock returns in Turkey”. Hacettepe University Journal of Economics and Administrative Sciences, 40(2), 316-342.
• Lim, Kian-Ping- Brooks, Robert (2011), “The evolution of stock market effıciency over time: A survey of the empirical literature”. Journal of Economic Surveys, 25(1), 69–108.
• Lo, Andrew W.- MacKinlay, A. Craig (1988), “Stock market prices do not follow random walks: Evidence from a simple specification test”. The Review of Financial Studies, 1(1), 41-66.
• Lo, Andrew W. (2004), “The adaptive markets hypothesis: Market efficiency from an evolutionary perspective”. The Journal of Portfolio Management, 30, 15-29.
• Lo, Andrew W. (2012), “Adaptive markets and the new world order”. Financial Analysts Journal, 68(2), 18–29.
• Lo, Andrew W. (2017), “Adaptive markets: Financial evolution at the speed of thought”. Princeton University Press.
• Niveditha, P.S. (2025), “Identifying safe haven assets: Evidence from fractal market hypothesis”. Computational Economics, 65, 313–335.
• Özdemir, Müge (2022), “Analyzing the efficient market hypothesis with the structural break and nonlinear unit root tests: An application on Borsa Istanbul”. EKOIST Journal of Econometrics and Statistics, (37), 257-282.
• Plastun, Alex- Sibande, Xolani- Gupta, Rangan- Wohar, Mark E. (2020), “Historical evolution of monthly anomalies in international stock markets”. Research in International Business and Finance, 52, 101127.
• Rönkkö, Mikael- Holmi, Joonas- Niskanen, Mervi- Mättö, Markus (2024), “The adaptive markets hypothesis: Insights into small stock market efficiency”. Applied Economics, 56(25), 3048-3062.
• Simon, Herbert A. (1955), “A behavioral model of rational choice”. The Quarterly Journal of Economics, 69(1), 99–118.
• Soufian, Mona- Forbes, William- Hudson, Robert (2014), “Adapting financial rationality: Is a new paradigm emerging?” Critical Perspectives on Accounting, 25, 724–742.
• Soykan, Mehmet Erkan (2024), “Analysis of volatility in the context of heterogeneous market hypothesis in emerging markets”. Erciyes University Journal of Faculty of Economics and Administrative Sciences, (69), 187-193.
• Verheyden, Tim- De Moor, Lieven- Van den Bossche, Filip (2015), “Towards a new framework on efficient markets”. Research in International Business and Finance, 34(C), 294-308.
• Yaman, Serdar- Topaloğlu, Emre Esat (2023), “Are financial bubbles in stock markets adaptive? Evidence from Istanbul Stock Exchange”. Journal of Business Research-Turk, 3, 1586-1604.
• Zivot, Eric- Andrews, Donald W.K. (1992), “Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis”. Journal of Business and Economic Statistics, 10(3), 251−270.