MEAN REVERSION IN TURKISH STOCK MARKET AND TIME-VARYING EQUITY RISK PREMIUM

Öz

Mean reversion in stock markets has been an open question for the decades it has been meticulously tested. This study first aims at shedding further light on this unsettled issue by assessing mean reversion in a broad Turkish stock data via a non-parametric and model-free methodology. Variance ratio computations and distribution-free statistical tests based on randomization are used on dollar and lira denominated nominal, real and excess returns of Borsa Istanbul equity market. As a strong mean reversion is apparent in the empirical tests, the study secondly tries to identify a possible cause of this apparent anomaly. CAPM-based equity risk premium estimations generated via two-pass cross-sectional regressions reveal that the mean reversion might be explained by the dynamic nature of equity risk-premium. The results indicate that the mean reversion in Turkish equity market is a result of time-varying behavior of rational investors rather than market inefficiency.

Anahtar Kelimeler

• Equity Risk Premium
• Market Efficiency
• Mean Reversion
• Variance Ratio
• Borsa Istanbul

TÜRKİYE PAY PİYASALARINDA ORTALAMAYA DÖNME EĞİLİMİ VE ZAMANLA DEĞİŞEN PİYASA RİSK PRİMİ

Öz

Pay piyasalarında ortalamaya dönme eğilimi, geçtiğimiz kırk yılda birçok çalışma tarafından sürekli olarak gözlemlendiği gibi birçok çalışma tarafından da varlığı reddedilmiş bir olgudur. Bu çalışmanın ilk amacı, güncel bir veri seti kullanarak Borsa İstanbul’da ortalamaya dönme eğilimini, parametrik olmayan ve modelden bağımsız bir metodoloji ile test ederek bu konunun aydınlatılmasına katkıda bulunmaktır. Bu doğrultuda, yerel pay piyasasının lira ve dolar bazındaki nominal, reel ve fazla getirileri üzerinde varyans oranı hesaplamaları yapılmış ve rasgeleleştirmeye dayanan, dağılımdan bağımsız bir istatistiksel test uygulanmıştır. Ampirik testlerde güçlü bir ortalamaya dönme eğilimi görüldüğünden, bu çalışma ikinci olarak bu anomalinin nedenlerini tespit etmeyi amaçlamaktadır. CAPM modeline dayalı iki geçişli kesitsel regresyonlarla üretilen sermaye risk primleri tahminleri, ortalamaya dönme eğiliminin, sermaye risk primlerinin dinamik doğasından ileri geldiğini ortaya koymaktadır. Sonuçlara göre Türkiye sermaye piyasasındaki ortalamaya dönme eğilimi pazarın etkin olmamasından değil, rasyonel yatırımcıların davranışlarının zamanla değişmesiyle açıklanabilir.

Anahtar Kelimeler

• Piyasa Risk Primi
• Etkin Piyasa Hipotezi
• Ortalamaya Dönme
• Varyans Oranı
• Borsa İstanbul

Kaynakça

1. ANG, A., Liu, J., & Schwarz, K. (2008). Using Individual Stocks or Portfolios in Tests of Factor Models. SSRN Electronic Journal. doi:10.2139/ssrn.1106463
2. ASSAF, A. (2006). Dependence and mean reversion in stock prices: The case of the MENA region. Research in International Business and Finance, 20(3), 286–304. doi: 10.1016/j.ribaf.2005.05.004
3. BALL, R., & Kothari, S. (1989). Nonstationary Expected Returns. Journal of Financial Economics, 25(1), 51-74. doi:10.1016/0304-405x(89)90096-2
4. BALVERS, R., Wu, Y., & Gilliland, E. (2000). Mean Reversion Across National Stock Markets and Parametric Contrarian Investment Strategies. The Journal of Finance, 55(2), 745-772. doi:10.1111/0022-1082.00225
5. BARAK, O. (2008). İMKB de Aşırı Reaksiyon Anomalisi ve Davranışsal Finans Modelleri Kapsamında Değerlendirilmesi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1), 207-229.
6. BLACK, F., Jensen, M. C., & Scholes, M. (1972). The Capital Asset Pricing Model: Some Empirical Tests. Studies in the Theory of Capital Markets, edited by M. C. Jensen. New York, NY: Praeger.
7. BLUME, M. E. (1970). Portfolio Theory: A Step Toward Its Practical Application. The Journal of Business, 43(2), 152-173. doi:10.1086/295262
8. CAKICI, N., & Topyan, K. (2013). Return Predictability of Turkish Stocks: An Empirical Investigation. Emerging Markets Finance and Trade, 49(5), 99-119, doi: 10.2753/REE1540-496X490506

9. CHAN, K. C. (1988). On the Contrarian Investment Strategy. The Journal of Business, 61(2), 147-61. doi:10.1086/296425
10. CHAUDHURI, K., & Wu, Y. (2003). Mean Reversion in Stock Prices: Evidence From Emerging Markets. Managerial Finance, 29(10), 22-37. doi:10.1108/030.743.50310768490
11. COCHRANE, J. H. (1988). How Big Is the Random Walk in GNP? Journal of Political Economy, 96(5), 893-920. doi:10.1086/261569
12. CONRAD, J., & Kaul, G. (1988). Time-Variation in Expected Returns. The Journal of Business, 61(4), 409. doi:10.1086/296441
13. DEBONDT, W. F. M., & Thaler, R. H. (1985). Does the Stock Market Overreact? The Journal of Finance, 40(3), 793-805. doi:10.1111/j.1540-6261.1985.tb05004.x
14. FAMA, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2), 383. doi:10.2307/2325486
15. FAMA, E. F., & French, K. R. (1986). Common Factors in the Serial Correlation of Stock Returns. UCLA: Finance. Retrieved from https://escholarship.org/uc/item/2jf8r7n7
16. FAMA, E. F, & French, K. R. (1988). Permanent and Temporary Components of Stock Prices. The Journal of Political Economy, 96(2), 246-273. doi:10.1086/261535
17. FAMA, E. F., & Macbeth, J. D. (1973). Risk, Return and Equilibrium: Empirical Tests. Journal of Political Economy, 81(3), 607-636. doi:10.1086/2960061
18. FERSON, W. E., & Harvey, C. R. (1991). The Variation of Economic Risk Premiums. Journal of Political Economy, 99(2), 385-415.
19. FRENCH, K. R., & Roll, R. (1986). Stock Return Variances. Journal of Financial Economics, 17(1), 5-26. doi:10.1016/0304-405x(86)90004-8
20. GROPP, J. (2004). Mean Reversion of Industry Stock Returns in the U.S., 1926-1998. Journal of Empirical Finance, 11(4), 537-551. doi:10.1016/j.jempfin.2004.04.002
21. JEGADEESH, N. (1990). Evidence of Predictable Behavior of Security Returns. The Journal of Finance, 45(3), 881-898. doi:10.1111/j.1540-6261.1990.tb05110.x
22. JEGADEESH, N. (1991). Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K. The Journal of Finance, 46(4), 1427-44. doi:10.1111/j.1540-6261.1991.tb04624.x
23. KENDALL, M. G., & Stuart, A. (1976). The Advanced Theory of Statistics (3rd ed.) London, England: Griffin.
24. KIM, M., Nelson, C. R., & Startz, R. (1991). Mean Reversion in Stock prices?: A Reappraisal of the Empirical Evidence. The Review of Economic Studies, 58(3), 515-528. doi:10.2307/2298009
25. LEWELLEN, J., & Nagel, S. (2006). The Conditional CAPM Does Not Explain Asset-Pricing Anomalies. Journal of Financial Economics, 82(2), 289-314. doi:10.1016/j.jfineco.2005.05.012
26. LINTNER, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1), 13-37. doi:10.2307/1924119
27. LO, A. W., & MacKinlay, C. (1988). Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. The Review of Financial Studies, 1(1), 41-66. doi:10.1093/rfs/1.1.41
28. MALKIEL, B. G. (1973). A Random Walk Down Wall Street : The Time-Tested Strategy for Successful Investing (1st ed.). New York, NY: W.W. Norton.
29. MUKHERJI, S. (2011). Are Stock Returns Still Mean-Reverting?. Review of Financial Economics, 20(1), 22-27. doi:10.1016/j.rfe.2010.08.001
30. MUSLUMOV, A., Aras, G. & Kurtulus, B. (2003). Evolving Market Efficiency in Istanbul Stock Exchange. Istanbul Technical University Selected Articles, 271-291. Available at SSRN: https://ssrn.com/abstract=890077
31. POTERBA, J., & Summers, L. H. (1989). Mean Reversion in Stock Prices: Evidence and Implications. Journal of Financial Economics, 22(1), 27-59. doi:10.1016/0304-405X(88)90021-9
32. RICHARDS, A. J. (1997). Winner-Loser Reversals in National Stock Market Indices: Can They Be Explained? The Journal of Finance, 52(5), 2129-44. doi:10.1111/j.1540-6261.1997.tb02755.x
33. SHARPE, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19(3), 425-442. doi:10.1111/j.1540-6261.1964.tb02865.x
34. SEVIM, Ş., Yıldız, B., & Akkoç, S., (2007). Aşırı Tepki Verme Hipotezi ve İMKB Üzerine Ampirik Bir Çalışma. İMKB Dergisi, 9(35), 23-39.
35. SPIERDIJK, L., Bikker, J. A., & van den Hoek, P. (2012). Mean reversion in international stock markets: An empirical analysis of the 20th century. Journal of International Money and Finance, 31(2), 228-249. doi:10.1016/j.jimonfin.2011.11.008