Adaptif Piyasa Hipotezi ve Getiri Öngörülebilirliği: Borsa İstanbul İçin Bir Gizli Markov Modeli Uygulaması

Yıl 2021, Cilt: 29 Sayı: 48, 31 - 58, 28.04.2021

Hasan Arda Burhan , Eylem Acar

https://doi.org/10.17233/sosyoekonomi.2021.02.02

Cited By: 3

Öz

Adaptif piyasa hipotezi (APH) güncel finansal literatürde belirgin bir ilgi görmektedir. Bu durum APH’nin yine finansal literatürde sıklıkla araştırma konusu olan etkin piyasa hipotezine bir alternatif olarak ortaya çıkmış olması ile bağlantılıdır. Bu doğrultuda çalışmada, ilk olarak Borsa İstanbul hisse senedi piyasası BIST100 endeksi için APH, getiri öngörülebilirliğinin test edilmesi yoluyla incelenmiştir. Bu bağlamda Ocak 1988 - Aralık 2017 arası günlük kapanış fiyatı verilerine otomatik portmanteau ve genelleştirilmiş spektral (GS) testleri uygulanmıştır. Analizin devamında bu testlerin sonuçları, getiri öngörülebilirliği sağlayan dönemleri incelemek için bir gizli Markov model (GMM) uygulamasında kullanılmıştır. Sonuçlara göre Borsa İstanbul’un APH'ne güçlü bir şekilde uyum sağladığı görülmüştür. Ek olarak, GMM uygulamasının sonuçları, endeksin belirleyicileri ile ilgili olarak da periyodik öngörülebilirliği doğrulamıştır.

Anahtar Kelimeler

Adaptif Piyasa Hipotezi, Getiri Öngörülebilirliği, Gizli Markov Modelleri, Borsa İstanbul, BIST 100

Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul

Öz

The adaptive market hypothesis (AMH) has recently attracted significant interest in the financial literature. The AMH has started to be considered an alternative to the efficient market hypothesis. In this respect, this study, first of all, examines the AMH for the BIST100 index of Turkey’s Borsa Istanbul stock exchange market by testing the return predictability. The applications are performed via automatic portmanteau and the generalized spectral (GS) tests using daily closing price data between January 1988 and December 2017. Secondly, the results of these tests are utilized for a hidden Markov model (HMM) application to examine the periods that yield return predictability. According to the results, it is observed that there is strong evidence for the validity of AMH within the scope of Borsa Istanbul’s BIST100. Additionally, the results of the HMM application confirm the periodic predictability regarding the determinants of the index.

Anahtar Kelimeler

Adaptive Market Hypothesis, Return Predictability, Hidden Markov Models, Borsa Istanbul, BIST 100

Kaynakça

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