Borsa İstanbul Kıymetli Madenler Piyasası Bağlamında Altın Fiyatları İçin Zayıf Etkinlik Sınaması

Öz

Bu çalışma, Borsa İstanbul Kıymetli Madenler Piyasasında, 3 Ocak 2017 - 31 Ocak 2025 tarihleri arasında, altın fiyatlarının günlük kapanış fiyat değişimlerinin zayıf etkin pazar hipotezi bağlamında sınanmasını amaçlamıştır. Finans teorisinde, zayıf etkin piyasa türünün belirlenmesinde koşu testi (run test), serisel korelasyon ve Alexander’in filtre testi yöntemlerinin kullanılması önerildiği için söz konusu bu çalışmada koşu testi ve serisel korelasyon yöntemlerinden faydalanılmıştır. İlgili çalışmada koşu testi analizi, Borsa İstanbul Kıymetli Madenler Piyasası içinde yer alan altın piyasası için hem Türk Lirası (TR/KG) hem de ABD doları (USD/ONS) cinsinden gerçekleştirilmiştir. Her iki sonuç da altın fiyatlarındaki değişimlerin hem TL hem de USD cinsinden rassal olarak oluşmadıkları, diğer bir anlatımla fiyatların birbirleri ile ilişkili oldukları tespit edilmiş, bu nedenle de Borsa İstanbul Kıymetli Madenler Piyasası içinde yer alan altın piyasasının zayıf etkin bir piyasa olmadığı tespit edilmiştir. Çalışmada gerçekleştirilen diğer analiz yöntemi olan serisel korelasyon analizinin sonuçları da koşu testi sonuçlarıyla benzerlik göstermiştir. Buna göre serisel korelasyon analizinden elde edilen bulgular, Borsa İstanbul Kıymetli Madenler Piyasası içinde yer alan altın piyasasının hem Türk Lirası (TR/KG) hem de ABD doları (USD/ONS) cinsinden zayıf etkin bir piyasa biçimine sahip olmadığını göstermiştir.

Anahtar Kelimeler

• Borsa İstanbul Kıymetli Madenler Piyasası
• Altın fiyatları
• Zayıf Etkin Pazar Hipotezi

Weak Efficiency Test For Gold Prices İn The Context Of Borsa Istanbul Precious Metals Market

Öz

His study aimed to test the daily closing price changes of gold prices in Borsa Istanbul Precious Metals Market between January 3, 2017 and January 31, 2025 in the context of weak efficient market hypothesis. Since the use of run test, serial correlation and Alexander's filter test methods is recommended in determining the weak efficient market type in finance theory, this study utilized run test and serial correlation methods. In the relevant study, the run test analysis was performed for the gold market in Borsa Istanbul Precious Metals Market in both Turkish Lira (TR/KG) and US Dollar (USD/ONS). Both results showed that the changes in gold prices did not occur randomly in both TL and USD, in other words, the prices were related to each other, therefore it was determined that the gold market in Borsa Istanbul Precious Metals Market was not a weak efficient market. The results of the other analysis method, serial correlation analysis, were also similar to the run test results. Accordingly, the findings obtained from the serial correlation analysis showed that the gold market within the Borsa Istanbul Precious Metals Market does not have a weak efficient market form in terms of both Turkish Lira (TR/KG) and US Dollar (USD/ONS).

Anahtar Kelimeler

• Borsa İstanbul Precious Metals Market
• Gold Prices
• Weak Efficient Market

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