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

Yıl 2025, Cilt: 8 Sayı: 2, 117 - 152, 31.12.2025

Mustafa Talha Uzuner

https://doi.org/10.52736/ubeyad.1783124

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

Etik Beyan

YOK

Destekleyen Kurum

YOK

Proje Numarası

YOK

Teşekkür

YOK

Kaynakça

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

Yıl 2025, Cilt: 8 Sayı: 2, 117 - 152, 31.12.2025

Mustafa Talha Uzuner

https://doi.org/10.52736/ubeyad.1783124

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

Etik Beyan

No

Destekleyen Kurum

NO

Proje Numarası

YOK

Teşekkür

NO

Kaynakça

  • Abken, P. A. (1980). The economics of gold price movements. Economic Review, March/April, Federal Reserve Bank of Richmond, 3-13.
  • Adrangi, B., Chatrath, A. ve David, C. R. (2000). Price discovery in strategically-linked markets: the case of the gold-silver spread. Applied Financial Economics, 10(1), 227–234. https://doi.org/10.1080/096031000331644
  • Adrangi, B., Chatrath, A. ve Raffiee, K.(2003).Economic activity, inflation and hedging: The case of gold and silver investments. The Journal of Wealth Management 6, 60-77.
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  • O'Connor, F. A., Lucey, B. M., Batten, J. A., ve Baur, D. G. (2015). The financial economics of gold—A survey. International Review of Financial Analysis, 41, 186-205.
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  • Pierdzioch, C., Risse, M. ve Rohloff, S. (2015). Cointegration of the 63 prices of gold and silver: RALS-based evidence. Finance Research Letters, vol:15, 133–13. https://doi.org/10.1016/j.frl.2015.09.003
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  • Sherman, E. J. (1983). A gold pricing model. Journal of Portfolio Management, (9), 68-70.
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  • Vural, A., Ural, M. N. ve Çiftçi, A. (2020). Değerli metallerin sosyal, siyasal ve ekonomik olaylarla ilişkisinin N-gram yöntemi ile değerlendirilmesi. International Social Mentality and Researcher Thinker Journal, 6(29), 247-257. http://dx.doi.org/10.31576/smryj.456
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  • Worthington, A. C. ve Pahlavani, M. (2007). Gold investment as an inflationary hedge: Cointegration evidence with allowance for endogenous structural breaks. Applied Financial Economics Letters, 3, 259–262. https://doi.org/10.1080/17446540601118301
  • Xu, X. E. ve Fung, H. G. (2005). Cross-market linkages between U.S. and Japanese precious metals futures trading. Journal of International Financial Markets, Institutions and Money, 15, 107–124. https://doi.org/10.1016/j.intfin.2004.03.002
  • Yu, H. ve Shih, T. (.2011). Gold, crude oil and the weekend effect  : a probability distribution approach. Investment Management and Financial Innovations, 8, 39–51.
  • Zhu, H., Peng, C. ve You, W. (2016). Quantile behaviour of cointegration between silver and gold prices. Finance Research Letters, 19, 119–125. https://doi.org/10.1016/j.frl.2016.07.002
Toplam 105 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Ekonomik Modeller ve Öngörü
Bölüm Araştırma Makalesi
Yazarlar

Mustafa Talha Uzuner 0000-0002-0695-1101

Proje Numarası YOK
Gönderilme Tarihi 12 Eylül 2025
Kabul Tarihi 27 Kasım 2025
Yayımlanma Tarihi 31 Aralık 2025
Yayımlandığı Sayı Yıl 2025 Cilt: 8 Sayı: 2

Kaynak Göster

APA Uzuner, M. T. (2025). Borsa İstanbul Kıymetli Madenler Piyasası Bağlamında Altın Fiyatları İçin Zayıf Etkinlik Sınaması. Uluslararası Bankacılık Ekonomi ve Yönetim Araştırmaları Dergisi, 8(2), 117-152. https://doi.org/10.52736/ubeyad.1783124