Testing the Adaptive Markets Hypothesis in Turkish State Banks

Öz

This study investigates whether Turkish state banks (Vakıfbank, Halkbank, Ziraat GYO) exhibit adaptive behavior in their stock markets, considering the Adaptive Market Hypothesis developed as an alternative to traditional theories. The data spans from January 1, 2014, to December 31, 2024, for Vakıfbank and Halkbank, and from April 28, 2021, to December 31, 2024, for Ziraat GYO. In the study, the Dominguez-Lobato and Chow-Denning tests were applied using a 360-day rolling window approach to examine how the predictability of daily return data changes over time. The findings indicate that the stock market under review has undergone different levels of activity. It has been observed that market returns become more predictable during certain periods, while during other periods they tend to be more random. These results demonstrate that market efficiency changes over time and is consistent with the Adaptive Market Hypothesis.

Anahtar Kelimeler

• Adaptive Market Hypothesis
• Market Predictability
• Turkish State Banks
• Rolling Windows Method

Teşekkür

During the process of translating this study from Turkish into English, the Gemini 3 Pro generative artificial intelligence tool developed by Google was used to support translation and improve linguistic fluency. The outputs generated by the artificial intelligence tool were carefully reviewed by the author, necessary revisions were made, and full responsibility for the accuracy, as well as the scientific and ethical appropriateness of the final version of the manuscript, rests entirely with the author.

Adaptif Piyasalar Hipotezinin Türk Devlet Bankalarında Test Edilmesi

Öz

Bu çalışma, Türk devlet bankaları (Vakıfbank, Halkbank, Ziraat GYO) hisse senedi piyasalarında, geleneksel teorilere alternatif olarak geliştirilen Adaptif Piyasalar Hipotezi’nin varlığını araştırmaktadır. Veri aralığı, Vakıfbank ve Halkbank için 01 Ocak 2014-31 Aralık 2024, Ziraat GYO için 28 Nisan 2021-31 Aralık 2024’tür. Çalışmada günlük getiri verilerinin öngörülebilirliğinin zamana bağlı olarak nasıl değiştiğini incelemek için Dominguez-Lobato ve Chow-Denning testleri 360 günlük kayan pencere yöntemiyle uygulanmıştır. Elde edilen bulgular incelenen hisse senedi piyasasının farklı etkinlik seviyelerinden geçtiğini göstermektedir. Özellikle bazı dönemlerde piyasa getirilerinin öngörülebilirliği artarken, diğer dönemlerde rastlantısal bir yapıya yaklaştığı gözlenmiştir. Bu sonuçlar, piyasa etkinliğinin zaman içinde değiştiğini ve Adaptif Piyasalar Hipotezi ile uyumlu olduğunu ortaya koymaktadır.

Anahtar Kelimeler

• Adaptif Piyasalar Hipotezi
• Piyasa Öngörülebilirliği
• Türk Devlet Bankaları
• Kayan Pencereler Yöntemi

Teşekkür

Bu çalışmanın Türkçeden İngilizceye çevrilmesi sürecinde, dilsel akıcılığın artırılması ve çeviri desteği sağlanması amacıyla Google tarafından geliştirilen Gemini 3 Pro üretken yapay zekâ aracı kullanılmıştır. Yapay zekâ aracından elde edilen çıktılar yazar tarafından dikkatle gözden geçirilmiş, gerekli düzeltmeler yapılmış ve metnin nihai hâlinin doğruluğu ile bilimsel ve etik uygunluğunun sorumluluğu tamamen yazar tarafından üstlenilmiştir.

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