Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application

Abstract

In this study, the validity of the Adaptive Market Hypothesis (AMH) for the Fragile Five countries (India, Brazil, Indonesia, Turkey, and South Africa) was investigated through daily data for the period 01.09.2013-30.06.2024. As a result of the time-varying KSS unit root test developed by Kapetanios, Shin and Snell (2003), it was found that the periodic weak form of market efficiency is valid for the Fragile Five countries and the AMH was confirmed for these markets. Therefore, it is understood that the random walk hypothesis is periodically valid and investors who use technical analysis methods have the potential to earn higher-than-normal returns when the random walk is not valid.

Keywords

• Adaptive Market Hypothesis
• Fragile Five Countries
• Time-Varying KSS Unit Root Test

Adaptif Piyasa Hipotezinin Kırılgan Beşli Ülkeleri için Test Edilmesi: Zamanla Değişen KSS Birim Kök Testi Uygulaması

Öz

Bu çalışmada, Kırılgan Beşli ülkeleri (Hindistan, Brezilya, Endonezya, Türkiye ve Güney Afrika) için Adaptif Piyasa Hipotezi'nin (APH) geçerliliği 01.09.2013-30.06.2024 dönemine ait günlük veriler kullanılarak araştırılmıştır. Kapetanios, Shin ve Snell (2003) tarafından geliştirilen zamanla değişen KSS birim kök testi sonucunda piyasa etkinliğinin dönemsel zayıf formunun Kırılgan Beşli ülkeleri için geçerli olduğu tespit edilmiş ve bu piyasalar için APH doğrulanmıştır. Dolayısıyla, rassal yürüyüş hipotezinin dönemsel olarak geçerli olduğu ve teknik analiz yöntemlerini kullanan yatırımcıların rassal yürüyüşün geçerli olmadığı durumlarda normalden daha yüksek getiri elde etme potansiyeline sahip olduğu anlaşılmaktadır.

Anahtar Kelimeler

• Adaptif Piyasa Hipotezi
• Kırılgan Beşli Ülkeleri
• Zamanla Değişen KSS Birim Kök Testi

Kaynakça

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