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TIME-VARYING WEAK FORM EFFICIENCY IN HEDGE FUND MARKETS

Yıl 2019, Cilt: 17 Sayı: 3, 312 - 323, 30.09.2019

Melik Kamışlı Fatih Temizel

https://doi.org/10.11611/yead.604067

Öz

One of the major participants of today’s financial markets is hedge funds which attract the attention of both individual investors and institutional investors. The main factor that hedge fund investors consider in decision process is performance of the fund.Therefore, factors that affect the performance of the fund should be determined too. One of these factors is efficiency structure of hedge fund market.However, efficiency may change during the investment period depending on different developments. In this context, purpose of this study is to determine time-varying efficiency structure of regional hedge funds. For this purpose, firstly, linearity of Asia, Western Europe, North America, Northern Europe, Latin America, MENA and Russia/Eastern Europe regional funds tested by Harvey et al. (2008) test, and then rolling KSS unit root test was applied to nonlinear hedge fund indexes. The findings indicate that weak form efficiency of selected regional hedge funds vary over the time

Anahtar Kelimeler

Hedge Funds Time-varying KSS Unit Root Test Risk Management

Kaynakça

  • Ackermann, C., McEnally,R. ve Ravenscraft, D. (1999). “The performance of hedge funds: Risk, return, and ıncentives”, The Journal of Finance, 54(3): 833-875.
  • Anbar, A. (2009). “Hedge Fon Sektörünün Gelişimi ve Hedge Fonların Temel Özellikleri”, Elektronik Sosyal Bilimler Dergisi, 8(2): 99-125.
  • Anagnostidis, P., Varsakelis, C. ve Emmanouilides C. J. (2016). “Has the 2008 Financial Crisis Affected Stock Market Efficiency? The Case of Eurozone”, Physica A: Statistical Mechanics and its Application, 447: 116-128.
  • Becker, B. ve Doherty-Minicozzi, C. (2000). “Hedge Funds in Global Financial Markets”, February 2000.
  • Bildik, R. (2000). “Hisse Senedi Piyasalarında Dönemsellikler ve İMKB Üzerine Ampirik Bir Çalışma”, İMKB Yayınları, Mart Mat. Sanatlar Ltd. Şti., İstanbul.
  • Cao, C., Liang, B, Lo, A. W. ve Petrasek, L. (2018). “Hedge fund holdings and stock market efficiency”, The Review of Asset Pricing Studies, 8(1): 77-116.
  • Charfeddine, L. ve Khediri K. B. (2016). “Time Varying Market Efficiency of the GCC Stock Markets”, Physica A: Statistical Mechanics and its Application, 444: 487-504.
  • Fama, E. F. (1970). “Efficient Capital Markets: A Review of Theory and Empirical Works”, Journal of Finance, 25(2): 383-417.
  • Ferguson, R. ve Laster D. (2007). “Hedge Funds and Systemic Risk”, Financial Stability Review: Special Issue on Hedge Funds, Banque de France, No. 10: 45-54.
  • Fung, W. ve Hsieh, D. A. (1999). “A Primer on Hedge Funds”, Journal of Empirical Finance, 6: 309-331.
  • Fung, W. ve Hsieh, D. A. (2000). “Measuring the Market Impact of Hedge Funds”, Journal of Empirical Finance, 7: 1-36.
  • Fung, W. ve Hsieh, D. A. (2006). “Hedge Funds: An Industry in Its Adolescence” http://www.frbatlanta.org/news/conferen/06fmc/06fmc_hsieh.pdf (10.03.2019).
  • Garbaravicius, T. ve Dierick, F. (2005). “Hedge Funds and Their Implications for Financial Stability”, European Central Bank, Occasional Paper Series, No. 34
  • Harvey, D. I., Leybourne, S. J. ve Xiao, B., (2008). “A Powerful Test for Linearity When the Order of Integration Is Unknown”, Studies in Nonlinear Dynamics &Econometrics, 12(3): 1-24.
  • Katusiime, L., Shamsuddin, A. ve Agbola, F. W. (2015). “Foreign Exchange Market Efficiency and Profitability of Trading Rules: Evidence from a Developing Country”, International Review of Economics and Finance 35: 315–332.
  • Kapetanios, G., Shinb, Y. ve Snell, A. (2003). “Testing for a Unit Root in the Nonlinear STAR Framework”, Journal of Econometrics, 112: 359-379.
  • Lavinio, S. (2000). “The Hedge Fund Handbook: A Definitive Guide for Analyzing and Evaluating Alternative Investments”, McGraw Hill Professional.
  • Lhabitant, F. S. (2004). “Hedge Funds: Quantitative Insights”, John Wiley & Sons Ltd.
  • Lhabitant, F. S. (2006). “Handbook of Hedge Funds”, Chichester, John Wiley & Sons Ltd.
  • Liang, B. (1999). “On the performance of hedge funds”. Financial Analysts Journal, 55(4): 72-85.
  • Lim, K. P. (2007). “Ranking Market Efficiency for Stock Markets: A Nonlinear Perspective”. Physica A: Statistical Mechanics and its Applications, 376: 445-454.
  • Lowenstein, R. (2000). “When Genius Failed: The Raise and Fall of Long-Term Capital Management”, USA: Random House.
  • Schwert, G. W. (1989). “Test for Unit Roots: A Monte Carlo Investigation”, Journal of Business & Economic Statistics, 7(2): 147-159
  • Sensoy, A., ve Tabak, B. M. (2016). “Dynamic Efficiency of Stock Markets and Exchange Rates”, International Review of Financial Analysis, 47: 353-371.
  • Walter, N. (2006). "Hedge Funds and Financial Stability”, http://www.europarl.europa.eu/comparl/econ/emu/20061010/walter.pdf, 18.04.2018.
  • Wang, Y., Wei, Y. ve Wu, C. (2011). “Analysis of the Efficiency and Multifractality of Gold Markets Based on Multifractal Detrended Fluctuation Analysis”, Physica A: Statistical Mechanics and its Applications, 390(5): 817-827.
  • Yılancı, V. (2014).” The Validity of Purchasing Power Parity in Central and Eastern European Countries: A Rolling Nonlinear Unit Root Test”, Economic Research, 25(4): 973-986.
  • Yıldız, E. T. (2004). “Hedge Fonların İşleyişi”, Yeterlik Etüdü, SPK, İstanbul.
  • Zhang, B. (2013). “Are the Crude Oil Markets Becoming More Efficient Over Time? New Evidence from a Generalized Spectral Test”, Energy Economics, 40: 875-881.

HEDGE FON PİYASALARINDA ZAMANLA DEĞİŞEN ZAYIF FORMDA ETKİNLİK

Yıl 2019, Cilt: 17 Sayı: 3, 312 - 323, 30.09.2019

Melik Kamışlı Fatih Temizel

https://doi.org/10.11611/yead.604067

Öz

Günümüzde finansal piyasaların en büyük katılımcılarından
biri, bireysel yatırımcıların yanı sıra kurumsal yatırımcıların da ilgisini
çekmeye başlayan hedge fonlardır. Hedge fon yatırımcılarının karar sürecinde değerlendirdikleri
temel girdi fonun göstereceği performanstır. Bu noktada yatırım kararı
aşamasında fonun performansı üzerinde etkili olan faktörler de analiz
edilmelidir. Bu faktörlerden biri de yatırım yapılması düşünülen hedge fon
piyasasının etkinlik yapısıdır. Bununla birlikte piyasa etkinliği yatırım
süresi boyunca piyasadaki farklı gelişmelere bağlı olarak değişebilmektedir. Bu
bağlamda çalışmanın temel amacı, bölgesel hedge fonların zamanla değişen zayıf
formda etkinlik yapısının belirlenmesidir. Bu amaca uygun olarak Asya, Batı
Avrupa, Kuzey Amerika, Kuzey Avrupa, Latin Amerika, MENA ve Rusya/Doğu Avrupa
bölgesel hedge fonlarının öncelikle doğrusallık yapısı Harvey vd. (2008)
doğrusallık testi ile sınanmış, ardından doğrusal olmayan hedge fon
endekslerine zamanla değişen KSS birim kök testi uygulanmıştır. Çalışma
sonucunda incelenen bölgesel hedge fon piyasalarında zayıf formda etkinliğin
zamana bağlı olarak değişim gösterdiği tespit edilmiştir.

Anahtar Kelimeler

Hedge Fonlar Zamanla Değişen KSS Birim Kök Testi Risk Yönetimi

Kaynakça

  • Ackermann, C., McEnally,R. ve Ravenscraft, D. (1999). “The performance of hedge funds: Risk, return, and ıncentives”, The Journal of Finance, 54(3): 833-875.
  • Anbar, A. (2009). “Hedge Fon Sektörünün Gelişimi ve Hedge Fonların Temel Özellikleri”, Elektronik Sosyal Bilimler Dergisi, 8(2): 99-125.
  • Anagnostidis, P., Varsakelis, C. ve Emmanouilides C. J. (2016). “Has the 2008 Financial Crisis Affected Stock Market Efficiency? The Case of Eurozone”, Physica A: Statistical Mechanics and its Application, 447: 116-128.
  • Becker, B. ve Doherty-Minicozzi, C. (2000). “Hedge Funds in Global Financial Markets”, February 2000.
  • Bildik, R. (2000). “Hisse Senedi Piyasalarında Dönemsellikler ve İMKB Üzerine Ampirik Bir Çalışma”, İMKB Yayınları, Mart Mat. Sanatlar Ltd. Şti., İstanbul.
  • Cao, C., Liang, B, Lo, A. W. ve Petrasek, L. (2018). “Hedge fund holdings and stock market efficiency”, The Review of Asset Pricing Studies, 8(1): 77-116.
  • Charfeddine, L. ve Khediri K. B. (2016). “Time Varying Market Efficiency of the GCC Stock Markets”, Physica A: Statistical Mechanics and its Application, 444: 487-504.
  • Fama, E. F. (1970). “Efficient Capital Markets: A Review of Theory and Empirical Works”, Journal of Finance, 25(2): 383-417.
  • Ferguson, R. ve Laster D. (2007). “Hedge Funds and Systemic Risk”, Financial Stability Review: Special Issue on Hedge Funds, Banque de France, No. 10: 45-54.
  • Fung, W. ve Hsieh, D. A. (1999). “A Primer on Hedge Funds”, Journal of Empirical Finance, 6: 309-331.
  • Fung, W. ve Hsieh, D. A. (2000). “Measuring the Market Impact of Hedge Funds”, Journal of Empirical Finance, 7: 1-36.
  • Fung, W. ve Hsieh, D. A. (2006). “Hedge Funds: An Industry in Its Adolescence” http://www.frbatlanta.org/news/conferen/06fmc/06fmc_hsieh.pdf (10.03.2019).
  • Garbaravicius, T. ve Dierick, F. (2005). “Hedge Funds and Their Implications for Financial Stability”, European Central Bank, Occasional Paper Series, No. 34
  • Harvey, D. I., Leybourne, S. J. ve Xiao, B., (2008). “A Powerful Test for Linearity When the Order of Integration Is Unknown”, Studies in Nonlinear Dynamics &Econometrics, 12(3): 1-24.
  • Katusiime, L., Shamsuddin, A. ve Agbola, F. W. (2015). “Foreign Exchange Market Efficiency and Profitability of Trading Rules: Evidence from a Developing Country”, International Review of Economics and Finance 35: 315–332.
  • Kapetanios, G., Shinb, Y. ve Snell, A. (2003). “Testing for a Unit Root in the Nonlinear STAR Framework”, Journal of Econometrics, 112: 359-379.
  • Lavinio, S. (2000). “The Hedge Fund Handbook: A Definitive Guide for Analyzing and Evaluating Alternative Investments”, McGraw Hill Professional.
  • Lhabitant, F. S. (2004). “Hedge Funds: Quantitative Insights”, John Wiley & Sons Ltd.
  • Lhabitant, F. S. (2006). “Handbook of Hedge Funds”, Chichester, John Wiley & Sons Ltd.
  • Liang, B. (1999). “On the performance of hedge funds”. Financial Analysts Journal, 55(4): 72-85.
  • Lim, K. P. (2007). “Ranking Market Efficiency for Stock Markets: A Nonlinear Perspective”. Physica A: Statistical Mechanics and its Applications, 376: 445-454.
  • Lowenstein, R. (2000). “When Genius Failed: The Raise and Fall of Long-Term Capital Management”, USA: Random House.
  • Schwert, G. W. (1989). “Test for Unit Roots: A Monte Carlo Investigation”, Journal of Business & Economic Statistics, 7(2): 147-159
  • Sensoy, A., ve Tabak, B. M. (2016). “Dynamic Efficiency of Stock Markets and Exchange Rates”, International Review of Financial Analysis, 47: 353-371.
  • Walter, N. (2006). "Hedge Funds and Financial Stability”, http://www.europarl.europa.eu/comparl/econ/emu/20061010/walter.pdf, 18.04.2018.
  • Wang, Y., Wei, Y. ve Wu, C. (2011). “Analysis of the Efficiency and Multifractality of Gold Markets Based on Multifractal Detrended Fluctuation Analysis”, Physica A: Statistical Mechanics and its Applications, 390(5): 817-827.
  • Yılancı, V. (2014).” The Validity of Purchasing Power Parity in Central and Eastern European Countries: A Rolling Nonlinear Unit Root Test”, Economic Research, 25(4): 973-986.
  • Yıldız, E. T. (2004). “Hedge Fonların İşleyişi”, Yeterlik Etüdü, SPK, İstanbul.
  • Zhang, B. (2013). “Are the Crude Oil Markets Becoming More Efficient Over Time? New Evidence from a Generalized Spectral Test”, Energy Economics, 40: 875-881.
Toplam 29 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Finans
Bölüm Makaleler
Yazarlar

Melik Kamışlı 0000-0001-6419-2257

Fatih Temizel 0000-0002-7208-3293

Yayımlanma Tarihi 30 Eylül 2019
Yayımlandığı Sayı Yıl 2019 Cilt: 17 Sayı: 3

Kaynak Göster

APA Kamışlı, M., & Temizel, F. (2019). HEDGE FON PİYASALARINDA ZAMANLA DEĞİŞEN ZAYIF FORMDA ETKİNLİK. Journal of Management and Economics Research, 17(3), 312-323. https://doi.org/10.11611/yead.604067
AMA Kamışlı M, Temizel F. HEDGE FON PİYASALARINDA ZAMANLA DEĞİŞEN ZAYIF FORMDA ETKİNLİK. Journal of Management and Economics Research. Eylül 2019;17(3):312-323. doi:10.11611/yead.604067
Chicago Kamışlı, Melik, ve Fatih Temizel. “HEDGE FON PİYASALARINDA ZAMANLA DEĞİŞEN ZAYIF FORMDA ETKİNLİK”. Journal of Management and Economics Research 17, sy. 3 (Eylül 2019): 312-23. https://doi.org/10.11611/yead.604067.
EndNote Kamışlı M, Temizel F (01 Eylül 2019) HEDGE FON PİYASALARINDA ZAMANLA DEĞİŞEN ZAYIF FORMDA ETKİNLİK. Journal of Management and Economics Research 17 3 312–323.
IEEE M. Kamışlı ve F. Temizel, “HEDGE FON PİYASALARINDA ZAMANLA DEĞİŞEN ZAYIF FORMDA ETKİNLİK”, Journal of Management and Economics Research, c. 17, sy. 3, ss. 312–323, 2019, doi: 10.11611/yead.604067.
ISNAD Kamışlı, Melik - Temizel, Fatih. “HEDGE FON PİYASALARINDA ZAMANLA DEĞİŞEN ZAYIF FORMDA ETKİNLİK”. Journal of Management and Economics Research 17/3 (Eylül 2019), 312-323. https://doi.org/10.11611/yead.604067.
JAMA Kamışlı M, Temizel F. HEDGE FON PİYASALARINDA ZAMANLA DEĞİŞEN ZAYIF FORMDA ETKİNLİK. Journal of Management and Economics Research. 2019;17:312–323.
MLA Kamışlı, Melik ve Fatih Temizel. “HEDGE FON PİYASALARINDA ZAMANLA DEĞİŞEN ZAYIF FORMDA ETKİNLİK”. Journal of Management and Economics Research, c. 17, sy. 3, 2019, ss. 312-23, doi:10.11611/yead.604067.
Vancouver Kamışlı M, Temizel F. HEDGE FON PİYASALARINDA ZAMANLA DEĞİŞEN ZAYIF FORMDA ETKİNLİK. Journal of Management and Economics Research. 2019;17(3):312-23.