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Year 2015, Volume: 7 Issue: 12, 197 - 208, 20.04.2015
https://doi.org/10.14784/jfrs.40426

Abstract

The run test can be used to decide if a data set is from a random prosess. A run is defined as a series of increasing values or a series of decreasing values. In the Turkish finance literature, run test has been examined by a number of studies.However,it has not been came across that any study is to apply run test to Turkish Gold Market. Therefore, this paper targets to test weak form efficiency of Turkish Gold Market by using run test. In Turkey, Gold Market is divided into three sub markets that are Cumhuriyet Gold Market, Reşat Gold Market and Gold Bullion Markets. The results prove that those sub gold markets are not weak form efficiency in Turkey

References

  • ABKEN, Peter, A. (1980), “The Economics of Gold Price Movements,” Economic Review, March/April, Federal Reserve Bank of Richmond, pp.3-13.
  • BACHELIER, Louis (1900), “Theorie de la Speculation,” Annales de I’Eoole Normale Superieure,3rd Series, 17:21-86.Trans.by A.J. Boness in The Random Character of Stock Market Prices, ed.P.H.Cootner,Cambridge,Mass.:MIT Press.1967.
  • BREALEY, Richard A. Stewart C. MYERS ve Alan MARCUS(1997), İşletme Finansının Temelleri, (Çev) Ü.BOZKURT, T.ARIKAN ve H.DOĞUKANLI, Literatür Yayınları, İstanbul.
  • COWLES, Alfred and Herbert E. JONES(1937), “Some Posteriori Probabilities in Stock Market Action,” Econometrica, Vol.5(3), July, pp.280-294.
  • DEMİRELİ, Erhan, G. Cenk AKKAYA ve Elif İBAŞ (2010), “Finansal Piyasa Etkinliği: S&P500 Üzerine Bir Uygulama,” C.Ü. İktisadi ve İdari Bilimler Dergisi, Cilt.11, sayı:2, ss.53-67.
  • FAMA, Eugene, F. (1965a), “The Behavior of Stock-Market Prices,” The Journal of Business, Vol.38, No.1, pp.34-105.
  • FAMA, Eugene, F. (1965b), “Random Walk in Stock Market Prices,” Financial Analysis Journal, Vol.21, No.5, pp.55-59.
  • FAMA, Eugene, F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance, Vol.25, No.2, pp.383-417.
  • FAMA, Eugene, F. (1991), “Efficient Capital Markets II” Journal of Finance, Vol.46, No.5, pp.1575-1617.
  • FAMA, Eugene, F. and Merton H. MILLER, (1972), The Theory of Finance, Dryden Press, Orlando.
  • KENDALL, Maurice (1953), “The Analysis of Economic Time Series, Part I:Prices,” Journal of Royal Statistical Society, Vol.96(1), pp.11-25.
  • KIYILAR, Murat (1998), “Etkin Pazar Kuramının İMKB’de Test Edilmesi,” Yönetim Dergisi, Yıl.9, Sayı.29, ss.34-51.
  • Lİ, Xiaozhou and Yunfei WANG (2011), “Information Transmitting Efficiency in China Gold Sport Market: A Random Walk Test with Wild and Bootstrap Variance Ratio Method,” http://ssrn.com/ abstract=2265859
  • MANDELBROT, Benoit(1963), “The Variation of Certain Speculative Prices,”Journal of Business, Vol.36,pp.394-419.
  • ÖNALAN, Ömer (2004), Finans Mühendisliğinde Matematiksel Modelleme, Avcıol Basım Yayın, İstanbul.
  • POSHAKWALE, Sunıl, (1996), “Evidence On Weak Form Efficiency and Day of the Week Effect in the Indian Stock Market,” Finance India, Vol. X, No.3, pp.605-616.
  • SAVAŞ, Fuat Vural (2012), Küresel Finans ve Makro İktisat, Efil Yayınevi, Ankara.
  • SELVANATHAN, Eliyathambr A. (1991), “A Note on the Accuracy of Business Economists’Gold Price Forecasts,” Australian Journal of Management, Vol:16:1,pp.91-95.
  • SMTH, Graham (2002), “Test of the Random Walk Hypothesis for London Gold Prices,” Applied Economics Letters, Vol.9, Number 10, pp.671-674.
  • TSCHOEGL, Adrian E.(1978), “Weak-Form Efficiency in the Gold Market,”WP:1013-78, Alfred P.Sloan School of Management, pp.1-24.
  • TUNCEL, Ahmet K. (2007), “Rassal Yürüyüş(Random Walk) Hipotezinin İMKB’de Test Edilmesi: Koşu Testi Uygulaması,” Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), ss. 1-18.
  • WORKING, Holbrook(1934), “A Random Difference Series for Use in the Analysis of Time Series,” Journal of the American Statistical Association, Vol. 29, pp.11-24.

TÜRKİYE’DE ALTIN PİYASASININ ZAYIF FORMDA ETKİNLİĞİNİN KOŞU TESTİ UYGULAMASI İLE SINANMASI

Year 2015, Volume: 7 Issue: 12, 197 - 208, 20.04.2015
https://doi.org/10.14784/jfrs.40426

Abstract

Bir veri seti rassal bir süreçten oluşmakta ise koşu testi kullanımına karar verilebilir. Koşu, artan veya
azalan değerlerin oluşturduğu bir seri olarak tanımlanabilir. Türk finans yazınında koşu testi çok sayıda
çalışma tarafından ele alınmıştır. Bununla birlikte, koşu testini Türk altın piyasasına uygulayan herhangi bir
çalışmaya rastlanılmamıştır. Bu yüzden, söz konusu bu çalışmada; Türkiye’deki altın piyasası üç alt piyasaya
sırasıyla Cumhuriyet, Reşat ve Külçe Altın Piyasalarına ayrıştırılarak, bu piyasaların zayıf formda(türde)
etkin olup olmadığı koşu testi yardımıyla sınanmıştır. Söz konusu her üç piyasanın da zayıf formda etkin
olmadıkları anlaşılmıştır.
Anahtar Kelimeler: Koşu Testi, Rassal Yürüyüş Hipotezi, Altın Piyasası, Zayıf Formda Etkinlik
Jel Kodları: G0, G11, G14

References

  • ABKEN, Peter, A. (1980), “The Economics of Gold Price Movements,” Economic Review, March/April, Federal Reserve Bank of Richmond, pp.3-13.
  • BACHELIER, Louis (1900), “Theorie de la Speculation,” Annales de I’Eoole Normale Superieure,3rd Series, 17:21-86.Trans.by A.J. Boness in The Random Character of Stock Market Prices, ed.P.H.Cootner,Cambridge,Mass.:MIT Press.1967.
  • BREALEY, Richard A. Stewart C. MYERS ve Alan MARCUS(1997), İşletme Finansının Temelleri, (Çev) Ü.BOZKURT, T.ARIKAN ve H.DOĞUKANLI, Literatür Yayınları, İstanbul.
  • COWLES, Alfred and Herbert E. JONES(1937), “Some Posteriori Probabilities in Stock Market Action,” Econometrica, Vol.5(3), July, pp.280-294.
  • DEMİRELİ, Erhan, G. Cenk AKKAYA ve Elif İBAŞ (2010), “Finansal Piyasa Etkinliği: S&P500 Üzerine Bir Uygulama,” C.Ü. İktisadi ve İdari Bilimler Dergisi, Cilt.11, sayı:2, ss.53-67.
  • FAMA, Eugene, F. (1965a), “The Behavior of Stock-Market Prices,” The Journal of Business, Vol.38, No.1, pp.34-105.
  • FAMA, Eugene, F. (1965b), “Random Walk in Stock Market Prices,” Financial Analysis Journal, Vol.21, No.5, pp.55-59.
  • FAMA, Eugene, F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance, Vol.25, No.2, pp.383-417.
  • FAMA, Eugene, F. (1991), “Efficient Capital Markets II” Journal of Finance, Vol.46, No.5, pp.1575-1617.
  • FAMA, Eugene, F. and Merton H. MILLER, (1972), The Theory of Finance, Dryden Press, Orlando.
  • KENDALL, Maurice (1953), “The Analysis of Economic Time Series, Part I:Prices,” Journal of Royal Statistical Society, Vol.96(1), pp.11-25.
  • KIYILAR, Murat (1998), “Etkin Pazar Kuramının İMKB’de Test Edilmesi,” Yönetim Dergisi, Yıl.9, Sayı.29, ss.34-51.
  • Lİ, Xiaozhou and Yunfei WANG (2011), “Information Transmitting Efficiency in China Gold Sport Market: A Random Walk Test with Wild and Bootstrap Variance Ratio Method,” http://ssrn.com/ abstract=2265859
  • MANDELBROT, Benoit(1963), “The Variation of Certain Speculative Prices,”Journal of Business, Vol.36,pp.394-419.
  • ÖNALAN, Ömer (2004), Finans Mühendisliğinde Matematiksel Modelleme, Avcıol Basım Yayın, İstanbul.
  • POSHAKWALE, Sunıl, (1996), “Evidence On Weak Form Efficiency and Day of the Week Effect in the Indian Stock Market,” Finance India, Vol. X, No.3, pp.605-616.
  • SAVAŞ, Fuat Vural (2012), Küresel Finans ve Makro İktisat, Efil Yayınevi, Ankara.
  • SELVANATHAN, Eliyathambr A. (1991), “A Note on the Accuracy of Business Economists’Gold Price Forecasts,” Australian Journal of Management, Vol:16:1,pp.91-95.
  • SMTH, Graham (2002), “Test of the Random Walk Hypothesis for London Gold Prices,” Applied Economics Letters, Vol.9, Number 10, pp.671-674.
  • TSCHOEGL, Adrian E.(1978), “Weak-Form Efficiency in the Gold Market,”WP:1013-78, Alfred P.Sloan School of Management, pp.1-24.
  • TUNCEL, Ahmet K. (2007), “Rassal Yürüyüş(Random Walk) Hipotezinin İMKB’de Test Edilmesi: Koşu Testi Uygulaması,” Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 9(2), ss. 1-18.
  • WORKING, Holbrook(1934), “A Random Difference Series for Use in the Analysis of Time Series,” Journal of the American Statistical Association, Vol. 29, pp.11-24.
There are 22 citations in total.

Details

Primary Language Turkish
Journal Section Makaleler
Authors

Aydın Uyar This is me

Mustafa Uzuner

Publication Date April 20, 2015
Submission Date April 20, 2015
Published in Issue Year 2015 Volume: 7 Issue: 12

Cite

APA Uyar, A., & Uzuner, M. (2015). TÜRKİYE’DE ALTIN PİYASASININ ZAYIF FORMDA ETKİNLİĞİNİN KOŞU TESTİ UYGULAMASI İLE SINANMASI. Finansal Araştırmalar Ve Çalışmalar Dergisi, 7(12), 197-208. https://doi.org/10.14784/jfrs.40426