Research Article
Year 2018,
Volume: 13 Issue: 1, 129 - 142, 15.04.2018
Abstract
Borsalarda
hisse senetlerinin fiyatı arz ve talebe göre belirlenmektedir. Eğer borsada
rassal yürüyüş hipotezi geçerli ise geçmiş verilerden hareketle fiyat
tahmininde bulunmak mümkün olmamaktadır. Aksi takdirde bu bilgileri kullanan
kişiler fiyat tahmininde bulunabilmekte ve normalüstü kazanç elde
edebilmektedirler. Bu makalenin amacı MIST ülkelerinde (Meksika, Endonezya,
Güney Kore ve Türkiye) Ocak 1998 – Temmuz 2017 döneminde borsa endekslerinin
zayıf formda etkin olup olmadığını ortaya koymaktır. Bu amaçla MIST borsalarının rassal yürüyüş
süreci 2016 yılında Furuoka tarafından literatüre kazandırılan birim
kök testi ile incelenmiştir. Elde edilen bulgular, incelenen piyasaların zayıf
formda etkin olmadığına işaret etmektedir.
References
- Atan, Sibel Duman; Özdemir, Zeynel Abidin (2013), “Hisse Senedi Piyasasında Zayıf Formda Etkinlik: İmkb Üzerine Ampirik Bir Çalışma”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergi-si, 24(2).
- Bildik, Recep (2000), Hisse Senedi Piyasalarında Dönemsellikler ve İMKB Üzerine Ampirik Bir Çalışma, İstan-bul: İMKB Yayınları.
- Borges, Maria Rosa (2010), “Efficient market hypothesis in European stock markets”, The European Journal of Finance, 16(7), 711-726.
- Buguk, Cumhur; Brorsen, B. Wade (2003), “Testing weak-form market efficiency: Evidence from the Istanbul Stock Exchange”, International review of financial analysis, 12(5), 579-590.
- Chan, Kam C.; Gup, Benton E.; Pan, Ming-Shiun (1997), “International stock market efficiency and integra-tion: A study of eighteen nations”, Journal of business finance & accounting, 24(6), 803-813.
- Erdem, Meziyet Sema (2016), “Avrupa Ve Asya-Pasifik Hisse Senedi Pazarlarında Zayıf Formda Pazar Etkinliği Ve Takvim Anomalileri”, AİBÜ Sosyal Bilimler Enstitüsü Dergisi, Cilt:16, Yıl:16, Sayı: 3, 16: 149-166
- Ergül, Nuray (2009), “Ulusal Hisse Senedi Piyasasında Etkinlik”, Yönetim Bilimleri Dergisi (7: 1), 101-117
- Fama, Eugene F. (1965), “Random Walks in Stock Market Prices”, Financial Analysts Journal, Vol. 21, No. 5, 55-59.
- Fama, Eugene F. (1970), “Efficient capital markets: A review of theory and empirical work”, The journal of Finance, 25(2), 383-417.
- Furuoka, Fumitaka (2016), “A new approach to testing unemployment hysteresis”, Empirical economics, 1-28.
- Gözbaşı, Onur; Küçükkaplan, İlhan; Nazlıoğlu, Şaban (2014), “Re-examining the Turkish stock market effici-ency: Evidence from nonlinear unit root tests”, Economic Modelling, 38, 381-384.
- Kapusuzoglu, Ayhan (2013), “Testing Weak Form Market Efficiency on the Istanbul Stock Exchange (ISE)”, International Journal of Business Management and Economic Research, 4(2), 700-705.
- Karan, Mehmet Baha (2011), Yatırım Analizi ve Portföy Yönetimi, Ankara: Gazi Kitabevi.
- Kıyılar, Murat (1997), Etkin Pazar Kuramı ve Etkin Pazar Kuramının İMKB‘de İrdelenmesi- Test Edilmesi, Anka-ra: SPK Yayın No:86, Ağustos 1997.
- Malkiel, Burton G. (2003), “The efficient market hypothesis and its critics”, The Journal of Economic Perspec-tives, 17(1), 59-82.
- Mishra, Ankita; Mishra, Vinod; Smyth, Russell (2015), “The random-walk hypothesis on the Indian stock mar-ket”, Emerging Markets Finance and Trade, 51(5), 879-892.
- Munir, Qaiser; Ching, Kok Sook; Furouka, Fumitaka; Mansur, Kasım (2012), “The efficient market hypothesis revisited: Evidence from the five small open Asean stock markets”, The Singapore Economic Re-view, 57(03), 1250021.
- Narayan, Paresh Kumar (2005), “Are the Australian and New Zealand stock prices nonlinear with a unit root?”, Applied Economics, 37(18), 2161-2166.
- Narayan, Paresh Kumar; Smyth, Russell (2004), “Is South Korea's stock market efficient?”, Applied Economics Letters, 11(11), 707-710.
- Özdemir, Zeynel Abidin (2008), “Efficient market hypothesis: evidence from a small open-economy”, Applied Economics, 40(5), 633-641.
- Tuna, Gülfen; Öztürk, Mahmut (2016), “Piyasa Etkinliğinin Yapısal Kırılmalı Birim Kök Testleri İle İncelenmesi: Türkiye Pay Senedi Piyasası Uygulaması”, Uluslararası Yönetim İktisat ve İşletme Dergisi, 30, 548-559.
- Yang, Ginny Ju-Ann; Lee, Chingnun; Lee, Chen-Hsun (2015), “Random Walk in the MIST”, Journal of Asia-Pacific Business, 16(2), 92-104.
- Zeren, Feyyaz; Konuk, Filiz (2013), “Testing the random walk hypothesis for emerging markets: evidence from linear and non-linear unit root tests”, Romanian Economic and Business Review, Vol. 8, No. 4, 61-71.
Year 2018,
Volume: 13 Issue: 1, 129 - 142, 15.04.2018
Abstract
Stock
prices are determined by supply and demand in stock markets. If the random walk
hypothesis is valid in the stock market, it is not possible to estimate the
price from the historical data. Otherwise, those who use this information will
be able to estimate the price and obtain abnormal earnings. The purpose of this
article is to show whether stock market indices are efficient in weak form
during the period from January 1998 to July 2017 in the target MIST countries
(Mexico, Indonesia, South Korea and Turkey). For this purpose, the random
walking process of MIST stock exchanges was examined in 2016 by Unit root test,
which was acquired by Furuoka in literature. The findings show that the markets
studied are not efficient in weak form.
References
- Atan, Sibel Duman; Özdemir, Zeynel Abidin (2013), “Hisse Senedi Piyasasında Zayıf Formda Etkinlik: İmkb Üzerine Ampirik Bir Çalışma”, Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergi-si, 24(2).
- Bildik, Recep (2000), Hisse Senedi Piyasalarında Dönemsellikler ve İMKB Üzerine Ampirik Bir Çalışma, İstan-bul: İMKB Yayınları.
- Borges, Maria Rosa (2010), “Efficient market hypothesis in European stock markets”, The European Journal of Finance, 16(7), 711-726.
- Buguk, Cumhur; Brorsen, B. Wade (2003), “Testing weak-form market efficiency: Evidence from the Istanbul Stock Exchange”, International review of financial analysis, 12(5), 579-590.
- Chan, Kam C.; Gup, Benton E.; Pan, Ming-Shiun (1997), “International stock market efficiency and integra-tion: A study of eighteen nations”, Journal of business finance & accounting, 24(6), 803-813.
- Erdem, Meziyet Sema (2016), “Avrupa Ve Asya-Pasifik Hisse Senedi Pazarlarında Zayıf Formda Pazar Etkinliği Ve Takvim Anomalileri”, AİBÜ Sosyal Bilimler Enstitüsü Dergisi, Cilt:16, Yıl:16, Sayı: 3, 16: 149-166
- Ergül, Nuray (2009), “Ulusal Hisse Senedi Piyasasında Etkinlik”, Yönetim Bilimleri Dergisi (7: 1), 101-117
- Fama, Eugene F. (1965), “Random Walks in Stock Market Prices”, Financial Analysts Journal, Vol. 21, No. 5, 55-59.
- Fama, Eugene F. (1970), “Efficient capital markets: A review of theory and empirical work”, The journal of Finance, 25(2), 383-417.
- Furuoka, Fumitaka (2016), “A new approach to testing unemployment hysteresis”, Empirical economics, 1-28.
- Gözbaşı, Onur; Küçükkaplan, İlhan; Nazlıoğlu, Şaban (2014), “Re-examining the Turkish stock market effici-ency: Evidence from nonlinear unit root tests”, Economic Modelling, 38, 381-384.
- Kapusuzoglu, Ayhan (2013), “Testing Weak Form Market Efficiency on the Istanbul Stock Exchange (ISE)”, International Journal of Business Management and Economic Research, 4(2), 700-705.
- Karan, Mehmet Baha (2011), Yatırım Analizi ve Portföy Yönetimi, Ankara: Gazi Kitabevi.
- Kıyılar, Murat (1997), Etkin Pazar Kuramı ve Etkin Pazar Kuramının İMKB‘de İrdelenmesi- Test Edilmesi, Anka-ra: SPK Yayın No:86, Ağustos 1997.
- Malkiel, Burton G. (2003), “The efficient market hypothesis and its critics”, The Journal of Economic Perspec-tives, 17(1), 59-82.
- Mishra, Ankita; Mishra, Vinod; Smyth, Russell (2015), “The random-walk hypothesis on the Indian stock mar-ket”, Emerging Markets Finance and Trade, 51(5), 879-892.
- Munir, Qaiser; Ching, Kok Sook; Furouka, Fumitaka; Mansur, Kasım (2012), “The efficient market hypothesis revisited: Evidence from the five small open Asean stock markets”, The Singapore Economic Re-view, 57(03), 1250021.
- Narayan, Paresh Kumar (2005), “Are the Australian and New Zealand stock prices nonlinear with a unit root?”, Applied Economics, 37(18), 2161-2166.
- Narayan, Paresh Kumar; Smyth, Russell (2004), “Is South Korea's stock market efficient?”, Applied Economics Letters, 11(11), 707-710.
- Özdemir, Zeynel Abidin (2008), “Efficient market hypothesis: evidence from a small open-economy”, Applied Economics, 40(5), 633-641.
- Tuna, Gülfen; Öztürk, Mahmut (2016), “Piyasa Etkinliğinin Yapısal Kırılmalı Birim Kök Testleri İle İncelenmesi: Türkiye Pay Senedi Piyasası Uygulaması”, Uluslararası Yönetim İktisat ve İşletme Dergisi, 30, 548-559.
- Yang, Ginny Ju-Ann; Lee, Chingnun; Lee, Chen-Hsun (2015), “Random Walk in the MIST”, Journal of Asia-Pacific Business, 16(2), 92-104.
- Zeren, Feyyaz; Konuk, Filiz (2013), “Testing the random walk hypothesis for emerging markets: evidence from linear and non-linear unit root tests”, Romanian Economic and Business Review, Vol. 8, No. 4, 61-71.
There are 23 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Journal Section | Articles |
| Authors | |
| Publication Date | April 15, 2018 |
| Submission Date | October 17, 2017 |
| Published in Issue | Year 2018 Volume: 13 Issue: 1 |
