Research Article
BibTex RIS Cite

TESTING THE EFFICIENCY OF BORSA ISTANBUL SECTOR INDICES BY FOURIER UNIT ROOT TESTS

Year 2020, Issue: 29, 23 - 44, 10.10.2020
https://doi.org/10.18092/ulikidince.648896

Abstract

In financial literature, the validity of the Effective Market Hypothesis has been investigated many times. In this study, it is analyzed by using monthly data whether 22 indices calculated in Borsa Istanbul are efficient in weak form. In this study, firstly, the linearity of the series was investigated by Harvey et al. (2008) linearity test. Then, unit root analyzes of the series were carried out with linear and nonlinear Fourier unit root tests (FADF and FKSS) which take structural breaks into account. As a result of the study, it was determined that 13 indices were effective in weak form and 9 indices were not effective in weak form. In the weak-form efficient markets, investors may follow a buy-and-hold over long-term investment horizon and instead of frequently trade strategy. In the 9 indices, investors may prefer to trade for short-term rather than buy-and-hold strategy.  

References

  • Abakah, E. J. A., Alagidede, P., Mensah, L.,ve Ohene-Asare, K. (2018). Non-linear Approach to Random Walk Test in Selected African Countries. International Journal of Managerial Finance, 14(3), 362-376.
  • Abraham, A., Seyyed, F. J., ve Alsakran, S. A. (2002). Testing the Random Walk Behavior and Efficiency of the Gulf Stock Markets. Financial Review, 37(3), 469-480.
  • Adjasi, C.K.D., ve Biekpe, N.B. (2006). Stock Market Development and Economic Growth: The Case of Selected African Countries. African Development Review, 18(1), 144-161.
  • Akarim, Y. D., ve Sevim, S. (2013). The Impact of Mean Reversion Model on Portfolio Investment Strategies: Empirical Evidence from Emerging Markets. Economic Modelling, 31, 453-459.
  • Asaad, Z. A. (2014). Testing the Bank Sector at Weak Form Efficiency in Iraq Stock Exchange for Period (2004-2014): An Empirical Study. Economic Sciences, 10(37), 57-80.
  • Asiri, B., ve Alzeera, H. (2013). Is the Saudi Stock Market Efficient? A Case of Weak-Form Efficiency. Research Journal of Finance and Accounting, 4(6), 35-48.
  • Asiri, B. (2008). Testing Weak‐Form Efficiency in the Bahrain Stock Market. International Journal of Emerging Markets, 3(1), 38-53.
  • Bashir, T., Ilyas, M., ve Furrukh, A. (2011a), Testing the Weak-Form Efficiency of Pakistani Stock Markets – An Empirical Study in Banking Sector. European Journal of Economics, Finance and Administrative Sciences, 31, 160-175.
  • Bashir, T.,, Ahmad, M., Ilyas, M., ve Malik, M. U. (2011b). Weak-Form Efficiency of Textile Sector: An Empirical Evidence from Pakistan. Interdisciplinary Journal of Contemporary Research in Business, 2(12), 600-617.
  • Becker, R., Endes, W., ve Lee, J. (2006). A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 3(5), 381-409.
  • Borges, M. R. (2008). Efficient Market Hypothesis in European Stock Markets. The European Journal of Finance, 16(7), 711-726.
  • Brock, W. A., Dechert ,W. D., Scheinkman, J. A., Lebaron, B. (1996). A Test For Independence Based On The Correlation Dimension. Econometric Reviews, 15, 197-235.
  • Caprio, G. Jr., ve Demirgüç-Kunt, A. (1998). The Role of Long-Term Finance: Theory and Evidence. The World Bank Research Observer, 13(2), 171-189.
  • Chang, T., Chu, H., ve Ranjbar, O. (2014). Are GDP Fluctuations Transitory or Permanent in African Countries? Sequential Panel Selection Method. International Review of Economics & Finance, 29, 380-399.
  • Chaudhuri, K., ve Wu, Y. (2003). Random Walk Versus Breaking Trend in Stock Prices: Evidence from Emerging Markets. Journal of Banking & Finance, 27(4), 575–592.
  • Cheong, C. W. (2008). A Sectoral Efficiency Analysis of Malaysian Stock Exchange Under Structural Break. American Journal of Applied Sciences, 5(10), 1291-1295.
  • Choudhry, T. (1997). Stochastic Trends in Stock Prices: Evidence from Latin American Markets. Journal of Macroeconomics, 19(2), 285–304.
  • Christopoulos, D. K., ve León-Ledesma, M. A. (2010). Smooth Breaks and Non-Linear Mean Reversion: Post-Bretton Woods Real Exchange Rates. Journal of International Money and Finance, 29(6), 1076-1093.
  • Çevik E.İ. (2012). İstanbul Menkul Kıymetler Borsası’nda Etkin Piyasa Hipotezinin Uzun Hafıza Modelleri İle Analizi. Journal of Yaşar University, 26(7), 4437-4454.
  • De Bondt, W. F., ve Thaler, R. (1985). Does the Stock Market Overreact?. The Journal of Finance, 40(3), 793-805.
  • Demireli, E., Akkaya, G. C. ve İbaş, E. (2010). Finansal Piyasa Etkinliği: S&P 500 Üzerine Bir Uygulama. CÜ İktisadi ve İdari Bilimler Dergisi, 11(2), 53-67.
  • Destek, M. A., ve Okumuş, İ. (2016). Satın Alma Gücü Paritesi Hipotezi Geçerliliğinin Fourier Birim Kök Testleri ile İncelenmesi: OECD Ülkeleri Örneği. Gaziantep University Journal of Social Sciences, 15(1), 73-87.
  • Dias, J. C., Lopes, L., Martins, V., ve Benzinho, J. M. (2002). Efficiency Tests in the Iberian Stock Markets. http://ideas. repec.org/p/wpa/wuwpfi/0406001.html
  • Dickey, D. A., ve Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366), 427- 431.
  • Fama, E.F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25, 383–417.
  • Gemici, E., ve Polat, M. (2018). MIST Borsalarında Rassal Yürüyüş Hipotezi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 13(1), 129-142.
  • Gözbaşı, O., Küçükkaplan, I., ve Nazlıoğlu, S. (2014). Re-examining the Turkish Stock Market Efficiency: Evidence from Nonlinear Unit Root Tests. Economic Modelling, 38, 381-384.
  • Gropp, J. (2004). Mean Reversion of Industry Stock Returns in the U.S., 1926-1998. Journal of Empirical Finance, 11, 537-551.
  • Gujarati, D. (2011). Temel Ekonometri. Çeviren: Ümit Şenesen, Gülay Günlük Şenesen, Literatür Yayıncılık.
  • Gümüş, B. F., ve Zeren, F. (2014). Analyzing the Efficient Market Hypothesis with the Fourier Unit Root Tests: Evidence from G-20 Countries. Ekonomski Horizonti, 16(3), 225-237.
  • Hamid, K., Suleman, M. T., Shah, S. Z. A., ve Akash, R. S. I. (2010). Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Asia-Pacific Markets. International Research Journal of Finance and Economics, 58, 121-158.
  • Haque, A., Liu, H. C., ve Nisa, F. U. (2011). Testing the Weak Form Efficiency of Pakistani Stock Market (2000-2010). International Journal of Economics and Financial Issues, 1(4), 153-162.
  • Harvey, D., Leybourne, S. J., ve Xiao, B. (2008). A Powerful Test for Linearity When the Order of Integration is Unknown. Studies Nonlinear Dynamics and Econometrics, 12(3), 1-22.
  • Hasanov, M., ve Omay, T. (2007). Are the Transition Stock Markets Efficient? Evidence from Non-Linear Unit Root Tests. Central Bank Review, 2, 1-12.
  • Jamaani, F., ve Roca, E. (2015). Are the Regional Gulf Stock Markets Weak-Form Efficient as Single Stock Markets and as a Regional Stock Market?. Research in International Business and Finance, 33, 221-246.
  • Kapusuzoglu, A. (2013). Testing Weak Form Market Efficiency on the Istanbul Stock Exchange (ISE). International Journal of Bussiness Management and Economic Research, 4(2), 700-705.
  • Karan, M. B., ve Kapusuzoglu, A. (2010). An Analysis of the Random Walk and Overreaction Hypotheses through Optimum Portfolios Constructed by the Nonlinear Programming Model. Australian Journal of Basic and Applied Sciences, 4(6), 1215-1220.
  • Kawakatsu, H., ve Morey, M. (1999). An Empirical Examination of Financial Liberalization and the Efficiency of Emerging Market Stock Prices. Journal of Financial Research, 22(4), 355-411.
  • Lean, H. H., ve Smyth, R. (2007). Do Asian Stock Markets Follow A Random Walk? Evidence from LM Unit Root Tests with One and Two Structural Breaks. Review of Pacific Basin Financial Markets and Policies, 10(1), 15-31.
  • Lee, C. C., Lee, J., ve Lee, C. (2010). Stock Prices and the Efficient Market Hypothesis: Evidence from a Panel Stationary test with Structural Breaks. Japan and the World Economy, 22(1), 49-58.
  • Lee, J., ve Strazicich, M. C. (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. Review of Economics and Statistics, 85(4), 1082-1089.
  • Lee, T., White, H., ve Granger, C. W. J (1993). Testing for Neglected Nonlinearity in Time Series Models. Journal of Econometrics, 56, 269-290.
  • Levine, R., ve Zervos, S. (1998). Stock Markets, Banks, and Economic Growth. The American Economic Review, 88(3), 537-558.
  • Leybourne, S., Newbold, P., ve Vougas, D. (1998). Unit Roots and Smooth Transitions. Journal of Time Series Analysis, 19, 83–97.
  • Lim, K. (2008). Sectoral Efficiency of the Malaysian Stock Market and the Impact of the Asian Financial Crisis. Studies in Economics and Finance, 25(3), 196-208,
  • Malcıoglu, G., ve Aydın, M. (2016). Borsa İstanbul’da Piyasa Etkinliğinin Analizi: Harvey Dogrusallık Testi. Journal of Accounting, Finance and Auditing Studies, 2(1), 112.
  • McLeod, A. I., ve Li W. K (1983). Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations. Journal of Time Series Analysis, 4(4), 269-273.
  • Narayan, K. P. (2008). Do Shocks to G7 Stock Prices Have a Permanent Effect? Evidence from Panel Unit Root Tests with Structural Change. Mathematics and Computers in Simulation, 77(4), 369-373.
  • Narayan, K. P., ve Prasad, A. (2007). Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries. Economics Bulletin, 3(34), 1-6.
  • Narayan, K. P., ve Smyth, R. (2007). Mean Reversion Versus Random Walk in G7 Stock Prices Evidence from Multiple Trend Break Unit Root Tests. International Financial Markets, Instutions and Money, 17(2), 152-166.
  • Oskooe, S. A. P. (2011). The Random Walk Hypothesis in Emerging Stock Market-Evidence from Nonlinear Fourier Unit Root Test. In Proceedings of the world Congress on Engineering, 1, 1-5.
  • Özdemir, Z. A. (2008). Efficient Market Hypothesis: Evidence From A Small Open- Economy. Applied Economics, 40, 633–641.
  • Perron, P. (1989). The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis. Econometrica: Journal of the Econometric Society, 1361-1401.
  • Phengpis, C. (2006). Are Emerging Stock Market Price Indices Really Stationary?. Applied Financial Economics, 16, 931-939.
  • Poterba, J.M., ve Summers, L.H. (1988). Mean Reversion in Stock Prices: Evidence and Implications. Journal of Financial Economics, 22, 27-59.
  • Ramkumar, R. R., Selvam, M., Vanitha, S., Gayathri, J., ve Karpagam, V. (2012). An Analysis of Market Efficiency in Sectoral Indices: A Study with a Special Reference to Bombay Stock Exchange in India. European Journal of Scientific Research, 69(2), 290-297.
  • Selvam, M., Ramkumar, R. R. ve Lingaraja, K. (2016). Testing the Weak Form Efficiency with Respect to Sectoral Indices of National Stock Exchange Limited. Indian Journal of Research in Capital Markets, 7-20.
  • Squalli, J. (2006). A Non-Parametric Assessment of Weak-Form Efficiency in the UAE Financial Markets. Applied Financial Economics, 16(18), 1365-1373.
  • Tanrıöver B., ve Çöllü D.A. (2015). Türkiye’de Yatırımcıların Öngörü Performanslarının Rassal Yürüyüş Modeli Çerçevesinde Analizi. Business and Economics Research Journal, 6(2), 127-139.
  • Tsay, R. (1986). Nonlinearity Tests for Time Series. Biometrika, 73(2), 461- 466.
  • Tuna, G., ve Öztürk, M. (2016). Piyasa Etkinliğinin Yapısal Kırılmalı Birim Kök Testleri İle İncelenmesi: Türkiye Pay Senedi Piyasası Uygulaması. Uluslararası Yönetim İktisat ve İşletme Dergisi, 30, 548-559.
  • Türkyılmaz, S., ve Balıbey, M. (2014). Türkiye Hisse Senedi Piyasası Getiri ve Oynaklığındaki Uzun Dönem Bağımlılık İçin Ampirik Bir Analiz. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(2), 281- 302.
  • Wang, J., Zhang, D., ve Zhang, J. (2015). Mean Reversion in Stock Prices of Seven Asian Stock Markets: Unit Root Test and Stationary Test with Fourier Functions. International Review of Economics & Finance, 37, 157-164.
  • Worthington, A. C., ve Higgs, H. (2004). Random Walks and Market Efficiency in European Equity Markets. Global Journal of Finance and Economics, 1(1), 59-78.
  • Yılancı, V., ve Eriş Z. A. (2013). Purchasing Power Parity in African Countries: Further Evidence From Forier Unit Root Tests Based on Linear And Nonlinear Models. South African Journal of Economics, 81(1), 20-34.
  • Yılancı, V., ve Tıraşoğlu, M. (2016). Türkiye’nin Makroekonomik Zaman Serilerinin Doğrusallığının Testi. Çankırı Karatekin Üniversitesi İİBF Dergisi, 6(2), 1-16.
  • Yılancı, V., Saridogan, E., Artar, O. (2014). A Stochastic Convergence Analysis for Selected East Asian and Pacific Countries: A Fourier Unit Root Test Approach. Theoretical and Applied Economics, 18, 51-60.
  • Yücel, Ö. (2016). Finansal Piyasa Etkinliği: Borsa İstanbul Üzerine Bir Uygulama. International Review of Economics and Management, 4(3), 107-123.
  • Zeren, F., Kara, H., ve Arı, A. (2013). Piyasa Etkinliği Hipotezi: İMKB İçin Ampirik Bir Analiz. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 36, 141-148.
  • Zhou, S., ve Kutan, A. M. (2014). Smooth Structural Breaks and the Stationarity of the Yen Real Exchange Rates. Applied Economics, 46(10), 1150-1159.
  • Zivot, E., ve Andrews, D. W. K. (2002). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business & Economic Statistics. 20(1), 25-44.

BORSA İSTANBUL SEKTÖR ENDEKSLERİNİN ETKİNLİĞİNİN FOURİER BİRİM KÖK TESTLERİ İLE ANALİZİ

Year 2020, Issue: 29, 23 - 44, 10.10.2020
https://doi.org/10.18092/ulikidince.648896

Abstract

Finansal Finans literatüründe Etkin Piyasa Hipotezinin geçerliliği pek çok kez araştırılmıştır. Bu çalışmada ise Borsa İstanbul’da hesaplanan 22 endeksin zayıf formda etkin olup olmadığı aylık veriler kullanılarak analiz edilmiştir. Çalışmada öncelikle serilerin doğrusal olup olmadığı Harvey vd. (2008) doğrusallık testi ile incelenmiştir. Ardından serilerin birim kök analizleri yapısal kırılmaları dikkate alan doğrusal ve doğrusal olmayan Fourier birim kök testleri (FADF ve FKSS) ile gerçekleştirilmiştir. Çalışma sonucunda 13 endeksin zayıf formda etkin olduğu, 9 endeksin ise zayıf formda etkin olmadığı belirlenmiştir. Zayıf formda etkin olan piyasalarda yatırımcıların sık sık al-sat yapmak yerine uzun vadeli yatırım ufku ile al ve bekle stratejisini izlemeleri, 9 endekste ise yatırımcıların kısa vadeli al-sat yapmayı, al ve bekle stratejisi yerine tercih etmeleri daha uygun olacaktır.

References

  • Abakah, E. J. A., Alagidede, P., Mensah, L.,ve Ohene-Asare, K. (2018). Non-linear Approach to Random Walk Test in Selected African Countries. International Journal of Managerial Finance, 14(3), 362-376.
  • Abraham, A., Seyyed, F. J., ve Alsakran, S. A. (2002). Testing the Random Walk Behavior and Efficiency of the Gulf Stock Markets. Financial Review, 37(3), 469-480.
  • Adjasi, C.K.D., ve Biekpe, N.B. (2006). Stock Market Development and Economic Growth: The Case of Selected African Countries. African Development Review, 18(1), 144-161.
  • Akarim, Y. D., ve Sevim, S. (2013). The Impact of Mean Reversion Model on Portfolio Investment Strategies: Empirical Evidence from Emerging Markets. Economic Modelling, 31, 453-459.
  • Asaad, Z. A. (2014). Testing the Bank Sector at Weak Form Efficiency in Iraq Stock Exchange for Period (2004-2014): An Empirical Study. Economic Sciences, 10(37), 57-80.
  • Asiri, B., ve Alzeera, H. (2013). Is the Saudi Stock Market Efficient? A Case of Weak-Form Efficiency. Research Journal of Finance and Accounting, 4(6), 35-48.
  • Asiri, B. (2008). Testing Weak‐Form Efficiency in the Bahrain Stock Market. International Journal of Emerging Markets, 3(1), 38-53.
  • Bashir, T., Ilyas, M., ve Furrukh, A. (2011a), Testing the Weak-Form Efficiency of Pakistani Stock Markets – An Empirical Study in Banking Sector. European Journal of Economics, Finance and Administrative Sciences, 31, 160-175.
  • Bashir, T.,, Ahmad, M., Ilyas, M., ve Malik, M. U. (2011b). Weak-Form Efficiency of Textile Sector: An Empirical Evidence from Pakistan. Interdisciplinary Journal of Contemporary Research in Business, 2(12), 600-617.
  • Becker, R., Endes, W., ve Lee, J. (2006). A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 3(5), 381-409.
  • Borges, M. R. (2008). Efficient Market Hypothesis in European Stock Markets. The European Journal of Finance, 16(7), 711-726.
  • Brock, W. A., Dechert ,W. D., Scheinkman, J. A., Lebaron, B. (1996). A Test For Independence Based On The Correlation Dimension. Econometric Reviews, 15, 197-235.
  • Caprio, G. Jr., ve Demirgüç-Kunt, A. (1998). The Role of Long-Term Finance: Theory and Evidence. The World Bank Research Observer, 13(2), 171-189.
  • Chang, T., Chu, H., ve Ranjbar, O. (2014). Are GDP Fluctuations Transitory or Permanent in African Countries? Sequential Panel Selection Method. International Review of Economics & Finance, 29, 380-399.
  • Chaudhuri, K., ve Wu, Y. (2003). Random Walk Versus Breaking Trend in Stock Prices: Evidence from Emerging Markets. Journal of Banking & Finance, 27(4), 575–592.
  • Cheong, C. W. (2008). A Sectoral Efficiency Analysis of Malaysian Stock Exchange Under Structural Break. American Journal of Applied Sciences, 5(10), 1291-1295.
  • Choudhry, T. (1997). Stochastic Trends in Stock Prices: Evidence from Latin American Markets. Journal of Macroeconomics, 19(2), 285–304.
  • Christopoulos, D. K., ve León-Ledesma, M. A. (2010). Smooth Breaks and Non-Linear Mean Reversion: Post-Bretton Woods Real Exchange Rates. Journal of International Money and Finance, 29(6), 1076-1093.
  • Çevik E.İ. (2012). İstanbul Menkul Kıymetler Borsası’nda Etkin Piyasa Hipotezinin Uzun Hafıza Modelleri İle Analizi. Journal of Yaşar University, 26(7), 4437-4454.
  • De Bondt, W. F., ve Thaler, R. (1985). Does the Stock Market Overreact?. The Journal of Finance, 40(3), 793-805.
  • Demireli, E., Akkaya, G. C. ve İbaş, E. (2010). Finansal Piyasa Etkinliği: S&P 500 Üzerine Bir Uygulama. CÜ İktisadi ve İdari Bilimler Dergisi, 11(2), 53-67.
  • Destek, M. A., ve Okumuş, İ. (2016). Satın Alma Gücü Paritesi Hipotezi Geçerliliğinin Fourier Birim Kök Testleri ile İncelenmesi: OECD Ülkeleri Örneği. Gaziantep University Journal of Social Sciences, 15(1), 73-87.
  • Dias, J. C., Lopes, L., Martins, V., ve Benzinho, J. M. (2002). Efficiency Tests in the Iberian Stock Markets. http://ideas. repec.org/p/wpa/wuwpfi/0406001.html
  • Dickey, D. A., ve Fuller, W. A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366), 427- 431.
  • Fama, E.F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25, 383–417.
  • Gemici, E., ve Polat, M. (2018). MIST Borsalarında Rassal Yürüyüş Hipotezi. Eskişehir Osmangazi Üniversitesi İktisadi ve İdari Bilimler Dergisi, 13(1), 129-142.
  • Gözbaşı, O., Küçükkaplan, I., ve Nazlıoğlu, S. (2014). Re-examining the Turkish Stock Market Efficiency: Evidence from Nonlinear Unit Root Tests. Economic Modelling, 38, 381-384.
  • Gropp, J. (2004). Mean Reversion of Industry Stock Returns in the U.S., 1926-1998. Journal of Empirical Finance, 11, 537-551.
  • Gujarati, D. (2011). Temel Ekonometri. Çeviren: Ümit Şenesen, Gülay Günlük Şenesen, Literatür Yayıncılık.
  • Gümüş, B. F., ve Zeren, F. (2014). Analyzing the Efficient Market Hypothesis with the Fourier Unit Root Tests: Evidence from G-20 Countries. Ekonomski Horizonti, 16(3), 225-237.
  • Hamid, K., Suleman, M. T., Shah, S. Z. A., ve Akash, R. S. I. (2010). Testing the Weak Form of Efficient Market Hypothesis: Empirical Evidence from Asia-Pacific Markets. International Research Journal of Finance and Economics, 58, 121-158.
  • Haque, A., Liu, H. C., ve Nisa, F. U. (2011). Testing the Weak Form Efficiency of Pakistani Stock Market (2000-2010). International Journal of Economics and Financial Issues, 1(4), 153-162.
  • Harvey, D., Leybourne, S. J., ve Xiao, B. (2008). A Powerful Test for Linearity When the Order of Integration is Unknown. Studies Nonlinear Dynamics and Econometrics, 12(3), 1-22.
  • Hasanov, M., ve Omay, T. (2007). Are the Transition Stock Markets Efficient? Evidence from Non-Linear Unit Root Tests. Central Bank Review, 2, 1-12.
  • Jamaani, F., ve Roca, E. (2015). Are the Regional Gulf Stock Markets Weak-Form Efficient as Single Stock Markets and as a Regional Stock Market?. Research in International Business and Finance, 33, 221-246.
  • Kapusuzoglu, A. (2013). Testing Weak Form Market Efficiency on the Istanbul Stock Exchange (ISE). International Journal of Bussiness Management and Economic Research, 4(2), 700-705.
  • Karan, M. B., ve Kapusuzoglu, A. (2010). An Analysis of the Random Walk and Overreaction Hypotheses through Optimum Portfolios Constructed by the Nonlinear Programming Model. Australian Journal of Basic and Applied Sciences, 4(6), 1215-1220.
  • Kawakatsu, H., ve Morey, M. (1999). An Empirical Examination of Financial Liberalization and the Efficiency of Emerging Market Stock Prices. Journal of Financial Research, 22(4), 355-411.
  • Lean, H. H., ve Smyth, R. (2007). Do Asian Stock Markets Follow A Random Walk? Evidence from LM Unit Root Tests with One and Two Structural Breaks. Review of Pacific Basin Financial Markets and Policies, 10(1), 15-31.
  • Lee, C. C., Lee, J., ve Lee, C. (2010). Stock Prices and the Efficient Market Hypothesis: Evidence from a Panel Stationary test with Structural Breaks. Japan and the World Economy, 22(1), 49-58.
  • Lee, J., ve Strazicich, M. C. (2003). Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks. Review of Economics and Statistics, 85(4), 1082-1089.
  • Lee, T., White, H., ve Granger, C. W. J (1993). Testing for Neglected Nonlinearity in Time Series Models. Journal of Econometrics, 56, 269-290.
  • Levine, R., ve Zervos, S. (1998). Stock Markets, Banks, and Economic Growth. The American Economic Review, 88(3), 537-558.
  • Leybourne, S., Newbold, P., ve Vougas, D. (1998). Unit Roots and Smooth Transitions. Journal of Time Series Analysis, 19, 83–97.
  • Lim, K. (2008). Sectoral Efficiency of the Malaysian Stock Market and the Impact of the Asian Financial Crisis. Studies in Economics and Finance, 25(3), 196-208,
  • Malcıoglu, G., ve Aydın, M. (2016). Borsa İstanbul’da Piyasa Etkinliğinin Analizi: Harvey Dogrusallık Testi. Journal of Accounting, Finance and Auditing Studies, 2(1), 112.
  • McLeod, A. I., ve Li W. K (1983). Diagnostic Checking ARMA Time Series Models Using Squared-Residual Autocorrelations. Journal of Time Series Analysis, 4(4), 269-273.
  • Narayan, K. P. (2008). Do Shocks to G7 Stock Prices Have a Permanent Effect? Evidence from Panel Unit Root Tests with Structural Change. Mathematics and Computers in Simulation, 77(4), 369-373.
  • Narayan, K. P., ve Prasad, A. (2007). Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries. Economics Bulletin, 3(34), 1-6.
  • Narayan, K. P., ve Smyth, R. (2007). Mean Reversion Versus Random Walk in G7 Stock Prices Evidence from Multiple Trend Break Unit Root Tests. International Financial Markets, Instutions and Money, 17(2), 152-166.
  • Oskooe, S. A. P. (2011). The Random Walk Hypothesis in Emerging Stock Market-Evidence from Nonlinear Fourier Unit Root Test. In Proceedings of the world Congress on Engineering, 1, 1-5.
  • Özdemir, Z. A. (2008). Efficient Market Hypothesis: Evidence From A Small Open- Economy. Applied Economics, 40, 633–641.
  • Perron, P. (1989). The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis. Econometrica: Journal of the Econometric Society, 1361-1401.
  • Phengpis, C. (2006). Are Emerging Stock Market Price Indices Really Stationary?. Applied Financial Economics, 16, 931-939.
  • Poterba, J.M., ve Summers, L.H. (1988). Mean Reversion in Stock Prices: Evidence and Implications. Journal of Financial Economics, 22, 27-59.
  • Ramkumar, R. R., Selvam, M., Vanitha, S., Gayathri, J., ve Karpagam, V. (2012). An Analysis of Market Efficiency in Sectoral Indices: A Study with a Special Reference to Bombay Stock Exchange in India. European Journal of Scientific Research, 69(2), 290-297.
  • Selvam, M., Ramkumar, R. R. ve Lingaraja, K. (2016). Testing the Weak Form Efficiency with Respect to Sectoral Indices of National Stock Exchange Limited. Indian Journal of Research in Capital Markets, 7-20.
  • Squalli, J. (2006). A Non-Parametric Assessment of Weak-Form Efficiency in the UAE Financial Markets. Applied Financial Economics, 16(18), 1365-1373.
  • Tanrıöver B., ve Çöllü D.A. (2015). Türkiye’de Yatırımcıların Öngörü Performanslarının Rassal Yürüyüş Modeli Çerçevesinde Analizi. Business and Economics Research Journal, 6(2), 127-139.
  • Tsay, R. (1986). Nonlinearity Tests for Time Series. Biometrika, 73(2), 461- 466.
  • Tuna, G., ve Öztürk, M. (2016). Piyasa Etkinliğinin Yapısal Kırılmalı Birim Kök Testleri İle İncelenmesi: Türkiye Pay Senedi Piyasası Uygulaması. Uluslararası Yönetim İktisat ve İşletme Dergisi, 30, 548-559.
  • Türkyılmaz, S., ve Balıbey, M. (2014). Türkiye Hisse Senedi Piyasası Getiri ve Oynaklığındaki Uzun Dönem Bağımlılık İçin Ampirik Bir Analiz. Dokuz Eylül Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(2), 281- 302.
  • Wang, J., Zhang, D., ve Zhang, J. (2015). Mean Reversion in Stock Prices of Seven Asian Stock Markets: Unit Root Test and Stationary Test with Fourier Functions. International Review of Economics & Finance, 37, 157-164.
  • Worthington, A. C., ve Higgs, H. (2004). Random Walks and Market Efficiency in European Equity Markets. Global Journal of Finance and Economics, 1(1), 59-78.
  • Yılancı, V., ve Eriş Z. A. (2013). Purchasing Power Parity in African Countries: Further Evidence From Forier Unit Root Tests Based on Linear And Nonlinear Models. South African Journal of Economics, 81(1), 20-34.
  • Yılancı, V., ve Tıraşoğlu, M. (2016). Türkiye’nin Makroekonomik Zaman Serilerinin Doğrusallığının Testi. Çankırı Karatekin Üniversitesi İİBF Dergisi, 6(2), 1-16.
  • Yılancı, V., Saridogan, E., Artar, O. (2014). A Stochastic Convergence Analysis for Selected East Asian and Pacific Countries: A Fourier Unit Root Test Approach. Theoretical and Applied Economics, 18, 51-60.
  • Yücel, Ö. (2016). Finansal Piyasa Etkinliği: Borsa İstanbul Üzerine Bir Uygulama. International Review of Economics and Management, 4(3), 107-123.
  • Zeren, F., Kara, H., ve Arı, A. (2013). Piyasa Etkinliği Hipotezi: İMKB İçin Ampirik Bir Analiz. Dumlupınar Üniversitesi Sosyal Bilimler Dergisi. 36, 141-148.
  • Zhou, S., ve Kutan, A. M. (2014). Smooth Structural Breaks and the Stationarity of the Yen Real Exchange Rates. Applied Economics, 46(10), 1150-1159.
  • Zivot, E., ve Andrews, D. W. K. (2002). Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis. Journal of Business & Economic Statistics. 20(1), 25-44.
There are 71 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Kemal Eyüboğlu 0000-0002-2108-9732

Sinem Eyüboğlu 0000-0002-3525-9173

Publication Date October 10, 2020
Published in Issue Year 2020 Issue: 29

Cite

APA Eyüboğlu, K., & Eyüboğlu, S. (2020). BORSA İSTANBUL SEKTÖR ENDEKSLERİNİN ETKİNLİĞİNİN FOURİER BİRİM KÖK TESTLERİ İLE ANALİZİ. Uluslararası İktisadi Ve İdari İncelemeler Dergisi(29), 23-44. https://doi.org/10.18092/ulikidince.648896

______________________________________________________

Address: Karadeniz Technical University Department of Economics Room Number 213  

61080 Trabzon / Turkey

e-mail : uiiidergisi@gmail.com