Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi

Abstract

Çalışmada günlük getiri verileri, iki yıllık alt örneklere ayrılmış ve hisse senedi getirilerinin öngörülebilirliğinin zaman içinde nasıl değiştiğini belirlemek için doğrusal ve doğrusal olmayan testler uygulanmıştır. Otokorelasyon ve runs testlerinden elde edilen sonuçlar, genellikle 3 endeksin etkin ve etkin olmayan dönemler arasında geçiş yaptığını ve dolayısıyla piyasaların Adaptif Piyasa Hipotezi ile uyumlu olduğunu ortaya koymuştur. Varyans oranı testi ile doğrusal olmayan testlerin sonuçları ise hisse senedi getirilerinin tahmin edilebilir olduğunu dolayısıyla piyasaların etkin olmadığını göstermiştir.

Adaptive Market Hypothesis and Return Predictability: A Hidden Markov Model Application in Borsa Istanbul

“…Hence, these may be regarded as the main reasons for the return predictability and inefficient market conditions for the aforementioned period. Similar findings were also obtained in the study of Eyüpoğlu & Eyüpoğlu (2020) in which no sign of market efficiency was observed in 1993. In continuation, following years until 2008 mostly present unpredictable behaviour of stock returns for both of the applied tests.…”

“…Several studies in the literature demonstrate the changing predictability in stock markets. In compliance with the outcomes of AMH examination in this study, it was seen that the return predictability varied over time similar to the studies of Lim (2007), Kim et al (2011), Smith (2012, Ghazani & Araghi (2014), Gyamfi (2018), Eyüpoğlu & Eyüpoğlu (2020) and Obelade & Muzindutsi (2020). Therefore, it can be mentioned that market efficiency cannot be asserted as an all-or-nothing condition for Borsa Istanbul since there have been some periods of obvious predictability and some periods of unpredictability in compliance with the changing market conditions for the period that this study covers.…”

“…Similar to our findings, the results of this study indicated changing behaviours of return predictability over time, which is also consistent with the AMH. Eyüpoğlu & Eyüpoğlu (2020) also documented the same outlook for this period in Turkey. The influence of the global crisis on market efficiency, hence, the return predictability was thereby revealed by the results of performed linear and nonlinear tests.…”

“…When compared to the related previous studies of Ertaş & Özkan (2018) and Eyüpoğlu & Eyüpoğlu (2020) in which the AMH is tested for similar periods, it can be stated that there is a consensus on the periodic return predictability in the Borsa Istanbul. Therefore, the BIST100 provided strong evidence for the AMH as the inferential outcomes of both automatic portmanteau and GS tests are obtained as largely consistent with each other.…”

“…The results yielded high efficiency for Brent and WTI, while OPEC presents compatibility with the AMH as the window length increases. Eyüpoğlu & Eyüpoğlu (2020) tested the AMH for the Borsa Istanbul BIST100 over two periods January 2, 1990 -June 17, 2019 and April 2, 1991 -June 17, 2019 by using both linear and nonlinear tests. According to the results, utilized tests yielded consistent results and confirmed the AMH by presenting periodic return predictability.…”