Borsa İstanbul Alt Endekslerinde Etkin Piyasa Hipotezinin Test Edilmesi: Fourier Kırılmalı ve Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar

Altuntaş, Mehmet; Kılıç, Emre; PAZARCI, Şevket; Umut, Alican

doi:10.30784/epfad.1041187

Cited by 7 publications

(2 citation statements)

References 35 publications

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“…There are numerous studies in the literature that investigate the market efficiency of Borsa Istanbul. Some studies (Smith and Ryoo 2003 ; Ozdemir 2008 ; Karan and Kapusuzoglu 2010 ; Gozbasi et al 2014 ; Cagli 2018 ; Özdemir 2022 ) have shown that the Turkish stock market is weak-form efficient, whereas others (Özer and Ertokatli 2010 ; Aliyev 2019 ; Hailu and Vural 2020 ; Altuntaş et al 2022 ) suggest that the EMH is valid for Borsa Istanbul. Furthermore, Bozkuş and Kahyaoğlu ( 2020 ) demonstrated the validity of the heterogeneous market hypothesis, whereas Balcı et al ( 2022 ) demonstrated the validity of the fractal market hypothesis in Borsa Istanbul.…”

Section: Introductionmentioning

confidence: 99%

The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis

Erer¹,

Erer

Güngör

2023

Financ Innov

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This study aims to examine the time-varying efficiency of the Turkish stock market’s major stock index and eight sectoral indices, including the industrial, financial, service, information technology, basic metals, tourism, real estate investment, and chemical petrol plastic, during the COVID-19 outbreak and the global financial crisis (GFC) within the framework of the adaptive market hypothesis. This study employs multifractal detrended fluctuation analysis to illustrate these sectors’ multifractality and short- and long-term dependence. The results show that all sectoral returns have greater persistence during the COVID-19 outbreak than during the GFC. Second, the real estate and information technology industries had the lowest levels of efficiency during the GFC and the COVID-19 outbreak. Lastly, the fat-tailed distribution has a greater effect on multifractality in these industries. Our results validate the conclusions of the adaptive market hypothesis, according to which arbitrage opportunities vary over time, and contribute to policy formulation for future outbreak-induced economic crises.

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Section: Introductionmentioning

confidence: 99%

The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis

Erer¹,

Erer

Güngör

2023

Financ Innov

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“…Ildirar and Dalli (2021) examined the efficiency of the banking sector by employing unit root tests and uncovered that 11 banks were weak-form efficient. Altuntas et al (2022) found that while BIST services index is weak-form efficient, the BIST Finance index is not.…”

Section: Introductionmentioning

confidence: 98%

Multi-Scale Sample Entropy Analysis of the Turkish Stock Market Efficiency

Alkan

2023

Nicel Bilimler Dergisi

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This study evaluates the market efficiency of the market index and four main sector indices in the Turkish stock market: BIST 100 (XU100), BIST Industrials (XUSIN), BIST Services (XUHIZ), BIST Transportation (XULAS), BIST Financials (XUMAL), BIST Technology (XUTEK) for the pre-and post-COVID-19 pandemic, covering the period from 01/2017 to 07/2022. Market efficiency is calculated by a multiscale entropy-based method for the scales of 1 to 20 business days. Entropy can yield a relative degree of efficiency, by contrast with previous methods that dealt with the efficiency question in all-or-nothing form. As estimated on a daily scale, while in the pre-COVID-19 pandemic period, the XUHIZ and XU100 indices have the highest efficiency, in the post-COVID-19 pandemic period, the XUMAL and XU100 indices have the highest efficiency. A general tendency of reduced informational efficiency levels is found as the time scale increases in both periods. Thus, the indices are not fully efficient for certain time scales; therefore, they are partially efficient.

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Borsa İstanbul elektrik endeksi pay senetlerinde etkin piyasalar hipotezi: Gelişmiş fonksiyonlu birim kök testlerinden ampirik kanıtlar

Varol,

Pazarcı,

Kar

2024

Erciyes Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi

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Yenilenebilir enerji sektöründeki gelişmeler, sermaye piyasalarında yüksek getiri arayışındaki yatırımcılar açısından elektrik firmalarının konumunu bugünden değiştirmektedir. Bu çalışmanın amacı, Borsa İstanbul (BIST) elektrik endeksindeki (XELKT) pay senetleri için etkin piyasalar hipotezinin (EPH) geçerliliğini normal olmayan dağılım, yapısal kırılma ve doğrusal olmayan süreç altında karşılaştırmalı olarak test etmektir. Bu amaç için birim kök testi literatüründe yer alan ADF, RALS-ADF, Fourier-ADF ve Fourier-KSS testleri kullanılmıştır. Ampirik bulgular serinin dağılım, doğrusallık ve yapısal kırılma özelliklerini dikkate alan birim kök testlerinde farklılık göstermesine rağmen genel olarak XELT endeksinde yer alan pay senetleri için zayıf formda piyasa etkinliğinin geçerliliğini ortaya koymaktadır. Buna göre, kısıtlı sayıdaki enerji firmasının pay senedi fiyatları ortalamaya dönüş özelliği sergilerken dikkate değer bir kısmının fiyatları ise rassal yürüyüş özelliği göstermektedir. Pay senedi fiyatlarının zayıf formda etkinliğine yönelik kanıtlar, gelecekteki fiyat davranışlarının tahmin edilebilir olmadığını desteklemektedir.

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Borsa İstanbul Alt Endekslerinde Etkin Piyasa Hipotezinin Test Edilmesi: Fourier Kırılmalı ve Doğrusal Olmayan Birim Kök Testlerinden Kanıtlar

Cited by 7 publications

References 35 publications

The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis

The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis

Multi-Scale Sample Entropy Analysis of the Turkish Stock Market Efficiency

Borsa İstanbul elektrik endeksi pay senetlerinde etkin piyasalar hipotezi: Gelişmiş fonksiyonlu birim kök testlerinden ampirik kanıtlar

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