Döviz Piyasasının Etkinliği: Türkiye için Bir Analiz

Abstract

In the literature, the effectiveness of the foreign exchange market is an important concept for traders and policy makers, if price reflects all information in the market, this market is said to be efficient. In other words, Fama et al. (1969) term of the efficient market were defined as a market which " adapt quickly to new information". At the weak form efficiency, in the market, all prices, past prices or returns can be reflected in all the information, on the other hand, at the semi-strong form efficiency, the exchange rates are not only reflect past information concerning exchange rates, but also they are reflect other currency exchange rates and information concerning macroeconomic variables. The main purpose of this study is whether TL / $ and TL / Euro exchange rate markets are efficient at the weak and semi-strong form or not is to analyze by using unit root and cointegration methods with structural breaks during the period 2006:04-2013:12 in Turkey. Analysis results show that the Turkish foreign exchange market is efficient at the weak form and not efficient at the semi-strong form and forward rate unbiasedness hypothesis is not valid for Turkey.

Testing the Validity of Exchange Rate Determination Approaches for Turkey

“…Evidences obtained from Model A and Model C results for both of the series indicate that series follow a random walk process and verify the opinion that future values of Turkish Lira/Euro and Turkish Lira/US Dollar exchange rates cannot be predicted by using the past values of these series. These findings are in line with the findings of Berke et. al.…”

“…t statistics value of last lagged term taken the first difference is compared with asymptotic normal value 1.645 at level of %10. After optimal lags in every alternative combination in which structural breaks occur are determined breaks are determined at the point where endogenous LM t statistics with two structural breaks takes minimum value (Berke et. al., 2014).…”

“…Thus, they conclude that EMH doesn't hold for exchange rate market of Pakistan and economic agents in the market can benefit from speculation because of market inefficiency. Berke et. al.…”

Türkiye Konut Piyasasında Zayıf Formda Etkinlik Analizi: Makroekonomik Bakış

“…Atan and Ozdemir (2009) analyzed the efficiency of the ISE market for the period of January 3, 2003-December 30, 2005 with 15-minute and session frequency data and concluded that the ISE is an active market in a weak form. Berke, Ozcan and Dizdarlar (2014) analyzed the monthly spot and forward exchange rates of TL against Euro and US dollars for the period 2006:04-2013:12, for the analysis of the efficiency of foreign exchange markets. According to the unit root test results, the Turkish foreign exchange market displays a weak, efficient, and random walk.…”

Zayıf Form Piyasa Etkinliği Kapsamında Türkiye Döviz Piyasası Üzerine Ampirik Bir Çalışma

“…Motlaleng ve Juana (2017) ve Iyke (2019) tarafından gerçekleştirilen çalışmalar uluslararası yazın içerisinde yer alırken,Ertekin (2003),Berke, Özcan ve Dizdarlar (2014),Çiçek (2014) veÖzdemir, Vergili ve Çelik (2018) tarafından gerçekleştirilen çalışmalar ulusal yazın içerisinde yer almaktadır. Bu çalışmalar ile ilgili ayrıntılı bilgiler Tablo 1'de yer almaktadır.…”