Gelecek 11 Ülkeleri̇nde Dövi̇z Kuru Zayif Form Pi̇yasa Etki̇nli̇ği̇ni̇ Taki̇p Etmektedi̇r Mi̇? Kapsamli Bi̇ri̇m Kök Testleri̇ İle Kanitlar

Abstract

The purpose of this study is to investigate the validity of weak-form market efficiency by using linear and nonlinear unit root tests of the US Dollar exchange rate of the Next 11 countries over the period of January 1998-December 2019. For this purpose, we firstly performed the Harvey et al. (2008) linearity test to determine the characteristics of the series. Afterward, Kwiatkowski et al. (1992), Zivot-Andrews (1992) and Lee-Strazicich (2013) tests were applied to linear series while Kapetanios et al. (2003) and Kruse (2011) tests were performed to nonlinear series. Generally, the findings indicate that the validity of the weak-form market efficiency is accepted for the Next 11 countries' exchange rates. Accordingly, it can be asserted that in the majority of the Next 11 countries, the future prices of the exchange rates cannot be estimated by evaluating its historical prices. The obtained results suggest that temporary shocks in the exchange rate leave permanent effects in the majority of Next 11 countries.