TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST

Mehmet Fatih BUĞAN, (Gaziantep Üniversitesi, Gaziantep, Türkiye)
Emrah İsmail ÇEVİK, (Namık Kemal Üniversitesi, Tekirdağ, Türkiye)
Nüket KIRCI ÇEVİK, (Namık Kemal Üniversitesi, Tekirdağ, Türkiye)
Durmuş Çağrı YILDIRIM (Namık Kemal Üniversitesi, Tekirdağ, Türkiye)
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Yıl: 2021 Cilt: 0 Sayı: 44 Sayfa Aralığı: 425 - 449 Metin Dili: İngilizce DOI: 10.28949/bilimname.866724 İndeks Tarihi: 11-08-2022

TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST

Öz:
Although market efficiency has been extensively examined in the literature, the studies generally focus on conventional stock markets. Since market efficiency is related to a well-functioning market, it is of great importance for the efficient allocation of resources and also providing sustainable economic growth. Market efficiency is not only important for conventional stock markets but also for the Islamic stock market as the Islamic stock markets are gaining prominence. An increase in the scope of Islamic markets worldwide creates the motivation for investigating the efficiency of Islamic stock markets. Hence there is a growing interest in Islamic stock markets. With a limited number of studies that analyze the efficient market hypothesis in Islamic stock markets, this paper aims to examine market efficiency in the global Islamic stock markets via Markov- Switching Augmented Dickey-Fuller (MS-ADF) test. The linear unit root test result shows that the global Islamic stock market indices exhibit random walk properties that are consistent with the Efficient Market Hypothesis. On the other hand, nonlinear test results suggest global Islamic stock markets exhibit two- state regime-switching characteristics. The MS-ADF test results indicate that the world and developed Islamic stock markets are stationary only in the high volatility regime and this finding supports the Adaptive Market Hypothesis. However, the emerging Islamic stock market is found to be stationary in both regimes that are contradictory for weak-form efficiency.
Anahtar Kelime: Islamic Economy Efficient Market Hypothesis Adaptive Market Hypothesis Islamic Stock Markets Markov-Switching ADF

GLOBAL İSLAMİ PAY PİYASALARINDA ADAPTİF PİYASA HİPOTEZİNİN TEST EDİLMESİ: MARKOV-SWITCHING ADF TESTİ

Öz:
Finansal piyasaların etkinliği literatürde geniş bir şekilde incelenmesine rağmen, söz konusu çalışmalar genellikle konvansiyonel borsalara odaklanmıştır. Piyasa etkinliği, iyi işleyen bir piyasayla ilgili olduğundan, kaynakların verimli bir şekilde tahsisi ve aynı zamanda sürdürülebilir ekonomik büyüme sağlaması açısından büyük önem taşımaktadır. İslami piyasalara olan ilgi giderek arttığından, piyasa etkinliği sadece konvansiyonel borsalar için değil, İslami piyasalar için de oldukça önemlidir. Dünya genelinde İslami piyasalarının kapsamının genişlemesi, söz konusu piyasaların etkinliğini araştırmaya yönelik ayrıca bir motivasyon sağlamaktadır. İslami pay piyasalarında etkin piyasa hipotezini analiz eden sınırlı sayıdaki çalışmalar ile beraber bu makale, Markov- Switching Augmented Dickey-Fuller (MS-ADF) testi ile global İslami pay piyasalarında piyasa etkinliğini incelemeyi amaçlamaktadır. Doğrusal birim kök testi sonucu, global İslami pay piyasası endekslerinin Etkin Piyasa Hipotezi ile tutarlı olan rassal yürüyüş (random walk) özelliği sergilediğini göstermektedir. Öte yandan, doğrusal olmayan test sonuçları, global İslami pay piyasalarının iki durumlu rejim değişim özelliği sergilediğini göstermektedir. MS-ADF test sonuçları, global ve gelişmiş İslami pay piyasalarının sadece yüksek volatilite rejiminde durağan olduğunu göstermektedir ve bu bulgu, Adaptif Piyasa Hipotezini desteklemektedir. Bununla birlikte, gelişmekte olan İslami pay piyasaları, zayıf formda etkin piyasa hipotezi ile çelişkili bir biçimde her iki rejimde de durağan bulunmuştur.
Anahtar Kelime: İslami Ekonomi Etkin Piyasa Hipotezi Adaptif Piyasa Hipotezi İslami Hisse Senedi Piyasaları Markov-Switching ADF

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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APA Buğan M, Cevik E, Kırcı Çevik N, Yıldırım D (2021). TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST. , 425 - 449. 10.28949/bilimname.866724
Chicago Buğan Mehmet Fatih,Cevik Emrah Ismail,Kırcı Çevik Nüket,Yıldırım Durmuş Çağrı TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST. (2021): 425 - 449. 10.28949/bilimname.866724
MLA Buğan Mehmet Fatih,Cevik Emrah Ismail,Kırcı Çevik Nüket,Yıldırım Durmuş Çağrı TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST. , 2021, ss.425 - 449. 10.28949/bilimname.866724
AMA Buğan M,Cevik E,Kırcı Çevik N,Yıldırım D TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST. . 2021; 425 - 449. 10.28949/bilimname.866724
Vancouver Buğan M,Cevik E,Kırcı Çevik N,Yıldırım D TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST. . 2021; 425 - 449. 10.28949/bilimname.866724
IEEE Buğan M,Cevik E,Kırcı Çevik N,Yıldırım D "TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST." , ss.425 - 449, 2021. 10.28949/bilimname.866724
ISNAD Buğan, Mehmet Fatih vd. "TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST". (2021), 425-449. https://doi.org/10.28949/bilimname.866724
APA Buğan M, Cevik E, Kırcı Çevik N, Yıldırım D (2021). TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST. Bilimname, 0(44), 425 - 449. 10.28949/bilimname.866724
Chicago Buğan Mehmet Fatih,Cevik Emrah Ismail,Kırcı Çevik Nüket,Yıldırım Durmuş Çağrı TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST. Bilimname 0, no.44 (2021): 425 - 449. 10.28949/bilimname.866724
MLA Buğan Mehmet Fatih,Cevik Emrah Ismail,Kırcı Çevik Nüket,Yıldırım Durmuş Çağrı TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST. Bilimname, vol.0, no.44, 2021, ss.425 - 449. 10.28949/bilimname.866724
AMA Buğan M,Cevik E,Kırcı Çevik N,Yıldırım D TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST. Bilimname. 2021; 0(44): 425 - 449. 10.28949/bilimname.866724
Vancouver Buğan M,Cevik E,Kırcı Çevik N,Yıldırım D TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST. Bilimname. 2021; 0(44): 425 - 449. 10.28949/bilimname.866724
IEEE Buğan M,Cevik E,Kırcı Çevik N,Yıldırım D "TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST." Bilimname, 0, ss.425 - 449, 2021. 10.28949/bilimname.866724
ISNAD Buğan, Mehmet Fatih vd. "TESTING ADAPTIVE MARKET HYPOTHESIS IN GLOBAL ISLAMIC STOCK MARKETS: EVIDENCE FROM MARKOV-SWITCHING ADF TEST". Bilimname 44 (2021), 425-449. https://doi.org/10.28949/bilimname.866724
Sayfa Oluşturulma Tarihi
24-04-2024 2:30

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