Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi

eyuboglu, kemal; Eyuboglu, Dr. Sinem

Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi

Kemal EYÜBOĞLU, (Tarsus Üniversitesi, Mersin, Türkiye)

Sinem EYÜBOĞLU (Tarsus Üniversitesi, Mersin, Türkiye)

Journal of Yasar University

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Yıl: 2020 Cilt: 15 Sayı: 59 Sayfa Aralığı: 642 - 654 Metin Dili: Türkçe İndeks Tarihi: 10-11-2021

Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi

Öz:

Bu çalışmada Borsa İstanbul endekslerinde (BIST 100, Sınai ve Mali) Adaptif Piyasa Hipotezinin geçerli olup olmadığı günlük veriler kullanılarakincelenmiştir. Veri aralığı BIST 100 için 02 Ocak 1990-17 Haziran 2019; BIST Sınai ve Mali için 02 Nisan 1991-17 Haziran 2019’dur. Çalışmadagünlük getiri verileri, iki yıllık alt örneklere ayrılmış ve hisse senedi getirilerinin öngörülebilirliğinin zaman içinde nasıl değiştiğini belirlemek içindoğrusal ve doğrusal olmayan testler uygulanmıştır. Otokorelasyon ve runs testlerinden elde edilen sonuçlar, genellikle 3 endeksin etkin ve etkinolmayan dönemler arasında geçiş yaptığını ve dolayısıyla piyasaların Adaptif Piyasa Hipotezi ile uyumlu olduğunu ortaya koymuştur. Varyans oranıtesti ile doğrusal olmayan testlerin sonuçları ise hisse senedi getirilerinin tahmin edilebilir olduğunu dolayısıyla piyasaların etkin olmadığınıgöstermiştir.

Anahtar Kelime:

Testing the Validity of Adaptive Market Hypothesis in Borsa Istanbul Indices

Öz:

In this study, whether the Adaptive Market Hypothesis is valid in Borsa Istanbul indices (BIST 100, Industrial and Financial) is examined by using daily data. Data range for BIST 100 is 02 January 1990-17 June 2019 and 02 April 1991-17 June 2019 for BIST Industrial and Financial.Daily return data are divided into two-year subsamples and linear and nonlinear tests are applied to determine how the stock returns’ independence changed over time. Autocorrelation and runs test results show that the efficiency of each market varied within the sub-periods and therefore the markets are consistent with the Adaptive Market Hypothesis. The results of the variance ratio test and nonlinear tests show that stock returns are predictable and therefore the markets are inefficient

Anahtar Kelime:

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

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APA	eyuboglu k, Eyuboglu D (2020). Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi. , 642 - 654.
Chicago	eyuboglu kemal,Eyuboglu Dr. Sinem Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi. (2020): 642 - 654.
MLA	eyuboglu kemal,Eyuboglu Dr. Sinem Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi. , 2020, ss.642 - 654.
AMA	eyuboglu k,Eyuboglu D Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi. . 2020; 642 - 654.
Vancouver	eyuboglu k,Eyuboglu D Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi. . 2020; 642 - 654.
IEEE	eyuboglu k,Eyuboglu D "Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi." , ss.642 - 654, 2020.
ISNAD	eyuboglu, kemal - Eyuboglu, Dr. Sinem. "Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi". (2020), 642-654.

APA	eyuboglu k, Eyuboglu D (2020). Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi. Journal of Yasar University, 15(59), 642 - 654.
Chicago	eyuboglu kemal,Eyuboglu Dr. Sinem Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi. Journal of Yasar University 15, no.59 (2020): 642 - 654.
MLA	eyuboglu kemal,Eyuboglu Dr. Sinem Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi. Journal of Yasar University, vol.15, no.59, 2020, ss.642 - 654.
AMA	eyuboglu k,Eyuboglu D Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi. Journal of Yasar University. 2020; 15(59): 642 - 654.
Vancouver	eyuboglu k,Eyuboglu D Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi. Journal of Yasar University. 2020; 15(59): 642 - 654.
IEEE	eyuboglu k,Eyuboglu D "Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi." Journal of Yasar University, 15, ss.642 - 654, 2020.
ISNAD	eyuboglu, kemal - Eyuboglu, Dr. Sinem. "Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi". Journal of Yasar University 15/59 (2020), 642-654.