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Türk hisse senedi piyasalarının etkinliğinin incelenmesi: Çoklu yapısal kırılmalara dayalı bir analiz

Bu çalışmada Türk hisse senedi piyasalarının zayıf formda etkin olup olmadığı çoklu yapısal kırılmalar dikkate alınarak incelenmiştir. Hisse senedi piyasalarını temsilen BIST100, BIST30, BIST Mali, BIST Sınai ve BIST Hizmet endeksleri kullanılmıştır. Serilerde yapısal kırılma olup olmadığı Perron ve Yabu (2009) testi ile incelenmiştir. Yapısal kırılma sayılarının tespitinde Bai ve Perron (199 8, 2003) testinden yararlanılmıştır. Hisse senedi piyasalarının etkin olup olmadığı ise Carrion- i Silve stre vd. (2009) çoklu yapısal kırılmalı birim kök testi ile incelenmiştir. Bu test serilerin sabit terim ve trendinde beş yapısal kırılmaya izin verebilmektedir. Çalışma bulguları Türk hisse senedi piyasalarının zayı f formda etkin olduğuna işaret etmektedir. Dolayısıyla geçmiş dönem bilgilerine ve fiyat hareketlerine bağlı olarak hisse senedi piyasalarında sürekli olarak normalin üzerinde (abnormal) bir getiri elde etmenin pek mümkün olmadığı ifade edilebilir.

Examining the efficiency of the Turkish stock market: A multiple structural break analysis

This study examines the weak-form efficiency of Turkish stock market, investigating the following indices under multiple structural breaks: BIST National, BIST30, BIST Financials, BIST Industrials and BIST Services. First, the test of Peron and Yabu (2009) is employed to detect whether the series has structural breaks, and then the Bai and P erron (1998; 2003) multiple -structural-break test is applied in order to determine the number of structural breaks. Lastly, the Carrion -i Silvestre et al. (2009) unit root test with multiple structural breaks is used to examine whether stock indices follow a random walk or mean reversion process. The Carrion- i Silvestre et al. (2009) unit- root test allows up to five breaks both at the level and the slope of the time trend of the series. Results show that the Turkish stock market is weak-form efficient. This implies that investors cannot get consistently abnormal profit based on past information or price movements of the stock indices considered here.
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Bankacılar-Cover
  • ISSN: 1300-0217
  • Başlangıç: 1990
  • Yayıncı: Türkiye Bankalar Birliği
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Sayıdaki Diğer Makaleler

Keynes'e göre tanımlanmış bölüşüm ilişkileri altında yeni phillips eğrisi ve para politikasının sınırları

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Talip SARIÇAM

Türk hisse senedi piyasalarının etkinliğinin incelenmesi: Çoklu yapısal kırılmalara dayalı bir analiz

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