Ülke Sınıflandırması ile Piyasa Etkinliği Arasında Bir İlişki Var Mı?: Küresel Bir Çalışma

Bu makalenin amacı farklı ekonomik gelişmişlik düzeyinde olan ülkeler için Etkin Piyasa Hipotezini EPH test etmektir. Çalışmada 17’si gelişmiş ve 12’si gelişmekte olan ülkenin ekonomik gelişmişlik düzeyini göstermek için FTSE Ülke Sınıflandırması kullanılmıştır. Çalışmanın örneklem aralığı 2005ile 2013 yılları arasıdır. Piyasa etkinliğini test etmek için Portmanteau Q testi, runs testi, tekli ve çoklu varyans oranı testleri kullanılmıştır. Sonuçlar, gelişen piyasalar içerisinde ekonomik gelişmişliği daha iyi olan piyasaların zayıf formda etkin olduğunu göstermektedir. Çalışmanın en önemli bulgusu ise piyasaların ekonomik gelişmişlik seviyesi ile piyasa etkinliğinin yakından ilişkisi olduğudur. Piyasalar geliştikçe ve bir üst düzey gelişmişlik kademesine geçtikçe daha etkin hale gelmektedirler. Ayrıca, çalışmanın bulguları, finansal ve politik krizlerden etkilenen piyasalar ile daha az gelişmiş finansal piyasaların etkin piyasa olmaktan uzak olduğunu ortaya koymaktadır

Anahtar Kelimeler:

piyasa etkinliği, piyasa gelişmişliği

Is There a Relationship between Country Classification and Market Efficiency?: A Global Investigation

The objective of this paper is to test the Efficient Market Hypothesis EMH for countries at different economic development levels. The FTSE Country Classification was used to reveal the economic development of 17 developed and 12 emerging markets. The sampling period is between 2005 and 2013. In order to test market efficiency, Portmanteau Q test, the runs test, the single and multiple variance ratio VR tests were used. The results show that the weak-form market efficiency is becoming prevalent in the Advanced Emerging markets. The striking finding of the paper presents that the market efficiency is associated with the market evolution. As the economies and markets of countries evolve and meet the criteria for promotion to upper country classification, they become weak-form efficient. Further, the findings reveal the facts that the markets which suffer from severe financial and political crises, or belong to low ranked emerging markets are unlikely to be efficient.

Keywords:

market efficiency, market development,

PDF

___

Abdmoulah, W. (2010). Testing the Evolving Efficiency of Arab Stock Markets, International Review of Financial Analysis, 19, 25-34.
Abraham, A., Seyyed, F,J, and S.A. Alsakran, S.A. (2002),.Testing the Random Walk Behaviour and Efficiency of the Gulf Stock Markets, The Financial Review, 37(3): 469–80.
Bollerslev, T. (1986). Generalized Conditional Heteroskedasticity, Journal of Econometrics, 31, 307-315.
Çelik,T.T. ve Taş, O. (2007). Etkin piyasa hipotezi ve gelişmekte olan hisse senedi piyasaları, İTÜ Dergisi/b, Sosyal Bilimler Cilt:4, Sayı:2, 11-22
Campbelll, J., LO, A., and MACKINLAY, A. C. (1997). The Econometrics of Financial Markets. Princeton: Princeton University Press.
Chan, K. C., Jegadeesh, N. and Lakonıshok, J. (1996), Momentum strategies, The Journal of Finance 51(5), 1681– 1713.
Chan, K.C., Gup, B.E., and Pan, M.S. (1997). International Stock Market Efficiency and Integration: A study of Eighteen Nations, Journal of Business Finance and Accounting, 24(6), 803
Chang, K. and Ting, K. (2000). A Variance Ratio Test of the Random Walk Hypothesis for Taiwan’s Stock Market, Applied Financial Economics, 10, 525-32.
Cheong, C.W. (2008). A sectoral efficiency analysis of Malaysian stock exchange under structural break, American Journal of Applied Sciences, 5, 1291-1295
Chow, K.V. and Denning, K.C. (1993). A simple multiple variance ratio test, Journal of Econometrics 58, 385–401.
Engle, R. F., Lilien,D.M., and Robıns,R.P. (1987). Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model, Econometrica, 55, 391–407.
Fama, E. F. (1965). The Behavior of Stock Market Prices, The Journal of Business, 38 (1), 34- 105.
Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, 25, 383-417.
Fama, E. F. and Macbeth, J. (1973). Risk, Return and Equilibrium: Empirical Tests, Journal of Political Economy, 81 (3) 607-636.
FTSE (2013).FTSE Global Equity Index Series Country Classification.
Godfrey, M. D., Granger, C. W. J. and Morgenstern, O. (1964), The random walk hypothesis of stock market behavior, Kyklos 17(1), 1–30.
Guidi, F., Gupta, R., and Maheshwari, R. (2011). Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets, Journal of Emerging Market Finance, 10(3), 337-389.
Hassan, K. M., Haque, M., and Lawrence, S. (2006). An Empirical Analysis of Emerging Stock Markets of Europe, Quarterly Journal of Business and Economics, 45(1&2), 31-52.
Hoque, H. A., Kım, J. H., and Pyun, C. S. (2007). A Comparison of Variance Ratio Tests of Random Walk: A Case of Asian Emerging Markets, International Review of Economics and Finance, 16, 488-502.
Hull, M. and Mcgroarty, F. (2014). Do emerging markets become more efficient as they develop? Long memory persistence in equity indices, Emerging Markets Review, 18, 45-61.
Jaffe, J.F. (1974). Special information and insider trading, Journal of Business 47, 410-428.
Jain, P., Vyas,V. and Roy, A. (2013). A study on weak form of market efficiency during the period of global financial crisis in the form of random walk on Indian capital market, Journal of Advances in Management Research, 10(1), 122-138.
Lee, U. (1992). Do stock prices follow random walk? Some international evidence, International Review of Economics and Finance, 1(4), 315-327.
Lim, T.C., Huang, W., Yun, J.L.X, And Zhao, D. (2013). Has stock Market efficiency improved? Evidence from China, Journal of Finance & Economics, 1(1), 1-9.
Ljung G.M, Box G.E. (1978) On a measure of lack of fit in time series models. Biometrika 65: 297–303.
Lo, A. and Mackinlay, A. C. (1988). Stock Market Prices Do not Follow Random Walks. Evidence from a Simple Specification Test, Review of Financial Studies, 1 (1), 41-66.
Mobarek, A. and Fiorante, A. (2014). The prospects of BRIC countries: Testing weak-form market efficiency, Research in International Business and Finance, 30, 217-232.
Ojah, K., And Karemera, D. (1999). Random Walk and Market Efficiency Tests of Latin American Emerging Equity Markets: A Revisit, The Financial Review, 34 (2), 57-72.
Ortiz, E., and Arjona, E. (2001). Heteroskedastic behavior of the Latin American Emerging Markets, International Review of Financial Analysis, 10, 287-305.
Ojah, K., and Karemera, D. (1999). Random Walk and Market Efficiency Tests of Latin American Emerging Equity Markets: A Revisit, The Financial Review, 34 (2), 57-72.
Ortiz, E., and Arjona, E. (2001). Heteroskedastic behavior of the Latin American Emerging Markets, International Review of Financial Analysis, 10, 287-305.
Samuelson, P. A. (1965), Proof that properly anticipated prices fluctuate randomly, Industrial Management Review 6(2), 41–49.
Shamiri, A. and Isa, Z. (2009). Modeling and forecasting volatility of the Malaysian stock markets. Journal DOI: 10.3844/jmssp.2009.234.240 Mathematics and Statistics, 5(3), 234-240.
Shiller, R. J. and Perron, P. (1985) Testing the random walk hyporhesis: power versus frequency of observation, Economics Letters 18, 381-386.
Smith, G. (2008). Liquidity and the Informational Efficiency of African Stock Markets, South African Journal of Economics, 76 (2), 161-175.
Wald, A. and Wolfowıtz, J. (1940). On a Test Whether Two Samples are from the Same Population, The Annals of Mathematical Statistics, 11, (2), 147-162.
Wallıs, W. and Roberts, H. (1956). Statistics: A New Approach, Free Press, Glencoe Illinois, U.S.
Worthington, A.C. and Higgs, H. (2003). Weak-form market efficiency in European emerging and developed stock markets, In: Discussion Paper No. 159. Queensland University of Technology.
Worthıngton, A. C. and Higgs, H. (2004). Random Walks and Market Efficiency in European Equity Markets, Global Journal of Finance and Economics, 1 (1), 59-78.
Worthington, A. C. and Higgs, H. (2009). Efficiency in the Australian stock market 1875-2006: A note on extreme long-run random walk behaviour, Applied Economics Letters, vol.16, no. 3, pp. 301-306.
YAHOO FINANCE (2014). http://finance.yahoo.com.