TÜRKİYE DÖVİZ PİYASASI ETKİNLİĞİNİN TEST EDİLMESİ
Etkin Piyasa Hipotezi, piyasadaki tüm bilgilerin varlık fiyatı içerisine dâhil olduğunu öne sürdüğü için bu bilgileri kullanarak ortalama piyasa getirisi üzerinde bir kazanç elde edilemeyeceğini belirtmektedir. Ancak piyasada uzun hafıza varlığının tespit edilmesi durumunda, bu durum ortadan kalkmaktadır. Çalışma, Türk lirasının 5 yabancı para birimi ile olan ikili uzun hafıza ilişkisini araştırmak için yapılmıştır. Getiride, Ruble / TL döviz kuru hariç tüm döviz kurlarında uzun hafıza olduğu tespit edilmiştir. Volatilitede, tüm döviz kurları için uzun hafıza varlığı bulunmuştur. Hem getiride hem de volatilitede, USD/ TL ve Yuan / TL döviz kurlarının uzun hafıza özelliği sergilediği belirlenmiştir.
Anahtar Kelimeler:
Etkin Piyasa Hipotezi, ARFIMA-FIAPARCH, İkili Uzun Hafıza, Döviz Piyasası, Volatilite
TESTING THE TURKISH FOREIGN EXCHANGE MARKET EFFICIENCY
The Efficient Market Hypothesis states that since all the information in the market is included in the asset price, it is not possible to make a profit above the average market return by using this information. However, if the existence of long memory is detected in the market, this situation disappears. The study was conducted to investigate the bilateral long-memory relationship between the Turkish lira and 5 foreign currencies. In return, it has been determined that there is a long memory in all exchange rates except the Ruble / TL exchange rate. In volatility, long memory existence was found for all exchange rates. It has been determined that USD/TL and Yuan/TL exchange rates exhibit long memory characteristics both in return and volatility.
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- ISSN: 1303-0027
- Yayın Aralığı: Yılda 2 Sayı
- Başlangıç: 2001
- Yayıncı: Dokuz Eylül Üniv. İşletme Fak.