Hisse Senedi Fiyatlarının Ortalamaya Dönüşü: Kesirli Frekanslı Fourier ADF Birim Kök Testi

Bu çalışmada Türkiye için hisse senedi fiyatlarının ortalamaya dönüşü araştırılmaktadır. Bu amaçla OECD resmi veri tabanından elde edilen 1988:01-2021:01 aylık değişkenlere Christopoulos ve Leon-Ledesma (2011) tarafından literatüre kazandırılan kesirli frekanslı Fourier birim kök testi uygulanmıştır. Yapılan analiz neticesinde uygun frekans değeri 0.5 bulunmuş ve modele dâhil edilen trigonometrik terimlerinin anlamlı olduğu bulgusu elde edilmiştir. Elde edilen test istatistiğine göre Türkiye’nin hisse senedi fiyatlarının sabitli model için anlamlılık %5 düzeyinde, sabitli ve trendli model için ise %1 anlamlılık düzeyinde durağan olduğu görülmektedir. Bu da hisse senesi fiyatlarının ortalamaya geri döneceği anlamına gelmektedir. Yani şokların hisse senedi fiyatları üzerinde geçici etkilerinin olacaktır. Bu sonuç da geçmişteki fiyat hareketleri incelenerek gelecekteki hareketlerin ön görülebileceği ve böylece yatırımcıların anormal getiri elde etmek için farklı ticaret stratejileri geliştirebileceği anlamına gelmektedir.

Mean Reversion In Stock Prices: Fractional Frequency Fourier ADF Unit Root Test

In this study we investigated the return of the average stock price for Turkey. For this purpose, the fractional frequency Fourier unit root test was applied to the monthly variables 1988: 01-2021: 01 obtained from the OECD official database, which was introduced to the literature by Christopoulos and Leon-Ledesma (2011). As a result of the analysis, the suitable frequency value was found to be 0.5 and the trigonometric terms included in the model were found to be meaningful. Also according to the obtained test statistic at the 5% level for both persistence model of Turkey's stock price, the constant and trend model for the means to return to average with due to be stable at the level of 1%. That is, shocks will have temporary effects on stock prices. This result means that by examining past price movements, future movements can be predicted and thus investors can develop different trading strategies to obtain abnormal returns.

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