Cenk C. KARAHAN, Ömer EREN

3121

Ortalamaya dönme eğilimi, geçtiğimiz kırk yılda birçok çalışma tarafından sürekli olarak gözlemlenmiş, birçok çalışma tarafından da varlığı reddedilmiş bir olgudur. Bu çalışmanın ilk amacı, güncel bir veri seti kullanarak gelişmiş ve gelişmekte olan pazarlardan ve MSCI tarafından sağlanan uluslarası endekslerden oluşan geniş bir yelpazede ortalamaya dönme eğilimini araştırarak bu konunun aydınlatılmasına katkıda bulunmaktır. Bu doğrultuda, bu uluslararası sermaye endekslerinin ve bahsi geçen pazarların sermaye piyasalarının dolar bazındaki nominal, reel ve fazla getirileri üzerinde varyans oranı hesaplamaları yapılmış ve rasgeleleştirmeye dayanan dağılımdan bağımsız bir istatistiksel test uygulanmıştır. Bazı durumlarda istatistiksel önem şüphelere yol açsa da, sonuçlar hem gelişmiş, hem de gelişmekte olan ülkelerde ortalamaya dönme eğiliminin var olduğunu göstermektedir. Bununla beraber firma büyüklüğü ve getiri tipinin ortalamaya dönme eğiliminin derecesi üzerinde önemli etkileri olduğu gözlemlenmiştir.
Anahtar Kelimeler:

Uluslararası Hisse Getirileri, Market Verimi, Ortalamaya Dönme, Varyans Oranı

Mean Reversion in International Equity Markets

Mean reversion is a phenomenon that has been consistently observed and refuted in several studies over the last decades. This study first aims at shedding further light on this unsettled issue by assessing mean reversion on recent data in a broad range of international equity markets including developed and emerging markets and international indices provided by MSCI. Variance ratio computations and a novel distribution-free statistical tests based on randomization are used on dollar denominated nominal, real and excess returns of these equity markets. The results indicate that mean reversion exists in both developed and emerging countries, albeit its statistical significance is occasionally dubitable. Moreover, firm size and return type exhibit significant effects on the degree of mean reversion.
Keywords:

International Equity Returns, Market Efficiency, Mean Reversion, Variance Ratio,

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Ege Akademik Bakış Dergisi-Cover
  • ISSN: 1303-099X
  • Yayın Aralığı: Yılda 4 Sayı
  • Başlangıç: 2000
  • Yayıncı: Ege Üniversitesi
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