Covıd-19 Pandemisinde Piyasa Etkinliği Ve Davranışsal Finans Teorilerinin Geçerliliği: Uluslararası Piyasalarda Bir Uygulama

Bu çalışmanın amacı, temel finans teorilerinden Etkin Piyasalar Hipotezi ve Davranışsal Finans Teorisinin Covid-19 döneminde uluslararası pay piyasalarında test edilmesidir. Bu kapsamda çalışmada toplam vaka sayısı açısından dünya ölçeğinde ilk altı sırada bulunan ülkelere ilişkin 31.12.2019 - 01.07.2021 tarihleri arası günlük ve haftalık pay piyasası verileri ve Google Trends “Covid19” terimine yönelik haftalık arama sayıları verileri (Koronavirüs Korku Endeksi) kullanılmıştır. Etkin Piyasalar Hipotezinin geçerliliği Koşu (Run) Testi ile test edilirken, pay piyasalarındaki davranışsal etkilerin belirlenebilmesi için Dumitrescu & Hurlin (2012) Panel Nedensellik Analizinden yararlanılmıştır. Çalışma bulguları, Etkin Piyasalar Hipotezinin ABD ve Brezilya dışındaki ülkelerde pay piyasası getirileri için zayıf formda kabul edildiğini göstermiştir. Bunun yanı sıra davranışsal etkilerin test edilmesi için gerçekleştirilen Panel Nedensellik Analizi sonuçları, Koronavirüs Korku Endeksinin tüm ülkelerde pay fiyatlarındaki değişimin nedeni olduğunu ortaya koymuştur.

Anahtar Kelimeler:

Etkin Piyasalar Hipotezi, Davranışsal Finans, Covid-19, Koşu Testi, Panel Nedensellik Analizi, Koronavirüs Korku Endeksi

The Validity of Market Efficiency and Behavioral Finance Theories in the Covid-19 Pandemic: An Application on International Markets

The purpose of this study is to test the Efficient Market Hypothesis and Behavioral Finance Theory which are among the main finance theories, in international stock markets during the Covid19 period. In this context, daily and weekly stock market data between 31.12.2019-01.07.2021 for the countries that are in the top six in the world in terms of a total number of cases and weekly search numbers for the term “Covid19” from Google Trends (Coronavirus Fear Index) were used. While the validity of the Efficient Market Hypothesis was tested with the Run Test, Dumitrescu & Hurlin (2012) Panel Causality Analysis was used to determine the behavioral effects in the stock markets. The study findings showed that the Efficient Market Hypothesis was accepted in weak form for stock market returns in countries other than the USA and Brazil. In addition, the results of the Panel Causality Analysis carried out to test the behavioral effects revealed that the Coronavirus Fear Index was the reason for the changes in stock prices in all countries.

Keywords:

Efficient Market Hypothesis, Behavioral Finance, Covid-19, Run Test, Panel Causality Analysis, Coronavirus Fear Index,

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