TÜRKĠYE’DE BANKALAR UZUN HAFIZAYA MI SAHĠP?

Yatırımcıların finansal piyasalarda iĢlem yaparken, rasyonel kararlar aldıkları varsayımına dayanan geleneksel finans teorisi, son yıllarda piyasa anomalilerinin araĢtırılması ile davranıĢsal finans kavramının ortaya çıkmasını sağlamıĢtır. Bu kapsamda Borsa Ġstanbul için piyasa etkinliği araĢtırılmıĢ ve davranıĢsal finans ile iliĢkisi ortaya konmaya çalıĢılmıĢtır. ÇalıĢmada Borsa Ġstanbul‟da iĢlem gören, 11 banka hisse senedi ile Etkin Piyasa Hipotezi‟nin geçerliliği araĢtırılmıĢtır. Bu amaçla öncelikle serilerin durağanlıkları incelenmiĢ, daha sonra yapısal kırılma altında durağan olup olmadıkları analiz edilmiĢ.etkin piyasa hipotezinin varlığı ise uzun hafızamodeli ile test edilmiĢtir. Zivot-Andrews yapısal testi yapılmıĢ ve Geweke ve Porter-Hudak, Modifiye EdilmiĢ Log-Periodogram ve Robinson Gaussian Yarı Parametrik Yöntem ile uzun hafızanın varlığı sınanmıĢtır.

DO BANKS HAVE LONG MEMORY IN TURKEY?

Traditional finance theory, which is based on the assumption that investors make rational decisions while trading in financial markets, has led to the emergence of the concept of behavioral finance through the investigation of market anomalies in recent years. In this context, market efficiency for Borsa Ġstanbul has been investigated and its relation with behavioral finance has been tried to reveal. In this study, the validity of the Efficient Market Hypothesis was investigated with the shares of 11 banks traded on Borsa Istanbul. For this purpose, firstly the stationarity of the series was examined and then it was analyzed whether they were stationary under structural break. The existence of the effective market hypothesis was tested with long memory model. Zivot-Andrews structural break test was performed and the presence of long memory was tested with the Geweke Porter-Hudak, Modified Log-Periodogram and Robinson Gaussian Semiparametric Methods.

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