ADAPTİF PİYASA HİPOTEZİNİN ASYA – PASİFİK ÜLKELERİNDE TEST EDİLMESİ

Bu çalışma, Asya Pasifik ülkelerinde Adaptif Piyasa Hipotezinin geçerliliğini araştırmayı amaçlamaktadır. Bu amaçla, 31 Aralık 1992'den 31 Ocak 2020'ye kadar olan aylık dönem, Otomatik Portmanteau Q testi, Genelleştirilmiş Spektral test ve Wild-Bootstrap Otomatik Varyans Oran testi kullanılarak analiz edilmiştir. Ayrıca, getirilerin zamana bağlı olarak tahmin edilebilirliği kayan pencereler yaklaşımı kullanılarak incelenmiştir. Elde edilen bulgular, ülke borsalarının Adaptif Piyasa Hipotezini doğruladığını göstermektedir.

___

  • ADARAMOLA, Anthony Olugbenga ve Kehinde Oladeji ADEKANMBI; (2020), “Day-of-the-week effect in Nigerian Stock exchange: Adaptive market hypothesis approach”
  • AL-KHAZALI, Osamah ve Ali MIRZAEI; (2017), “Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices”, Journal of International Financial Markets, Institutions and Money, 51, 190–208.
  • ALMAIL, Ali ve Fahad ALMUDHAF; (2017), “Adaptive Market Hypothesis: Evidence from three centuries of UK data”, Economics and Business Letters, 6(2), 48-53.
  • BARBERIS, Nicholas ve Richard THALER; (2003), “A survey of behavioral finance”, Handbook of the Economics of Finance, 1, 1053–1128.
  • BOBOC, Ioana-Andreea ve Mihai-Cristian DINICĂ; (2013), “An algorithm for testing the efficient market hypothesis”, PloS one, 8(10).
  • BORGES, Maria Rosa; (2010), “Efficient market hypothesis in European stock markets”, The European Journal of Finance, 16(7), 711–726.
  • BOX, George E. P. ve David A. PIERCE; (1970), “Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models”, Journal of the American Statistical Association, 65(332), 1509-1526. doi:10.2307/2284333
  • CHARLES, Amélie., Olivier DARNÉ ve Jessica FOUİLLOUX; (2011), “Testing the martingale difference hypothesis in CO2 emission allowances”, Economic Modelling, 28(1), 27-35. doi: 10.1016/j.econmod.2010.10.003
  • CHOI, In; (1999), “Testing the random walk hypothesis for real exchange rates”, Journal of Applied Econometrics, 14(3), 293-308.
  • CHU, Jeffrey., Yuanyuan ZHANG ve Stephen CHAN; (2019), “The adaptive market hypothesis in the high frequency cryptocurrency market”, International Review of Financial Analysis, 64, 221–231.
  • CORONADO RAMÍREZ, Semei., Pedro Luis CELSO ARELLANO ve Omar ROJAS; (2015), “Adaptive market efficiency of agricultural commodity futures contracts”, Contaduría y Administración, 60(2), 389-401. doi:10.1016/S0186-1042(15)30006-1
  • DOCKERY, Everton ve Manolis G. KAVUSSANOS; (1996), “Testing the efficient market hypothesis using panel data, with application to the Athens stock market”, Applied Economics Letters, 3(2), 121–123.
  • ESCANCIANO, J. Carlos ve Ignacio N. LOBATO; (2009), “An automatic Portmanteau test for serial correlation”, Journal of Econometrics, Recent Advances in Time Series Analysis: A Volume Honouring Peter M. Robinson, 151(2), 140-149. doi: 10.1016/j.jeconom.2009.03.001
  • ESCANCIANO, J. Carlos ve Carlos VELASCO; (2006), “Generalized spectral tests for the martingale difference hypothesis”, Journal of Econometrics, 134(1), 151-185. doi: 10.1016/j.jeconom.2005.06.019
  • FAMA, Eugene; (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, The Journal of Finance, 25(2), 383-417. doi:10.2307/2325486
  • FRENNBERG, Per ve Björn HANSSON; (1993), “Testing the random walk hypothesis on Swedish stock prices: 1919–1990”, Journal of Banking & Finance, 17(1), 175–191.
  • GHAZANI, Majid Mirzaee ve Mansour Khalili ARAGHI; (2014), “Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the Tehran stock exchange”, Research in International Business and Finance, 32, 50–59.
  • GHAZANI, Majid Mirzaee ve Seyed Babak EBRAHİMI; (2019), “Testing the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the crude oil prices”, Finance Research Letters, 30, 60–68.
  • GÖZBAŞI, Onur., İlhan KÜÇÜKKAPLAN ve Şaban NAZLIOĞLU; (2014), “Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests”, Economic Modelling, 38, 381-384. doi: 10.1016/j.econmod.2014.01.021
  • GYAMFI, Emmanuel Numapau; (2018), “Adaptive Market Hypothesis: Evidence from the Ghanaian Stock Market”, Journal of African Business, 19(2), 195-209. doi:10.1080/15228916.2018.1392838
  • HAMID, Kashif, Muhammad Tahir SULEMAN, Syed Zulfiqar ALI SHAH, Imdad AKASH ve Rana SHAHID; (2017), “Testing the weak form of efficient market hypothesis: Empirical evidence from Asia-Pacific markets.”, International Research Journal of Finance and Economics, Issue 58, 121-133.
  • HIREMATH, Gourishankar S. ve Jyoti KUMARI; (2014), “Stock returns predictability and the adaptive market hypothesis in emerging markets: Evidence from India”, SpringerPlus, 3(1), 428.
  • HIREMATH, Gourishankar S. ve Seema NARAYAN; (2016), “Testing the adaptive market hypothesis and its determinants for the Indian stock markets”, Finance Research Letters, 19, 173–180.
  • KAYANI, Sehrish, Usman AYUB ve Imran Abbas JADOON; (2019), “Adaptive Market Hypothesis and Artificial Neural Networks: Evidence from Pakistan”, Global Regional Review, Vol. IV, No. II.
  • KHUNTIA, Sashikanta ve J. K. PATTANAYAK; (2018), “Adaptive market hypothesis and evolving predictability of bitcoin”, Economics Letters, 167, 26–28.
  • KIM, Jae H; (2009), “Automatic variance ratio test under conditional heteroskedasticity”, Finance Research Letters, 6(3), 179-185. doi: 10.1016/j.frl.2009.04.003
  • KUMAR, Dilip; (2018), “Market Efficiency in Indian Exchange Rates: Adaptive Market Hypothesis”, Theoretical Economics Letters, 8(9), 1582–1598.
  • LO, Andrew W; (2004), “The adaptive markets hypothesis”, The Journal of Portfolio Management, 30(5), 15–29.
  • LO, Andrew W; (2005), “Reconciling efficient markets with behavioral finance: The adaptive markets hypothesis”, Journal of investment consulting, 7(2), 21–44.
  • LO, Andrew W; (2012), “Adaptive markets and the new world order (corrected May 2012)”, Financial Analysts Journal, 68(2), 18–29.
  • LO, Andrew W. ve A. Craig MacKinlay; (1988), “Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test”, The Review of Financial Studies, 1(1), 41-66. doi:10.1093/rfs/1.1.41
  • LOBATO, Ignacio, John C. NANKERVIS ve N. E. SAVIN; (2001), “Testing for Autocorrelation Using a Modified Box-Pierce Q Test”, International Economic Review, 42(1), 187-205.
  • MALKIEL, Burton G.; (2003), “The efficient market hypothesis and its critics”, Journal of economic perspectives, 17(1), 59–82.
  • MAMMEN, Enno; (1993), “Bootstrap and Wild Bootstrap for High Dimensional Linear Models”, The Annals of Statistics, 21(1), 255-285.
  • MLAMBO, Chipo ve Nicholas BIEKPE; (2007), “The efficient market hypothesis: Evidence from ten African stock markets”, Investment Analysts Journal, 36(66), 5–17.
  • MUNIR, Qaiser ve Kasim MANSUR; (2009), “Is Malaysian stock market efficient? Evidence from threshold unit root tests”, Economics Bulletin, 29(2), 1359–1370.
  • NARAYAN, Paresh Kumar ve Russell SMYTH; (2004), “Is South Korea’s stock market efficient?”, Applied Economics Letters, 11(11), 707–710.
  • NEELY, Christopher J., Paul A., WELLER, ve Joshua M. ULRICH; (2009), “The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market”, The Journal of Financial and Quantitative Analysis, 44(2), 467-488.
  • NGUYEN, Chu V. ve Muhammad Mahboob ALI; (2011), “Testing the weak efficient market hypothesis: Using Bangladeshi panel data”, Banks & bank systems, (6, Iss. 1), 11–15. NGUYEN, Chu V., Chang CHIA-HAN ve Thai D. NGUYEN; (2012) “Testing the Weak-Form Efficient Market Hypothesis: Using Panel Data from the Emerging Taiwan Stock Market”, International Journal of Business and Social Science, 3(18).
  • NODA, Akihiko; (2016), “A test of the adaptive market hypothesis using a time-varying AR model in Japan”, Finance Research Letters, 17, 66-71. doi: 10.1016/j.frl.2016.01.004
  • ÖZDEMİR, Zeynel Abidin; (2008), “Efficient market hypothesis: Evidence from a small open-economy”, Applied Economics, 40(5), 633–641.
  • RITTER, Jay R.; (2003), “Behavioral finance”, Pacific-Basin finance journal, 11(4), 429–437.
  • ROSINI, Lucrezia ve Vijay SHENAI; (2020), “Stock returns and calendar anomalies on the London Stock Exchange in the dynamic perspective of the Adaptive Market Hypothesis: A study of FTSE100 & FTSE250 indices over a ten year period.”, Quantitative Finance and Economics, 4(1), 121. doi:10.3934/QFE.2020006
  • SHILLER, Robert J.; (2003), “From Efficient Markets Theory to Behavioral Finance”, Journal of Economic Perspectives, 17(1), 83-104. doi:10.1257/089533003321164967
  • TODEA, Alexandru., Maria ULICI, ve Simona SILAGHI; (2009), “Adaptive Markets Hypothesis: Evidence From Asia-Pacific Financial Markets”, The Review of Finance and Banking, 1(1), 7-13.
  • URQUHART, Andrew ve Robert HUDSON; (2013), “Efficient or adaptive markets? Evidence from major stock markets using very long run historic data”, International Review of Financial Analysis, 28, 130-142. doi: 10.1016/j.irfa.2013.03.005
  • URQUHART, Andrew ve Frank MCGROARTY; (2014), “Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data”, International Review of Financial Analysis, 35, 154-166. doi: 10.1016/j.irfa.2014.08.003
  • URQUHART, Andrew ve Frank MCGROARTY; (2016), “Are stock markets really efficient? Evidence of the adaptive market hypothesis”, International Review of Financial Analysis, 47, 39-49. doi: 10.1016/j.irfa.2016.06.011
  • XIONG, Xiong., Yongqiang MENG., Xiao LI ve Dehua SHEN; (2019), “An empirical analysis of the Adaptive Market Hypothesis with calendar effects: Evidence from China.”, Finance Research Letters, 31. doi: 10.1016/j.frl.2018.11.020
  • ZAFAR, SM Tariq; (2012), “A systematic study to test the efficient market hypothesis on BSE listed companies before recession.”, International Journal of Management and Social Sciences Research, 1(1), 37–48.
Finansal Araştırmalar ve Çalışmalar Dergisi-Cover
  • ISSN: 1309-1123
  • Başlangıç: 2009
  • Yayıncı: Marmara Üniversitesi