Büyük küresel olayların Türkiye hisse senedi piyasasının etkinliği üzerindeki etkisi

Piyasa etkinliği, birçok yatırımcı, politika yapıcı ve araştırmacı için büyük önem taşımaktadır. Onlara piyasa hakkında bilgi sağlar ve karar verme süreçlerinde yol gösterici olur. Bu nedenle yıllar boyunca çok sayıda araştırma yapılmıştır. Bununla birlikte, Dünya, son yıllarda, finansal piyasalar için büyük önem taşıyan hem doğrudan hem de dolaylı etkileri olan birçok önemli global olaya tanık oldu. 2008 Küresel Finansal Krizi ve COVID-19 salgını, Dünyanın yaşadığı önemli olaylar arasında gösterilmektedir. Geçmiş araştırmalar, her iki olayın hisse senedi piyasalarının etkinliği üzerindeki etkisinin ayrı çalışmalarda ele alındığını gösterse de hem büyük olayları içeren hem de borsa etkinliğinin bu dönemler arasında nasıl değiştiğini analiz eden çalışmalar yetersizdir. Bu çalışmanın amacı, Türk hisse senedi piyasasının zayıf formdaki etkinliğini ve zaman içinde nasıl geliştiğini analiz etmektir. Şubat 1988'den Eylül 2022'ye kadar uzanan bir gözlem aralığı kullanılarak piyasa etkinliğindeki değişiklikleri gözlemlemek için çalışmada 4 farklı veri seti bulunmaktadır. BIST100 Endeksi'nin aylık kapanış fiyatları hem geleneksel doğrusal yapıdaki Genişletilmiş Dickey-Fuller birim kök testi hem de 5 farklı doğrusal olmayan birim kök testleri kullanılarak analiz edilmiştir. Sonuçlar, farklı testlerin durağanlığı yakalamada farklı güçlere sahip olduğunu ve LNV testi ile birlikte Türkiye Hisse Senedi Piyasasının zayıf formda etkin bulunmadığını göstermektedir.

Anahtar Kelimeler:

Piyasa Etkinliği, Birim Kök Testleri, BIST100, Durağanlık, Küresel Olaylar

Impact of major global events on the Turkish stock market efficiency

Market efficiency is of great importance to many investors, policy makers, as well as researchers. It provides them with information regarding the market and acts as a guide in their decision-making process. For this reason, there have been extensive amount of research done through the years. However, the World has witnessed several major events in the last couple of decades, which has been of great importance for financial markets, having both direct and indirect impacts. The Global Financial Crisis of 2008 and the COVID-19 pandemic can be the two most important events the World has experienced. Although past research shows that the impact of both events on the efficiency of the stock markets were looked at in separate studies, there is lack of studies involving both major events and analysing how the efficiency of the stock market is changing between these periods. The aim of this study is to analyse the weak-form efficiency of the Turkish stock market and how it has evolved over time. There are 4 different data sets used to observe the changes in market efficiency, with full sample ranging from February 1988 to September 2022. Monthly closing prices of the BIST100 Index are analysed using both the traditional linear Augmented Dickey-Fuller unit root test and 5 different non-linear unit root tests. Results show that different tests have different strengths in capturing the stationarity and due to the LNV test Turkish Stock Market was found not to be weak form efficient.

Keywords:

Market Efficiency, Unit Root Tests, BIST100, Stationarity, Global Events,

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