ARCH ve GARCH Modelleriyle Standard & Poors 500 Endeksinde Rassal Yürüyüş ve Piyasa Etkinliğinin Analizi

Amaç - Bu çalışmanın amacı Etkin Piyasa Hipotezini test ederek Standart&Poors 500 endeksinde geçerliliğini araştırmaktır. Yöntem - Bu çalışmada Dickey-Fuller Birimi Kök Testi, Phillips Perron Testi ve ARMA Testi ile ARCH ve GARCH Modeli kullanılmıştır. Bulgular- Çalışma sonucunda Rassal Yürüyüş ve Etkin Piyasa Hipotezi varsayımları reddedilmiştir. Tartışma - Çalışmada S&P 500 indeksindeki hisse senetlerinin 31-12-2009 ile 31-12-2018 tarihleri arasındaki günlük getiri verilerinden oluşan seri dikkate alınarak etkin piyasa hipotezi test edilmiştir. Etkin Piyasa Hipotezi bir yatırımcının finansal varlıklarından kazandığı getirinin bu yatırımcının aktif veya pasif bir yatırım yöneticisi olup olmadığı ile ilgisi olmadığını savunmaktadır. Etkin Piyasa Hipotezi finansal varlıkların fiyatının geçmiş fiyat endekslerine ve varlıklara ait olan diğer bilgiler üzerine yapılan çalışmalar aracılığı ile tahmin edilemeyeceğini savunmaktadır.

Analysis of Random Walk and Market Efficiency in Standard & Poors 500 Index Using ARCH and GARCH Models

Purpose - The aim of this study is to test the Efficient Market Hypothesis and to show its validity in Standard & Poors 500 index. Design/Methodology/Approach - Dickey-Fuller Unit Root Test, Phillips Perron Test and ARMA Test and ARCH and GARCH Model were used in this study. Findings - As a result of the study, assumptions of both random walk hypothesis and Efficient Market Hypothesis are rejected. Discussion - The efficient market hypothesis was tested by taking into consideration the series of daily yield data date between 31-12-2009 and 31-12-2018 of the shares of the S & P 500 index. The Efficient Market Hypothesis argues that an investor's return on its financial asset is not dealing with whether this investor is an active or passive investor. The Effective Market Hypothesis argues that the price of financial assets cannot be estimated by studying past price indices and other studies on assets.

PDF

___

Agrawal A. and Tandon K. (1994). Anomalies of illusions? Evidence from stock markets in eighteen countries, Journal of International Money and Finance, 13, pp.83-106.
Aksu M.H. ve Önder T. (2003). The Size and Book-To-Market Effects and Their Role as Risk Proxies in the Istanbul Stock Exchange, Working Paper, EFMA 2000 Athens; Koc University, Gratuate School of Business, 2000-04, İstanbul.
Awad, I. and Daraghma Z. (2009). Testing the Weak-Form Efficiency of the Palestinian Securities, International Research Journal of Finance and Economics, Issue 32; pp.7-17.
Aydın N., Başar M. Ve Coşkun M. (2010). Finansal Yönetim, Detay Yayıncılık: Ankara.
Bachelier L. (1901). Theorie mathematique du jeu. Annales Scientifiques de l’Ecole Normale Superieure 18, pp.143–210.
Balaban, E. (1995). Informational Efficiency of the Istanbul Securities Exchange and Some Rationale for Public Regulation. The Central Bank of the Republic of Turkey, Discussion Paper No: 9502, pp.1-27.
Banz, R.W. (1981). The Relationship Between return and Market Value Of Common Stock , Journal of Financial Economics, 9(1).
Barnes P. (2016). Stock Market Efficiency Insider Dealing and Market Abuse, Routledge: London, pp.3-4.
Barone R. (2003). From Efficient Markets to Behavioral Finance, December 2003. University of Lecce Economics Working Paper No. 46/24.
Basu S. (1977). Investment Porformance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis, The Journal of Finance, 32 (3), pp.663-682.
Bildik R. (2000). Hisse Senedi Piyasalarında Dönemsellikler ve İMKB Üzerine Ampirik Bir Çalışma, İMKB Yayınları, İstanbul.
Bircan H. ve Karagöz Y. (2003). Box-Jenkıns Modelleri ile Aylık Döviz Kuru Tahmini Üzerine Bir Uygulama, Kocaeli Üniversitesi Sosyal Bilimler Enstitüsü Dergisi (6) 2003/2, ss.49-62.
Bloomfield, Robert. Traditional vs. Behavioral Finance. Johnson School Research Paper Series, 2010, 22-2010.P.4. Available at: http://ssrn.com/abstract=1596888
Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics Volume 31, Issue 3, April 1986, Pages 307-327
Brav, Alon; HEATON, John B. Competing Theories of Financial Anomalies. Review of Financial Studies, 2002, 15 (2). p.575.
Brealey R.B., Myers S.C., Allen F. and Mohanty P. (2014). Principles of Corporate Finance, 11e. Mc Graw Hill.
Carnot N., Koen V. and Tissot B. (2005). Economic Forecasting. New York: Palgrave Macmillan. Çevik E. İ. ve Erdoğan S. (2011). Bankacılık Sektörü Hisse Senedi Piyasasının Etkinliği: Yapısal Kırılma ve Güçlü Hafıza. Doğuş Üniversitesi Dergisi, 10 (1), ss.26-40.
Çinko M. (2008). İstanbul Menkul Kıymetler Borsasında Ocak Ayı Etkisi, Doğuş Üniversitesi Dergisi, 9 (1), ss.47-54.
Demireli E., Akkaya, G.C., İbaş E. (2010). Finansal Piyasa Etkinliği: S&P 500 Üzerine Bir Uygulama, C.Ü. İktisadi Ve İdari Bilimler Dergisi, Cilt 11, Sayı 2.
Deng M. (2007). Death of the Efficient Market Hypothesis, 20th Australasian Finance & Banking Conference 2007.
Dickey D.A. and Fuller W.A. (1979). Distribution of the Estimators for Autoregressive Time-Series with a Unit Root. Journal of the American Statistical Association, 74(366), pp. 427-431.
Eken M.H. ve Adalı S. (2008). Piyasa Etkinliği ve İMKB: Zayıf Formda Etkinliğe İlişkin Ekonometrik Bir Analiz, Mufad Journal, Sayı 37.
Enders W. (2014). Applied Econometric Time Series, Iowa State University, John Wiley&Sons Inc. pp.239-240.
Fama F.E. (1965). “Random Walks in Stock Prices “, Financial Analyst Journal , Vol.21 , No 5.
Fama F.E. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), pp.383-417.
Frimpong J.M. (2008).Capital Market Efficiency: An Analysis of Weak-form Efficiency on the Ghana Stock ExchangeJournal of Money, Investment and Banking ISSN 1450-288X Issue 5 Goodman D.A. and Peavy J.W. (1983). Industry Relative Price-Earning sRatio as Indicators of Investment Returns, Financial Analysis Journal. 39(4), pp.60-66.
Gujerati D. (2016). Örneklerle Ekonometri, 2. Edisyondan Çeviri. Palgraw Mc Millan, BB10. s.321. Hanedar Ö. (2019) Durağanlık Analizi, Birim Kök Testleri ve Trend, http://debis.deu.edu.tr/userweb//onder.hanedar/dosyalar/Metin.pdf. Son erişim:12-01-2019
Harder S. (2008). The Efficient Market Hypothesis and Its Application to Stock Markets. Grin Verlag: Germany, p.5.
Harvey C.R. (1993). Predictable Risk And Returns in Emerging Markets, NBER Working Paper Series, Working Paper 4621.
Haugen R.A. ve Lakonishok J. (1988). The Incredible January Effect. Homewood: Dow Jones Irwin.
Hinich, M.J. and Patterson, D.M. (1995) Detecting epochs of transient dependence in white noise. Mimeo. University of Texas at Austin.
Jaffe J. and Westerfield R. (1985). The Week-End Effect in Common Stock Returns: The International Evidence, The Journal of Finance Vol. 40, No. 2 (June 1985), pp. 433-454.
Кантолинский, М. И. Аномалии Нафондовых Рынках: Определение И Классификация. Вестник, 2010, стр. 26-27. URL: http://www.fa.ru/university/Documents/2-2010.pdf#page=25
Kapetanios G., Shin, Y. and Snell, A. (2003) Testing For a Unit Root in the Nonlinear STAR Framework. Journal of Econometrics, Vol 112 (2), pp. 359–379.
Kartašova J. and Vicoskaitė I. (2013). Financial Market Anomalies: Efficient Market Non-existence Evidence KSI, Transactions on Knowledgesociety, Volume 6, Number 4, December 2013.
Kasman A. ve Kırkulak B. (2007). Türk Hisse Senedi Piyasası Etkin mi? Yapısal Kırılmalı Birim Kök Testlerinin Uygulanması. İktisat İşletme ve Finans, ss. 68-78.
Keim D.B. (1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics, Volume 12, Issue 1, June 1983, pp.13-32.
Kendall M.G. (1953). The Analysis of Economic Time series, Part 1. Prices, “Journal of the Royal Statistical Society 96, pp.11-25.
Kılıç Y. ve Buğan, M. F. (2016). The Efficient Market Hypothesis: Evidence from Turkey. International Journal of Academic Research in Business and Social Sciences, 6(10), 262-272.
Kıyılar M. ve Akkaya M. (2016). Davranışsal Finans. Literatür Yayıncılık, İstanbul, ss.64-65.
Kian-Ping L., Liew Sen V.K. and Wong Hock T. (2003). Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies: The Case of the Kuala Lumpur Stock Exchange, Finance 0312012, EconWPA; pp.2-26.
Kratz, Oliver S.(1999) Frontier Emerging Equity Markets Securities Price Behavior and Valuation, Kluwe Academic Publishers.America.S.20
Kruse R. (2011). A New Unit Root Test Against ESTAR Based On A Class of Modified Statistics. Statistical Papers, Vol 52 (1), pp. 71–85.
Kurt Cihangir Ç. ve Uğurlu E. (2017). Altın Piyasasında Asimetrik Oynaklık: Türkiye İçin Model Önerisi Sayfa 284-299 Journal of Business Research-Turk Cilt 9, Sayı 3. DOI: 10.20491/isarder.2017.300.
Ma, S., Barnes, M.L., 2001. Are China’s stock markets really weak-form efficient? Discussion Paper No 0119, Adelaide University.
Malkiel, B.M (1994). Finance. Efficient Market Hypothesis. Edited by: Eatwell, J.,Milgate,M. &Newman,P. Finance kitabı içerisinde. The Mac Millan Press Limited P.127
Özarı Ç. (2013). Ekonometri, Editör: Ömer Yılmaz ve Nihat Işık, Elma Basım: İstanbul.
Peter C. B. and Phillips, Perron P. (1988). Testing for a Unit Root in Time Series Regression, Biometrika, Number: 75, pp. 335-346.
Samuelson, P. (1965) Proof That Properly Anticipated Prices Fluctuate Randomly. Industrial Management Review Spring, 6, 41-49.
Santos, Ana C. Behavioural and experimental economics: are they really transforming economics? Cambridge journal of economics, 2011, 35 (4): p. 706-707.
Shiguang M.A. and Barnes M.L. (2004). Are China’s Stock Markets Really Weakform Efficient, CIES Discuission Paper No:119.
Smirlock M. and Starks L. (1986), Day-of-the-week and intraday effects in stock returns, Journal of Financial Economics, Volume 17, Issue 1, September 1986, pp.197-210.
Szyszka, Adam. From the Efficient Market Hypothesis to Behavioral Finance: How Investors' Psychology Changes the Vision of Financial Markets. November 17, 2007. Available at: http://ssrn.com/abstract=1266862
Taner T. ve Kayalıdere K. (2002). 1995-2000 Döneminde İMKB’de Anomali Araştırması, Yönetim ve Ekonomi, 9 (1).
Thaler R., Russell T. (1987). The Relevance of Quasi-Rationality in Competitive Markets. American Economic Review. 77-3, pp.499-501.
Turaboğlu T.T. ve Topaloğlu T.N. (2017). Bir Etkin Piyasa Hipotezi Kavramı Olarak Anomaliler: Borsa İstanbul (BİST) Üzerinden Aylara İlişkin Anomalilere Yönelik Bir Araştırma, Ç.Ü. Sosyal Bilimler Enstitüsü Dergisi, Cilt 26, Sayı 1, ss.216-230.
Ugurlu E., Thalassinos E., Yusuf M., & Ugurlu, E. (2014). Modeling Volatility in the Stock Markets using GARCH Models: European Emerging Economies and Turkey. International Journal in Economics and Business Administration, 72-87.
Uğurlu E., (2014). Modelling Volatility: Evidence form the Bucharest Stock Exchange. Journal of Applied Economic Sciences, 9 (4), pp. 718-726.
Yıldırım N. (2004). Firma Büyüklüğü ve Defter Değeri-Piyasa Değeri Etkileri: İMKB Örneği, İMKB Dergisi, 8 (31), ss.1-19.
Zeren F., Kara H. ve Arı A. (2013). Piyasa Etkinliği Hipotezi: İMKB İçin Ampirik Bir Analiz Dumlupınar Üniversitesi Sosyal Bilimler Dergisi, Sayı 36, Nisan 2013.
Zivot E. and Wang J. (2006). Modeling Financial Time Series with S-PLUS, Springer. s.127.
www.myistatistik.com/metodoloji/birim-kok/ Son erişim:12-01-2019
http://www.real-statistics.com/time-series-analysis/stochastic-processes/dickey-fuller-test/. Son erişim:12-01-2019