Abdullah AÇIK, Esra BARAN, İlke Sezin AYAZ

ETKİN PİYASA HİPOTEZİNİN TEST EDİLMESİ: KONTEYNER TAŞIMACILIĞI YAPAN FİRMALARIN PAY SENETLERİ ÜZERİNE BİR ARAŞTIRMA)

Bu çalışmanın amacı, dünyada ilk 10’a giren ve hisse değerlerine ulaşılabilen düzenli hat taşımacılığı yapan 8 şirketin hisse değerlerinde etkin piyasa hipotezinin geçerli olup olmadığının tespit edilmesidir. Bu doğrultuda, zayıf formda etkin piyasa hipotezinin test edilmesi için nadiren kullanılan ve güncel bir yöntem olan Brock, Dechert ve Scheinkman (BDS) testi kullanılmaktadır. Çalışmada kullanılan veri seti haftalık bazda 400 gözlemden oluşmaktadır ve 5 Kasım 2010 ve 10 Temmuz 2018 tarihleri arasını kapsamaktadır. Araştırmanın sonucuna göre tüm düzenli hat taşımacılığı şirketlerinin hisse değerlerinde zayıf formda etkin piyasa hipotezi geçerli değildir. Bu sonuç şirketlerin hisse değerlerinin geçmiş değerleriyle bağlantılı olduğunu göstermektedir. Bu sonuçlar, bu hisse senetleriyle geçmiş veriler kullanılarak ve ticari stratejiler geliştirilerek olağanüstü karlar elde edilebilmesinin mümkün olduğunu göstermektedir.

Anahtar Kelimeler:

Etkin piyasa hipotezi, konteyner şirketleri, hisse değerleri, BDS testi

TESTING THE EFFICIENT MARKET HYPOTHESIS: A RESEARCH ON STOCKS OF CONTAINER SHIPPING COMPANIES

The aim of this study is to determine whether the efficient market hypothesis is valid in the stock prices of the 8 liner shipping companies that are placed in the top 10 in the world. In this respect, Brock, Dechert and Scheinkman (BDS) test, which is rarely used and up-to-date method, is used to test the efficient market hypothesis in the weak form. The data set used in this study consists of 400 observations on a weekly basis and covers the period between 5 November 2010 and 10 July 2018. According to the results of the study, efficient market hypothesis in the weak form is not valid in the stock prices of all liner shipping companies. This result shows that the stock prices of the companies are related to their historical prices and it is possible to obtain excess profits by using historical data of the stocks and by developing commercial strategies.

Keywords:

Efficient market hypothesis, container companies, stock values, BDS test,

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