Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi

Bu çalışmada Borsa İstanbul endekslerinde (BIST 100, Sınai ve Mali) Adaptif Piyasa Hipotezinin geçerli olup olmadığı günlük veriler kullanılarak incelenmiştir. Çalışmada günlük getiri verileri, iki yıllık alt örneklere ayrılmış ve hisse senedi getirilerinin öngörülebilirliğinin zaman içinde nasıl değiştiğini belirlemek için doğrusal ve doğrusal olmayan testler uygulanmıştır. Otokorelasyon ve runs testlerinden elde edilen sonuçlar, genellikle 3 endeksin etkin ve etkin olmayan dönemler arasında geçiş yaptığını ve dolayısıyla piyasaların Adaptif Piyasa Hipotezi ile uyumlu olduğunu ortaya koymuştur. Varyans oranı testi ile doğrusal olmayan testlerin sonuçları ise hisse senedi getirilerinin tahmin edilebilir olduğunu dolayısıyla piyasaların etkin olmadığını göstermiştir.

Anahtar Kelimeler:

Adaptif Piyasa Hipotezi, Doğrusal Testler, Doğrusal Olmayan Testler, Borsa İstanbul

Testing the Validity of Adaptive Market Hypothesis in Borsa Istanbul Indices

In this study, whether the Adaptive Market Hypothesis is valid in Borsa Istanbul indices (BIST 100, Industrial and Financial) is examined by using daily data. Daily return data were divided into two-year subsamples and linear and nonlinear tests were applied to determine how the stock returns’ independence changed over time. The results autocorrelation and runs tests showed that the efficiency of each market varied within the sub-periods and therefore the markets were consistent with the Adaptive Market Hypothesis. The results of the variance ratio test and nonlinear tests showed that stock returns are predictable and therefore the markets are inefficient.

Keywords:

Adaptive Market Hypothesis, Linear Tests, Nonlinear Tests, Borsa Istanbul,

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