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BORSA İSTANBUL VE ALT ENDEKSLERİNDE ZAYIF FORMDA PİYASA ETKİNLİĞİNİN ANALİZİ: FOURIER YAKLAŞIMI
2019
Journal:  
Akademik İncelemeler Dergisi
Author:  
DOI:  
10.17550/akademikincelemeler.556185
Abstract:

Bu çalışmanın amacı, BİST 100(Getiri) ve alt endekslerinde 30.06.2000-29.12.2017 dönemlerinde etkin piyasa hipotezinin geçerli olup olmadığını araştırmaktır. Bu amaçla zayıf formda piyasanın etkinliği birim kök testleri yardımıyla incelenmiştir. Bu aşamada geleneksel doğrusal birim kök testlerinden ve trigonometrik terimler yardımıyla yumuşak geçişlere izin veren Kwiatkowski-Phillips-Schmidt-Shin (KPSS) testinin Fourier uyarlamasından yararlanılmıştır. Elde edilen bulgulara göre, incelenen dönemde serilerin birim köklü olduğu saptanmıştır. Bu da ele alınan piyasalarda zayıf formda etkin piyasa hipotezinin geçerli olduğu anlamına gelmektedir.

Keywords:

BORSA İSTANBUL VE ALT ENDEKSLERİNDE ZAYIF FORMDA PİYASA ETKİNLİĞİNİN ANALİZİ: FOURIER YAKLAŞIMI
2019
Journal:  
Akademik İncelemeler Dergisi
Author:  
DOI:  
10.17550/akademikincelemeler.556185
Abstract:

The aim of this study is to investigate whether the effective market hypothesis is valid in the period 30.06.2000-29.12.2017 in BIST 100(Income) and sub-indices. For this purpose, the effectiveness of the market in weak form was studied with the help of unit root tests. At this stage, the Fourier adaptation of the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, which allows soft transitions with the help of traditional linear unit root tests and trigonometric terms, was used. According to the findings obtained, it has been found that the series were rooted in the period of study. This also means that the effective market hypothesis is valid in weak form in the markets addressed.

0
2019
Journal:  
Akademik İncelemeler Dergisi
Author:  
DOI:  
10.17550/akademikincelemeler.556185
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Akademik İncelemeler Dergisi

Field :   Güzel Sanatlar; İlahiyat; Sosyal, Beşeri ve İdari Bilimler

Journal Type :   Uluslararası

Metrics
Article : 447
Cite : 3.322
2023 Impact : 0.125
Details
Akademik İncelemeler Dergisi