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Amaç- Yatırımcıların rasyonel olduğu ve geçmiş fiyat hareketlerini kullanarak anormal getiri elde edemediği piyasalar etkin olarak kabul edilmektedir. Fama (1965,1970) etkin piyasa hipotezi ile piyasalara gelen yeni bilginin piyasalarda hemen yayılacağını ve bu bilginin menkul kıymet fiyatlarına anında yansıyacağını öne sürmektedir. Etkin piyasa hipotezi, finans literatüründe 1990’lı yıllara kadar kabul görmüş ve araştırmacılar tarafından yapılan birçok çalışma ile desteklenmiştir. 1990’lı yılların başlarından itibaren öne sürülen takvim anomalileri, davranışsal hata ve yanlılıklar, yatırımcıların rasyonel olmaması gibi iddialarla etkin piyasanın geçerliliği tartışmaya açık bir hale gelmiştir. Etkin piyasa hipotezinin geçerliliği son yıllarda piyasalara gelen şokların kalıcı etkisi ile de incelenmeye başlanmıştır. Piyasada meydana gelen bir şokun etkisinin kalıcı bir özellik göstermesi piyasanın zayıf formda etkin, şokun etkisinin geçici olması ise piyasanın zayıf formda etkin olmadığına işaret etmektedir. Bu doğrultuda bu çalışmada, Nisan 2003-Mayıs 2020 dönemi için BRICS-T ülke borsa endekslerinde meydana gelen şokların kalıcılık özelliği incelenmiştir. Yöntem- Çalışmada, ülke borsa endekslerinde meydana gelen kalıcı ve geçici şokları değerlendirmek için yatay kesit bağımlılığını dikkate alan ikinci nesil panel birim kök testlerinden yararlanılmıştır. Bu doğrultuda ülke borsa endeksleri, yapısal kırılmayı göz ardı eden SURADF ve yapısal kırılmaları dikkate alan Panel KPSS birim kök testleri aracılığıyla incelenmiştir. Bulgular- Yapısal kırılmayı göz ardı eden ampirik sonuçlara göre, Brezilya, Hindistan ve Türkiye borsalarının durağan olduğu, ancak Rusya, Çin ve Güney Afrika borsalarının durağan olmadığı tespit edilmiştir. Yapısal kırılmalı birim kök test sonuçları ise çalışmada incelenen borsa endekslerinin tamamının yapısal kırılmalarla birlikte durağan olduğunu göstermiştir. Sonuç- Endeks serilerinin durağanlığı, ülkelerde meydana gelen bir şokun endeksler üzerindeki etkisinin geçici olduğunu ve endeksin zaman içinde dengeye geleceğini fakat piyasa etkinliği açısından zayıf formda etkin olmadığına işaret etmektedir. Sonuç olarak bu ülkelerin piyasalarında faaliyet gösteren yatırımcıların geçmiş fiyat hareketlerini takip ederek karlı bir yatırım stratejisi geliştirebileceklerini göstermektedir.
Markets where investors are rational and where abnormal returns cannot be obtained by using past price movements are considered as efficient. Fama (1965, 1970) suggests that with the efficient market hypothesis, new information coming to the markets will be spread immediately in the markets and this information will be reflected in the securities prices instantly. The efficient market hypothesis has been accepted in the financial literature until the 1990s and has been supported by many studies by researchers. The validity of the efficient market has become open to debate with claims such as calendar anomalies, behavioral errors and biases, and investors are not being rational since the early 1990s. The validity of the efficient market hypothesis has started to be examined with the permanent effect of shocks occur on the markets in recent years. The fact that the impact of a shock occurring in the market shows a permanent feature indicates that the market is efficient in weak form and if the impact of the shock is transitory, the market is not efficient in weak form. Accordingly, in this study, the permanent property of shocks occurring in BRICS-T country stock indexes for the period of April 2003-May 2020 has been examined. Methodology- In the study, the second-generation panel unit root tests, which consider the cross-section dependency, were used to evaluate the permanent and transitory shocks in the country stock market indices. Accordingly, country stock market indexes were analyzed through SURADF, which ignores the structural break and Panel KPSS unit root tests, which take into account the structural break. Findings- According to empirical results that are ignoring the structural break, it is found that Brazil, India and Turkey stock markets are stationary, but Russia, China and South Africa stock markets are non-stationary. Structural break unit root test results showed that all stock market indexes examined in the study were stationary with structural breaks. The stationary of the stock index series indicates that the impact of a shock in the countries on the indices is transitory and the index will stabilize over time, but it is not efficient in weak form in terms of market efficiency. As a result, it shows that investors operating in the markets of these countries can develop a profitable investment strategy by following past price movements.
Purpose- Markets where investors are rational and where abnormal returns cannot be obtained by using past price movements are considered as efficient. Fama (1965, 1970) suggests that with the efficient market hypothesis, new information coming to the markets will be spread immediately in the markets and this information will be reflected in the securities prices instantly. The efficient market hypothesis has been accepted in the finance literature until the 1990s and has been supported by many studies by researchers. The validity of the efficient market has become open to debate with claims such as calendar anomalies, behavioral errors and biases, and investors not being rational since the early 1990s. The validity of the efficient market hypothesis has started to be examined with the permanent effect of shocks occur the markets in recent years. The fact that the impact of a shock occurring in the market shows a permanent feature indicates that the market is efficient in weak form and if the impact of the shock is transitory, the market is not efficient in weak form. Accordingly, in this study, the permanence property of shocks occurring in BRICS-T country stock indexes for the period of April 2003-May 2020 has been examined. Methodology- In the study, the second-generation panel unit root tests, which consider the cross-section dependency, were used to evaluate the permanent and transitory shocks in the country stock market indices. Accordingly, country stock market indexes were analyzed through SURADF, which ignores the structural break and Panel KPSS unit root tests, which take into account the structural break. Findings- According to empirical results which are ignore the structural break, it is found that Brazil, India and Turkey stock markets are stationary, but Russia, China and South Africa stock markets are non-stationary. Structural break unit root test results showed that all stock market indexes examined in the study were stationary with structural breaks. Conclusion- The stationary of the stock index series indicates that the impact of a shock in the countries on the indices is transitory and the index will stabilize over time, but it is not efficient in weak form in terms of market efficiency. As a result, it shows that investors operating in the markets of these countries can develop a profitable investment strategy by following past price movements.
Field : Sosyal, Beşeri ve İdari Bilimler
Journal Type : Ulusal
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