Journal of Yaşar University

Journal of Yaşar University

Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi

Yazarlar: Kemal EYÜBOĞLU, Sinem EYÜBOĞLU

Cilt 15 , Sayı 59 , 2020 , Sayfalar 642 - 654

Konular:-

DOI:10.19168/jyasar.633351

Anahtar Kelimeler:Adaptive Market Hypothesis,Linear Tests,Nonlinear Tests,Borsa Istanbul

Özet: 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.

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@article{2020, title={Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi}, volume={15}, number={642–654}, publisher={Journal of Yaşar University}, author={Kemal EYÜBOĞLU,Sinem EYÜBOĞLU}, year={2020} }
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Kemal EYÜBOĞLU,Sinem EYÜBOĞLU. (2020). Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi (Vol. 15). Vol. 15. Journal of Yaşar University.
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Kemal EYÜBOĞLU,Sinem EYÜBOĞLU. Borsa İstanbul Endekslerinde Adaptif Piyasa Hipotezinin Geçerliliğinin Test Edilmesi. no. 642–654, Journal of Yaşar University, 2020.
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