Publication: Etkin pazar kuramı ve İstanbul Menkul Kıymetler Borsası’nın zayıf formda etkinliğinin test edilmesi
Abstract
Pazar etkinliği kavramı ve hisse senedi fiyatlarını etkileyen faktörler, modern portföy teorisinin kabul görmeye başladığı yıllardan itibaren çok sayıda araştırmacının ilgisini çekmektedir. Bu dönemde ortaya atılan etkin pazar kuramına göre, hisse senedi fiyatları, geçmiş fiyat bilgilerini, herkes tarafından ulaşılabilir nitelikte olan kamuya açık bilgileri ve kamuya açık olmayan özel bilgileri yansıtır. Dolayısıyla yatırımcıların, teknik analiz, temel analiz ya da içerden bilgi edinme (insider trading) gibi yöntemlerle piyasa ortalamasının üzerinde kar elde edebilmeleri mümkün değildir. Teoriye göre hisse senedi getirilerinin önceden tahmin edilemeyeceği savunuluyorsa da pratikte hipotezin aksine getirilerin mevsimsel trendler gösterdiği, belirli zaman dilimlerinde hisse senetlerinin düzenli olarak pozitif ya da negatif getiri sağladığı gözlenmiş, getirilerin öngörülebilirliği kanıtlanmıştır. Hipoteze ters düşen bu gibi durumlar piyasa anomalileri şeklinde anılmaktadır. Bu çalışmanın amacı etkin pazar kuramını teorik ve deneysel açıdan ele alarak İMKB'nin zayıf formda etkinliğinin test edilmesidir. Çalışmada öncelikle etkinlik kavramı ve fiyat oluşum sürecini açıklayan modellere değinilmiş ve etkin pazar kuramının temel ilkeleri ortaya konmuştur. Hipotez, teknik analiz, temel analiz ve portföy yönetimi açısından ele alındıktan sonra, piyasada gözlenen anomaliler ve olası nedenleri açıklanmıştır. Son bölümde ise İMKB Ulusal 30 endeksini oluşturan hisse senedi getirileri regresyona tabi tutularak İstanbul Menkul Kıymetler Borsası'nın zayıf formda etkinliği test edilmiştir. Regresyon analizi sonucunda elde edilen katsayılar, zayıf formda etkinlik hipotezinin söz konusu endeks için geçerli olmadığını kanıtlar niteliktedir. BUKET PELİN KELES
After the acception of modern portfolio theory, most researchers focused on the concept of market efficiency and the factors affecting the security price movements. Accordig to the theory of market efficiency which has been put forward during these period, the past price information together with the data readily available to the public and the insider information are fully reflected by the security prices. As a result it becomes impossible for any investor to gain excess return over investments by using such strategies as technical and fundamental analysis or insider trading. Although the theory suggests that the security prices can not be foreseen, it has been observed in practice that, the prices tend to move in accordance with some seasonal patterns and securities tend to yield regularly positive or negative returns at definite time zones. Such cases contradicting the market efficiency theory are generally called as market anomalies. The main aim of this study is to handle the theory of efficient markets both in theoretical end empirical aspects and to test the weak form efficiency of Istanbul Stock Exchange. In the first chapter, fundamentals of the efficient market theory are explained together with the models which are the testable implications of the theory. In this chapter the hypothesis is also evaluated from the perspective of technical and fundamental analysis and portfolio management. Market anomalies and their probable reasons are analyzed in the second chapter. In the third chapter, the weak form efficiency of ISE is examined by using regression analysis. The returns of the securities included in İMKB 30 index constitute the data and the resulting regression coefficients reveal the fact that weak form efficiency can not be observed in Istanbul Stock Exchange.
After the acception of modern portfolio theory, most researchers focused on the concept of market efficiency and the factors affecting the security price movements. Accordig to the theory of market efficiency which has been put forward during these period, the past price information together with the data readily available to the public and the insider information are fully reflected by the security prices. As a result it becomes impossible for any investor to gain excess return over investments by using such strategies as technical and fundamental analysis or insider trading. Although the theory suggests that the security prices can not be foreseen, it has been observed in practice that, the prices tend to move in accordance with some seasonal patterns and securities tend to yield regularly positive or negative returns at definite time zones. Such cases contradicting the market efficiency theory are generally called as market anomalies. The main aim of this study is to handle the theory of efficient markets both in theoretical end empirical aspects and to test the weak form efficiency of Istanbul Stock Exchange. In the first chapter, fundamentals of the efficient market theory are explained together with the models which are the testable implications of the theory. In this chapter the hypothesis is also evaluated from the perspective of technical and fundamental analysis and portfolio management. Market anomalies and their probable reasons are analyzed in the second chapter. In the third chapter, the weak form efficiency of ISE is examined by using regression analysis. The returns of the securities included in İMKB 30 index constitute the data and the resulting regression coefficients reveal the fact that weak form efficiency can not be observed in Istanbul Stock Exchange.