ANALYSIS OF EFFICENT MARKETS HYPOTHESIS IN SHARE MARKET WITH LONG MEMORY MODELS

Safure Günbay Yilmaz; İbrahim Karaaslan

Makale detayları

ANALYSIS OF EFFICENT MARKETS HYPOTHESIS IN SHARE MARKET WITH LONG MEMORY MODELS

Yazarlar:

Safure Günbay Yilmaz | İbrahim Karaaslan

Yayıncı:

Karamanoglu Mehmetbey University

Ana Başlıklar:

Finansal Ekonomi

Dergi:

Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi Vol.27 Issue 49, pp.611-627

Belge Tipi:

Makale

Yayın Tarihi:

8/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001356453

pISSN:

2147-7833

Anahtar kelimeler:

Özet:

 The COVID-19 pandemic has precipitated significant alterations not only in global lifestyles and daily routines but also in investment behaviors. This study aims to test the validity of the efficient markets hypothesis in the indices in Borsa Istanbul during the COVID-19 pandemic and the period when the pandemic effects on the countrys economies and individuals continued. The study involves analyzing the stationarity of the return series for these equity indexes using both traditional unit root tests ADF and PP and those considering structural breaks Zivot Andrews. Furthermore, the presence of the EMH was examined through the application of long memory models, employing methods such as Geweke and Porter-Hudak, Modified Log-Periodogram, and Robinson Gaussian Semi-Parametric. The findings reveal that the returns of BIST100, BIST50, BIST30, and BISTTUM indexes are non-stationary, do not exhibit mean reversion following shocks, and lack long memory characteristics. These results suggest that investors attempts to predict price movements of these indexes may be misleading, indicating that only weak-form efficiency could be argued for these indexes.

 The COVID-19 pandemic has precipitated significant alterations not only in global lifestyles and daily routines but also in investment behaviors. This study aims to test the validity of the efficient markets hypothesis in the indices in Borsa Istanbul during the COVID-19 pandemic and the period when the pandemic effects on the countrys economies and individuals continued. The study involves analyzing the stationarity of the return series for these equity indexes using both traditional unit root tests ADF and PP and those considering structural breaks Zivot Andrews. Furthermore, the presence of the EMH was examined through the application of long memory models, employing methods such as Geweke and Porter-Hudak, Modified Log-Periodogram, and Robinson Gaussian Semi-Parametric. The findings reveal that the returns of BIST100, BIST50, BIST30, and BISTTUM indexes are non-stationary, do not exhibit mean reversion following shocks, and lack long memory characteristics. These results suggest that investors attempts to predict price movements of these indexes may be misleading, indicating that only weak-form efficiency could be argued for these indexes.

 The COVID-19 pandemic has precipitated significant alterations not only in global lifestyles and daily routines but also in investment behaviors. This study aims to test the validity of the efficient markets hypothesis in the indices in Borsa Istanbul during the COVID-19 pandemic and the period when the pandemic effects on the countrys economies and individuals continued. The study involves analyzing the stationarity of the return series for these equity indexes using both traditional unit root tests ADF and PP and those considering structural breaks Zivot Andrews. Furthermore, the presence of the EMH was examined through the application of long memory models, employing methods such as Geweke and Porter-Hudak, Modified Log-Periodogram, and Robinson Gaussian Semi-Parametric. The findings reveal that the returns of BIST100, BIST50, BIST30, and BISTTUM indexes are non-stationary, do not exhibit mean reversion following shocks, and lack long memory characteristics. These results suggest that investors attempts to predict price movements of these indexes may be misleading, indicating that only weak-form efficiency could be argued for these indexes.

 Covid-19 pandemisi, dünya çapında insanların yaşam tarzları ve günlük rutinler üzerinde olduğu kadar yatırım davranışları üzerinde de önemli değişikliklere neden olmuştur. Bu çalışmanın amacı Covid-19 pandemi dönemi ve sonrasında ülke ekonomileri ve bireyleri üzerinde pandemi etkilerinin devam ettiği dönemde Borsa İstanbulda yer alan endekslerde etkin piyasalar hipotezinin geçerliliğinin test edilmesidir. Araştırma kapsamında, söz konusu pay senedi endekslerinin getiri serilerinin durağanlık durumu, hem geleneksel ADF ve PP hem de yapısal kırılmaları göz önünde bulunduran birim kök testleri Zivot Andrews aracılığıyla analiz edilmiştir. Ayrıca, Etkin Piyasa Hipotezinin varlığı, uzun hafıza modeli kullanılarak Geweke ve Porter-Hudak, Modifiye Edilmiş Log-Periodogram ve Robinson Gaussian Yarı Parametrik Yöntemlerle incelenmiştir. Araştırmanın sonuçları, BIST100, BIST50, BIST30 ve BISTTUM endekslerinin getirilerinin durağan olmadığını, şoklardan sonraki ortalamalarına dönüş eğilimi göstermediğini ve uzun hafıza özelliği taşımadığını ortaya koymaktadır. Bu bulgular, yatırımcıların bu endekslerin fiyat hareketlerini tahmin etme çabalarının yanıltıcı olabileceğine ve bu endekslerde zayıf formda etkinlikten bahsedilebileceğine işaret etmektedir.

Makale detayları

ANALYSIS OF EFFICENT MARKETS HYPOTHESIS IN SHARE MARKET WITH LONG MEMORY MODELS

Yazarlar:

Safure Günbay Yilmaz | İbrahim Karaaslan

Yayıncı:

Karamanoglu Mehmetbey University

Ana Başlıklar:

Finansal Ekonomi

Dergi:

Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi Vol.27 Issue 49, pp.611-627

Belge Tipi:

Makale

Yayın Tarihi:

8/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001356453

pISSN:

2147-7833

Efficient Markets Hypothesis

Borsa Istanbul

Covid-19

Long Memory ModelEtkin Piyasalar Hipotezi

Borsa İstanbul

Covid-19

Uzun Hafıza Modeli

Sayı

Makale detayları

Yazarlar: Safure Günbay Yilmaz | İbrahim Karaaslan

Yayıncı: Karamanoglu Mehmetbey University

Ana Başlıklar: Finansal Ekonomi

Dergi: Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi Vol.27 Issue 49, pp.611-627

Belge Tipi: Makale

Yayın Tarihi: 8/2025

Belge Dili: İngilizce

Document ID (Org No.): 2001356453

pISSN: 2147-7833

Sayı

Yazarlar:

Safure Günbay Yilmaz | İbrahim Karaaslan

Yayıncı:

Karamanoglu Mehmetbey University

Ana Başlıklar:

Finansal Ekonomi

Dergi:

Karamanoğlu Mehmetbey Üniversitesi Sosyal Ve Ekonomik Araştırmalar Dergisi Vol.27 Issue 49, pp.611-627

Belge Tipi:

Makale

Yayın Tarihi:

8/2025

Belge Dili:

İngilizce

Document ID (Org No.):

2001356453

pISSN:

2147-7833