Multi-Scale Sample Entropy Analysis of the Turkish Stock Market Efficiency

Serkan Alkan

Makale detayları

Multi-Scale Sample Entropy Analysis of the Turkish Stock Market Efficiency

Yazarlar:

Serkan Alkan

Yayıncı:

Eskişehir Osmangazi University

Ana Başlıklar:

İstatistik

Dergi:

Nicel Bilimler Dergisi Vol.5 Issue 1, pp.51-63

Belge Tipi:

Makale

Yayın Tarihi:

6/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001287887

pISSN:

2667-8993

Anahtar kelimeler:

Özet:

 This study evaluates the market efficiency of the market index and five main sector indices in the Turkish stock market: BIST 100 XU100, BIST Industrials XUSIN, BIST Services XUHIZ, BIST Transportation XULAS, BIST Financials XUMAL, and BIST Technology XUTEK for the pre-and post-COVID-19 pandemic, covering the period from January 2017 to July 2022. Market efficiency is calculated using a multiscale entropy-based method for the scales of 1 to 20 business days. Entropy can yield a relative degree of efficiency, by contrast with previous methods that dealt with the efficiency question in all-or-nothing form. On a daily scale, during the pre-COVID-19 pandemic period, the XUHIZ, XU100 and XULAS indices exhibit the highest efficiency. However, in the post-COVID-19 pandemic period, the XUMAL and XU100 indices demonstrate the highest efficiency. The findings suggest that the efficiency of all indices has declined due to the COVID-19 pandemic, with the XULAS index showing the most significant decrease in informational efficiency. A general tendency of reduced informational efficiency levels is found as the time scale increases in both periods. Therefore, the indices are partially efficient for certain time scales, indicating that they are not fully efficient.

 This study evaluates the market efficiency of the market index and five main sector indices in the Turkish stock market: BIST 100 XU100, BIST Industrials XUSIN, BIST Services XUHIZ, BIST Transportation XULAS, BIST Financials XUMAL, and BIST Technology XUTEK for the pre-and post-COVID-19 pandemic, covering the period from January 2017 to July 2022. Market efficiency is calculated using a multiscale entropy-based method for the scales of 1 to 20 business days. Entropy can yield a relative degree of efficiency, by contrast with previous methods that dealt with the efficiency question in all-or-nothing form. On a daily scale, during the pre-COVID-19 pandemic period, the XUHIZ, XU100 and XULAS indices exhibit the highest efficiency. However, in the post-COVID-19 pandemic period, the XUMAL and XU100 indices demonstrate the highest efficiency. The findings suggest that the efficiency of all indices has declined due to the COVID-19 pandemic, with the XULAS index showing the most significant decrease in informational efficiency. A general tendency of reduced informational efficiency levels is found as the time scale increases in both periods. Therefore, the indices are partially efficient for certain time scales, indicating that they are not fully efficient.

 This study evaluates the market efficiency of the market index and five main sector indices in the Turkish stock market: BIST 100 XU100, BIST Industrials XUSIN, BIST Services XUHIZ, BIST Transportation XULAS, BIST Financials XUMAL, and BIST Technology XUTEK for the pre-and post-COVID-19 pandemic, covering the period from January 2017 to July 2022. Market efficiency is calculated using a multiscale entropy-based method for the scales of 1 to 20 business days. Entropy can yield a relative degree of efficiency, by contrast with previous methods that dealt with the efficiency question in all-or-nothing form. On a daily scale, during the pre-COVID-19 pandemic period, the XUHIZ, XU100 and XULAS indices exhibit the highest efficiency. However, in the post-COVID-19 pandemic period, the XUMAL and XU100 indices demonstrate the highest efficiency. The findings suggest that the efficiency of all indices has declined due to the COVID-19 pandemic, with the XULAS index showing the most significant decrease in informational efficiency. A general tendency of reduced informational efficiency levels is found as the time scale increases in both periods. Therefore, the indices are partially efficient for certain time scales, indicating that they are not fully efficient.

 Bu çalışma, Türkiye borsasında piyasa endeksi ve beş ana sektör endeksinin piyasa etkinliğini değerlendirmektedir. Çalışmada kullanılan endeksler sırasıyla BIST 100 XU100, BIST Sinai XUSIN, BIST Hizmetler XUHIZ, BIST Ulastırma XULAS, BIST Mali XUMAL, BIST Teknoloji XUTEK olup, calışma dönemi 012017-072022 tarihleri arasını kapsamaktadır. Veri seti iki ayrı döneme ayrılmış olup, çalışmada COVID-19 pandemisi öncesi ve sonrası için piyasa etkinliği arastırılmıştır. Piyasa etkinliği, 1 ila 20 işlem günü arasındaki ölçekler için çok ölçekli entropi yaklasımlı bir yöntemle hesaplanmaktadır. Entropi, piyasa etkinliği problemini ya hep ya hiç biçiminde ele alan önceki yöntemlerin aksine, göreceli bir etkinlik derecesi sağlayabilmektedir. Günlük ölçekte piyasa etkinliği tahmin edildiğinde, COVID-19 pandemi öncesi dönemde en yüksek etkinliğe XUHIZ, XU100 ve XULAS endeksleri sahipken, COVID-19 pandemi sonrası dönemde XUMAL ve XU100 endeksleri en yüksek etkinliğe sahip olduğu tespit edilmiştir. Sonuclar, COVID-19 salgını nedeniyle tüm endekslerin etkinliğinin düştüğünü ve XULAS endeksinin bilgi etkinliginin en fazla düşüşe sahip oldugunu göstermektedir. Her iki periyotta da zaman ölçeği arttıkça bilgi etkinligi seviyelerine ilişkin genel bir azalma eğilimi bulgulanmıştır. Bu nedenle, endeksler belirli zaman ölçekleri için tam olarak etkin olmayıp kısmi etkinliğe sahiptir.

Makale detayları

Multi-Scale Sample Entropy Analysis of the Turkish Stock Market Efficiency

Yazarlar:

Serkan Alkan

Yayıncı:

Eskişehir Osmangazi University

Ana Başlıklar:

İstatistik

Dergi:

Nicel Bilimler Dergisi Vol.5 Issue 1, pp.51-63

Belge Tipi:

Makale

Yayın Tarihi:

6/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001287887

pISSN:

2667-8993

Sample Entropy

Market efficiency

COVID-19

Borsa İstanbulSample Entropi

Piyasa etkinliği

COVID-19

Borsa İstanbu

Sayı

Makale detayları

Yazarlar: Serkan Alkan

Yayıncı: Eskişehir Osmangazi University

Ana Başlıklar: İstatistik

Dergi: Nicel Bilimler Dergisi Vol.5 Issue 1, pp.51-63

Belge Tipi: Makale

Yayın Tarihi: 6/2023

Belge Dili: İngilizce

Document ID (Org No.): 2001287887

pISSN: 2667-8993

Sayı

Yazarlar:

Serkan Alkan

Yayıncı:

Eskişehir Osmangazi University

Ana Başlıklar:

İstatistik

Dergi:

Nicel Bilimler Dergisi Vol.5 Issue 1, pp.51-63

Belge Tipi:

Makale

Yayın Tarihi:

6/2023

Belge Dili:

İngilizce

Document ID (Org No.):

2001287887

pISSN:

2667-8993