ANALYSIS OF THE EFFICIENT MARKET HYPOTHESIS IN THE EXCHANGE RATE MARKET IN TURKEY WITH LONG MEMORY MODELS

Yunus Karaömer

Makale detayları

ANALYSIS OF THE EFFICIENT MARKET HYPOTHESIS IN THE EXCHANGE RATE MARKET IN TURKEY WITH LONG MEMORY MODELS

Yazarlar:

Yunus Karaömer

Yayıncı:

Istanbul Ticaret University

Ana Başlıklar:

Finansal Ekonomi

Dergi:

İstanbul Ticaret Üniversitesi Dış Ticaret Dergisi Vol.1 Issue 3, pp.13-21

Belge Tipi:

Makale

Yayın Tarihi:

9/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001299316

pISSN:

2980-2199

Anahtar kelimeler:

Özet:

 The aim of this study is to investigate the validity of the efficient market hypothesis in the exchange rate market, which includes the values of currency units such as the US dollar, euro, British pound, and Chinese yuan against the Turkish lira. The review period has been determined to cover the period between 03.01.2013 and 01.02.2023 at daily frequency. In this study, two different methods, Geweke and Porter-Hudak GPH 1983 and Gaussian Semi-Parametric GSP 1999, are used to detect long memory in the exchange rate market. As a result of the analysis, it was determined that the exchange rate returns exhibit long memory characteristics and questioned the absolute accuracy of the efficient market hypothesis. This finding supports that past price movements in the exchange rate market can be used to predict future prices, thus indicating the existence of long memory.

 The aim of this study is to investigate the validity of the efficient market hypothesis in the exchange rate market, which includes the values of currency units such as the US dollar, euro, British pound, and Chinese yuan against the Turkish lira. The review period has been determined to cover the period between 03.01.2013 and 01.02.2023 at daily frequency. In this study, two different methods, Geweke and Porter-Hudak GPH 1983 and Gaussian Semi-Parametric GSP 1999, are used to detect long memory in the exchange rate market. As a result of the analysis, it was determined that the exchange rate returns exhibit long memory characteristics and questioned the absolute accuracy of the efficient market hypothesis. This finding supports that past price movements in the exchange rate market can be used to predict future prices, thus indicating the existence of long memory.

 The aim of this study is to investigate the validity of the efficient market hypothesis in the exchange rate market, which includes the values of currency units such as the US dollar, euro, British pound, and Chinese yuan against the Turkish lira. The review period has been determined to cover the period between 03.01.2013 and 01.02.2023 at daily frequency. In this study, two different methods, Geweke and Porter-Hudak GPH 1983 and Gaussian Semi-Parametric GSP 1999, are used to detect long memory in the exchange rate market. As a result of the analysis, it was determined that the exchange rate returns exhibit long memory characteristics and questioned the absolute accuracy of the efficient market hypothesis. This finding supports that past price movements in the exchange rate market can be used to predict future prices, thus indicating the existence of long memory.

 Bu çalışmanın amacı, Türk lirası karşısında Amerikan doları, Euro, İngiliz sterlini ve Çin yuanı gibi döviz birimlerinin değerlerini içeren döviz kuru piyasasında etkin piyasa hipotezinin geçerliliğini araştırmaktır. İnceleme dönemi, günlük frekansta 03.01.2013 ile 01.02.2023 tarihleri arasındaki süreci kapsayacak şekilde belirlenmiştir. Bu çalışmada, döviz kuru piyasasında uzun hafızayı tespit etmek için Geweke ve Porter-Hudak GPH 1983 ve Gaussian Yarı Parametrik GSP 1999 olmak üzere iki farklı yöntem kullanılmıştır. Yapılan analiz sonucunda, döviz kuru getirilerinin uzun hafıza özelliği sergilediği tespit edilmiştir ve etkin piyasa hipotezinin mutlak doğruluğunu sorgulamıştır. Bu bulgu, döviz kuru piyasasında geçmiş fiyat hareketlerinin gelecekteki fiyatları tahmin etmede kullanılabileceğini ve dolayısıyla uzun hafızanın varlığını gösterdiğini desteklemektedir.

Makale detayları

ANALYSIS OF THE EFFICIENT MARKET HYPOTHESIS IN THE EXCHANGE RATE MARKET IN TURKEY WITH LONG MEMORY MODELS

Yazarlar:

Yunus Karaömer

Yayıncı:

Istanbul Ticaret University

Ana Başlıklar:

Finansal Ekonomi

Dergi:

İstanbul Ticaret Üniversitesi Dış Ticaret Dergisi Vol.1 Issue 3, pp.13-21

Belge Tipi:

Makale

Yayın Tarihi:

9/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001299316

pISSN:

2980-2199

Exchange Rate

Efficient Market Hypothesis

Long MemoryDöviz Kuru

Etkin Piyasa Hipotezi

Uzun Hafıza

Sayı

Makale detayları

ANALYSIS OF THE EFFICIENT MARKET HYPOTHESIS IN THE EXCHANGE RATE MARKET IN TURKEY WITH LONG MEMORY MODELS

Yazarlar: Yunus Karaömer

Yayıncı: Istanbul Ticaret University

Ana Başlıklar: Finansal Ekonomi

Dergi: İstanbul Ticaret Üniversitesi Dış Ticaret Dergisi Vol.1 Issue 3, pp.13-21

Belge Tipi: Makale

Yayın Tarihi: 9/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001299316

pISSN: 2980-2199

Exchange Rate

Efficient Market Hypothesis

Long MemoryDöviz Kuru

Etkin Piyasa Hipotezi

Uzun Hafıza

Sayı

Yazarlar:

Yunus Karaömer

Yayıncı:

Istanbul Ticaret University

Ana Başlıklar:

Finansal Ekonomi

Dergi:

İstanbul Ticaret Üniversitesi Dış Ticaret Dergisi Vol.1 Issue 3, pp.13-21

Belge Tipi:

Makale

Yayın Tarihi:

9/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001299316

pISSN:

2980-2199