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Büyük küresel olayların Türkiye hisse senedi piyasasının etkinliği üzerindeki etkisi

Yıl 2022, Cilt: 15 Sayı: 2, 613 - 627, 31.12.2022
https://doi.org/10.17218/hititsbd.1207180

Öz

Piyasa etkinliği, birçok yatırımcı, politika yapıcı ve araştırmacı için büyük önem taşımaktadır. Onlara piyasa hakkında bilgi sağlar ve karar verme süreçlerinde yol gösterici olur. Bu nedenle yıllar boyunca çok sayıda araştırma yapılmıştır. Bununla birlikte, Dünya, son yıllarda, finansal piyasalar için büyük önem taşıyan hem doğrudan hem de dolaylı etkileri olan birçok önemli global olaya tanık oldu. 2008 Küresel Finansal Krizi ve COVID-19 salgını, Dünyanın yaşadığı önemli olaylar arasında gösterilmektedir. Geçmiş araştırmalar, her iki olayın hisse senedi piyasalarının etkinliği üzerindeki etkisinin ayrı çalışmalarda ele alındığını gösterse de hem büyük olayları içeren hem de borsa etkinliğinin bu dönemler arasında nasıl değiştiğini analiz eden çalışmalar yetersizdir. Bu çalışmanın amacı, Türk hisse senedi piyasasının zayıf formdaki etkinliğini ve zaman içinde nasıl geliştiğini analiz etmektir. Şubat 1988'den Eylül 2022'ye kadar uzanan bir gözlem aralığı kullanılarak piyasa etkinliğindeki değişiklikleri gözlemlemek için çalışmada 4 farklı veri seti bulunmaktadır. BIST100 Endeksi'nin aylık kapanış fiyatları hem geleneksel doğrusal yapıdaki Genişletilmiş Dickey-Fuller birim kök testi hem de 5 farklı doğrusal olmayan birim kök testleri kullanılarak analiz edilmiştir. Sonuçlar, farklı testlerin durağanlığı yakalamada farklı güçlere sahip olduğunu ve LNV testi ile birlikte Türkiye Hisse Senedi Piyasasının zayıf formda etkin bulunmadığını göstermektedir.

Kaynakça

  • Akgun, A. and Sahin, I. (2017). The testing of efficient market hypothesis in Borsa Istanbul. Annals Constantin Brancusi U. Targu Jiu, Letters & Soc. Sci. Series, 2, 35 - 48. Retrieved from: https://heinonline.org/HOL/LandingPage?handle=hein.journals/ancnbt2017&div=26&id=&page=
  • Aktan, C., Iren, P., and Omay, T. (2019). Market development and market efficiency: Evidence based on nonlinear panel unit root tests. The European Journal of Finance, 25(11), 979-993. doi: 10.1080/1351847X.2018.1560346
  • Aliyev, F. (2019). Testing market efficiency with nonlinear methods: Evidence from Borsa Istanbul. International Journal of Financial Studies, 7(2), 1-27. doi:10.3390/ijfs7020027
  • Balaban, E. (1995). Informational efficiency of the Istanbul Securities Exchange and some rationale for public regulation. The Central Bank of The Republic of Turkey Research Department Discussion Paper, 9502, 39-67. Retrieved from: https://core.ac.uk/download/pdf/7061411.pdf
  • Borges, M. R. (2010). Efficient market hypothesis in European stock markets. The European Journal of Finance, 16(7), 711-726. doi: 10.1080/1351847X.2010.495477
  • Brown, K. C., Harlow, W. V., and Tinic, S. M. (1988). Risk aversion, uncertain information, and market efficiency. Journal of Financial Economics, 22(2), 355-385. Retrieved from: https://faculty.mccombs.utexas.edu/keith.brown/Research/JFE-12.88.pdf
  • Brown, K. C., Harlow, W. V., and Tinic, S. M. (1993). The risk and required return of common stock following major price innovations. Journal of Financial and Quantitative Analysis, 28(1), 101-116. Retrieved from: https://www.jstor.org/stable/pdf/2331153.pdf
  • Caner, M. and Hansen, B. E. (2001). Threshold autoregression with a unit root. Econometrica, 69(6), 1555-1596. doi: 10.1111/1468-0262.00257
  • Carrion-i-Silvestre, J. L., del Barrio-Castro, T., and Lopez-Bazo, E. (2005). Breaking the panels: an application to the GDP per capita. The Econometrics Journal, 159-175. Retrieved from: https://www.jstor.org/stable/pdf/23113636.pdf
  • Carter, D. A. and Simkins, B. J. (2004). The market’s reaction to unexpected, catastrophic events: the case of airline stock returns and the September 11th attacks. The Quarterly Review of Economics and Finance, 44(4), 539-558. doi: 10.1016/j.qref.2003.10.001
  • Cevik, E. İ. (2012). İstanbul Menkul Kiymetler Borsasi’nda Etkin Piyasa Hipotezinin Uzun Hafiza Modelleri İle Analizi: Sektörel Bazda Bir İnceleme. Yaşar Üniversitesi E-Dergisi, 7(26), 4437-4454. Retrieved from: https://dergipark.org.tr/en/download/article-file/179363
  • Chan, K. C., Gup, B. E., and Pan, M. S. (1997). International stock market efficiency and integration: A study of eighteen nations. Journal of Business Finance & Accounting, 24(6), 803-813. doi: 10.1111/1468-5957.00134
  • Coleman, L. (2012). Testing equity market efficiency around terrorist attacks. Applied Economics, 44(31), 4087-4099. doi: 10.1080/00036846.2011.587778
  • De Bondt, W. F. and Thaler, R. (1985). Does the stock market overreact?. The Journal of Finance, 40(3), 793-805. doi: 10.1111/j.1540-6261.1985.tb05004.x
  • Dickey, D. A. and Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072. doi: 10.2307/1912517
  • Ergul, N. (2009). Ulusal Hisse Senetleri Piyasası’nda etkinlik. Yönetim Bilimleri Dergisi, 7(1), 101-118. Retrieved from: https://dergipark.org.tr/en/download/article-file/702274
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. doi: 10.2307/2325486
  • Gaio, L. E., Stefanelli, N. O., Júnior, T. P., Bonacim, C. A. G., and Gatsios, R. C. (2022). The impact of the Russia-Ukraine conflict on market efficiency: Evidence for the developed stock market. Finance Research Letters, 50, 103302. doi: 10.1016/j.frl.2022.103302
  • Gozbasi, O., Kucukkaplan, I., and Nazlioglu, S. (2014). Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests. Economic Modelling, 38, 381-384. doi: 10.1016/j.econmod.2014.01.021
  • Gumus, B. F. and Zeren, F. (2014). Analyzing the efficient market hypothesis with the fourier unit root tests: Evidence from G-20 countries. Ekonomski Horizonti, 16(3), 225-237. doi: 10.5937/ekonhor1403225G
  • Harvey, D. I., Leybourne, S. J., and Xiao, B. (2008). A powerful test for linearity when the order of integration is unknown. Studies in Nonlinear Dynamics & Econometrics, 12(3), 1-23. doi: 10.2202/1558-3708.1582
  • Hudson, R. and Urquhart, A. (2015). War and stock markets: The effect of World War Two on the British stock market. International Review of Financial Analysis, 40, 166-177. Doi: 10.1016/j.irfa.2015.05.015
  • Kan, D. and O’Callaghan, B. A. (2007). Examination of the efficient market hypothesis—the case of post-crisis Asia Pacific countries. Journal of Asian Economics, 18(2), 294-313. doi: 10.1016/j.asieco.2007.02.003
  • Kandil Goker, I. E., Eren, B. S., and Karaca, S. S. (2020). The impact of the Covid-19 (Coronavirus) on the Borsa Istanbul Sector Index returns: An event study. Gaziantep University Journal of Social Sciences, 19(Covid-19 Special Issue), 14-41. doi: 10.21547/jss.731980
  • Kapetanios, G., Shin, Y., and Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. doi: 10.1016/S0304-4076(02)00202-6
  • Karadagli, E. C. and Donmez, M. G. (2012). A nonlinear analysis of weak form efficiency of stock index futures markets in CEE emerging economies. International Research Journal of Finance and Economics, (95), 61-71. Retrieved from: https://www.researchgate.net/profile/Ece-Karadagli/publication/265126206_A_Nonlinear_Analysis_of_Weak_Form_Efficiency_of_Stock_Index_Futures_Markets_in_CEE_Emerging_Economies/links/53ffa97c0cf29dd7cb522a0d/A-Nonlinear-Analysis-of-Weak-Form-Efficiency-of-Stock-Index-Futures-Markets-in-CEE-Emerging-Economies.pdf
  • Kilic, Y. and Bugan, M. F. (2016). The efficient market hypothesis: Evidence from Turkey. International Journal of Academic Research in Business and Social Sciences, 6(10), 262-272. doi: 10.6007/IJARBSS/v6-i10/2356
  • Korkmaz, M. and Akman, G. (2010). Testing the weak form market efficiency on Istanbul Stock Exchange. Trakia Journal of Sciences, 8(3), 39-49. Retrieved from: http://www.uni-sz.bg/tsj/vol8N3_2010/M.Korkmaz.pdf
  • Latif, M., Arshad, S., Fatima, M., and Farooq, S. (2011). Market efficiency, market anomalies, causes, evidences, and some behavioral aspects of market anomalies. Research Journal of Finance and Accounting, 2(9), 1-13. Retrieved from: https://iiste.org/Journals/index.php/RJFA/article/view/1287/1208
  • Lee, C. C., Lee, J. D., and Lee, C. C. (2010). Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks. Japan and the World Economy, 22(1), 49-58. doi: 10.1016/j.japwor.2009.04.002
  • Leybourne, S., Newbold, P., and Vougas, D. (1998). Unit roots and smooth transitions. Journal of Time Series Analysis, 19(1), 83-97. doi: 10.1111/1467-9892.00078
  • Lin, H., Lo, I., and Qiao, R. (2021). Macroeconomic news announcements and market efficiency: Evidence from the US Treasury market. Journal of Banking & Finance, 133, 106252. doi: 10.1016/j.jbankfin.2021.106252
  • Luukkonen, R., Saikkonen, P., and Teräsvirta, T. (1988). Testing linearity against smooth transition autoregressive models. Biometrika, 75(3), 491-499. doi: 10.1093/biomet/75.3.491
  • Malcioglu, G. and Aydin, M. (2016). Borsa Istanbul'da piyasa etkinliginin analizi: Harvey Dogrusallik testi/Analysis of market efficiency at Borsa Istanbul: Harvey Linearity test. Journal of Accounting, Finance and Auditing Studies, 2(1), 112. Retrieved from: https://core.ac.uk/download/pdf/153557232.pdf
  • Mehdian, S., Nas, T., and Perry, M. J. (2008). An examination of investor reaction to unexpected political and economic events in Turkey. Global Finance Journal, 18(3), 337-350. doi: 10.1016/j.gfj.2007.06.002
  • Narayan, P. K. (2005). Are the Australian and New Zealand stock prices nonlinear with a unit root?. Applied Economics, 37(18), 2161-2166. doi: 10.1080/00036840500217887
  • Omay, T., Emirmahmutoglu, F., and Hasanov, M. (2018). Structural break, nonlinearity and asymmetry: A re-examination of PPP proposition. Applied Economics, 50(12), 1289-1308. doi: 10.1080/00036846.2017.1361005
  • Omay, T. and Y. Yildirim. (2014). Nonlinearity and smooth breaks in unit root testing. Econometrics Letters 1(1), 2–9. doi: 10.13140/RG.2.1.4569.6403
  • Ozdemir, Z. A. (2008). Efficient market hypothesis: evidence from a small open-economy. Applied Economics, 40(5), 633-641. doi: 10.1080/00036840600722315
  • Ozkan, O. (2020a). Hisse senedi piyasalarının zayıf formda piyasa etkinliğinin küresel ölçekte karşılaştırılması: G-20 üyeleri üzerine ampirik bir çalışma. Celal Bayar University Journal of Social Sciences, 18(2), 327-338. doi: 10.18026/cbayarsos.695125
  • Ozkan, O. (2020b). Hangi sektörlerde getiri öngörülebilirliği için tarihsel fiyatlar kullanılabilir? Otomatik Portmanteau Testi ile Borsa İstanbul üzerine ampirik bir çalışma. Business and Economics Research Journal, 11(3), 703-712. doi: 10.20409/berj.2020.278
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Impact of major global events on the Turkish stock market efficiency

Yıl 2022, Cilt: 15 Sayı: 2, 613 - 627, 31.12.2022
https://doi.org/10.17218/hititsbd.1207180

Öz

Market efficiency is of great importance to many investors, policy makers, as well as researchers. It provides them with information regarding the market and acts as a guide in their decision-making process. For this reason, there have been extensive amount of research done through the years. However, the World has witnessed several major events in the last couple of decades, which has been of great importance for financial markets, having both direct and indirect impacts. The Global Financial Crisis of 2008 and the COVID-19 pandemic can be the two most important events the World has experienced. Although past research shows that the impact of both events on the efficiency of the stock markets were looked at in separate studies, there is lack of studies involving both major events and analysing how the efficiency of the stock market is changing between these periods. The aim of this study is to analyse the weak-form efficiency of the Turkish stock market and how it has evolved over time. There are 4 different data sets used to observe the changes in market efficiency, with full sample ranging from February 1988 to September 2022. Monthly closing prices of the BIST100 Index are analysed using both the traditional linear Augmented Dickey-Fuller unit root test and 5 different non-linear unit root tests. Results show that different tests have different strengths in capturing the stationarity and due to the LNV test Turkish Stock Market was found not to be weak form efficient.

Kaynakça

  • Akgun, A. and Sahin, I. (2017). The testing of efficient market hypothesis in Borsa Istanbul. Annals Constantin Brancusi U. Targu Jiu, Letters & Soc. Sci. Series, 2, 35 - 48. Retrieved from: https://heinonline.org/HOL/LandingPage?handle=hein.journals/ancnbt2017&div=26&id=&page=
  • Aktan, C., Iren, P., and Omay, T. (2019). Market development and market efficiency: Evidence based on nonlinear panel unit root tests. The European Journal of Finance, 25(11), 979-993. doi: 10.1080/1351847X.2018.1560346
  • Aliyev, F. (2019). Testing market efficiency with nonlinear methods: Evidence from Borsa Istanbul. International Journal of Financial Studies, 7(2), 1-27. doi:10.3390/ijfs7020027
  • Balaban, E. (1995). Informational efficiency of the Istanbul Securities Exchange and some rationale for public regulation. The Central Bank of The Republic of Turkey Research Department Discussion Paper, 9502, 39-67. Retrieved from: https://core.ac.uk/download/pdf/7061411.pdf
  • Borges, M. R. (2010). Efficient market hypothesis in European stock markets. The European Journal of Finance, 16(7), 711-726. doi: 10.1080/1351847X.2010.495477
  • Brown, K. C., Harlow, W. V., and Tinic, S. M. (1988). Risk aversion, uncertain information, and market efficiency. Journal of Financial Economics, 22(2), 355-385. Retrieved from: https://faculty.mccombs.utexas.edu/keith.brown/Research/JFE-12.88.pdf
  • Brown, K. C., Harlow, W. V., and Tinic, S. M. (1993). The risk and required return of common stock following major price innovations. Journal of Financial and Quantitative Analysis, 28(1), 101-116. Retrieved from: https://www.jstor.org/stable/pdf/2331153.pdf
  • Caner, M. and Hansen, B. E. (2001). Threshold autoregression with a unit root. Econometrica, 69(6), 1555-1596. doi: 10.1111/1468-0262.00257
  • Carrion-i-Silvestre, J. L., del Barrio-Castro, T., and Lopez-Bazo, E. (2005). Breaking the panels: an application to the GDP per capita. The Econometrics Journal, 159-175. Retrieved from: https://www.jstor.org/stable/pdf/23113636.pdf
  • Carter, D. A. and Simkins, B. J. (2004). The market’s reaction to unexpected, catastrophic events: the case of airline stock returns and the September 11th attacks. The Quarterly Review of Economics and Finance, 44(4), 539-558. doi: 10.1016/j.qref.2003.10.001
  • Cevik, E. İ. (2012). İstanbul Menkul Kiymetler Borsasi’nda Etkin Piyasa Hipotezinin Uzun Hafiza Modelleri İle Analizi: Sektörel Bazda Bir İnceleme. Yaşar Üniversitesi E-Dergisi, 7(26), 4437-4454. Retrieved from: https://dergipark.org.tr/en/download/article-file/179363
  • Chan, K. C., Gup, B. E., and Pan, M. S. (1997). International stock market efficiency and integration: A study of eighteen nations. Journal of Business Finance & Accounting, 24(6), 803-813. doi: 10.1111/1468-5957.00134
  • Coleman, L. (2012). Testing equity market efficiency around terrorist attacks. Applied Economics, 44(31), 4087-4099. doi: 10.1080/00036846.2011.587778
  • De Bondt, W. F. and Thaler, R. (1985). Does the stock market overreact?. The Journal of Finance, 40(3), 793-805. doi: 10.1111/j.1540-6261.1985.tb05004.x
  • Dickey, D. A. and Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 1057-1072. doi: 10.2307/1912517
  • Ergul, N. (2009). Ulusal Hisse Senetleri Piyasası’nda etkinlik. Yönetim Bilimleri Dergisi, 7(1), 101-118. Retrieved from: https://dergipark.org.tr/en/download/article-file/702274
  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417. doi: 10.2307/2325486
  • Gaio, L. E., Stefanelli, N. O., Júnior, T. P., Bonacim, C. A. G., and Gatsios, R. C. (2022). The impact of the Russia-Ukraine conflict on market efficiency: Evidence for the developed stock market. Finance Research Letters, 50, 103302. doi: 10.1016/j.frl.2022.103302
  • Gozbasi, O., Kucukkaplan, I., and Nazlioglu, S. (2014). Re-examining the Turkish stock market efficiency: Evidence from nonlinear unit root tests. Economic Modelling, 38, 381-384. doi: 10.1016/j.econmod.2014.01.021
  • Gumus, B. F. and Zeren, F. (2014). Analyzing the efficient market hypothesis with the fourier unit root tests: Evidence from G-20 countries. Ekonomski Horizonti, 16(3), 225-237. doi: 10.5937/ekonhor1403225G
  • Harvey, D. I., Leybourne, S. J., and Xiao, B. (2008). A powerful test for linearity when the order of integration is unknown. Studies in Nonlinear Dynamics & Econometrics, 12(3), 1-23. doi: 10.2202/1558-3708.1582
  • Hudson, R. and Urquhart, A. (2015). War and stock markets: The effect of World War Two on the British stock market. International Review of Financial Analysis, 40, 166-177. Doi: 10.1016/j.irfa.2015.05.015
  • Kan, D. and O’Callaghan, B. A. (2007). Examination of the efficient market hypothesis—the case of post-crisis Asia Pacific countries. Journal of Asian Economics, 18(2), 294-313. doi: 10.1016/j.asieco.2007.02.003
  • Kandil Goker, I. E., Eren, B. S., and Karaca, S. S. (2020). The impact of the Covid-19 (Coronavirus) on the Borsa Istanbul Sector Index returns: An event study. Gaziantep University Journal of Social Sciences, 19(Covid-19 Special Issue), 14-41. doi: 10.21547/jss.731980
  • Kapetanios, G., Shin, Y., and Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. doi: 10.1016/S0304-4076(02)00202-6
  • Karadagli, E. C. and Donmez, M. G. (2012). A nonlinear analysis of weak form efficiency of stock index futures markets in CEE emerging economies. International Research Journal of Finance and Economics, (95), 61-71. Retrieved from: https://www.researchgate.net/profile/Ece-Karadagli/publication/265126206_A_Nonlinear_Analysis_of_Weak_Form_Efficiency_of_Stock_Index_Futures_Markets_in_CEE_Emerging_Economies/links/53ffa97c0cf29dd7cb522a0d/A-Nonlinear-Analysis-of-Weak-Form-Efficiency-of-Stock-Index-Futures-Markets-in-CEE-Emerging-Economies.pdf
  • Kilic, Y. and Bugan, M. F. (2016). The efficient market hypothesis: Evidence from Turkey. International Journal of Academic Research in Business and Social Sciences, 6(10), 262-272. doi: 10.6007/IJARBSS/v6-i10/2356
  • Korkmaz, M. and Akman, G. (2010). Testing the weak form market efficiency on Istanbul Stock Exchange. Trakia Journal of Sciences, 8(3), 39-49. Retrieved from: http://www.uni-sz.bg/tsj/vol8N3_2010/M.Korkmaz.pdf
  • Latif, M., Arshad, S., Fatima, M., and Farooq, S. (2011). Market efficiency, market anomalies, causes, evidences, and some behavioral aspects of market anomalies. Research Journal of Finance and Accounting, 2(9), 1-13. Retrieved from: https://iiste.org/Journals/index.php/RJFA/article/view/1287/1208
  • Lee, C. C., Lee, J. D., and Lee, C. C. (2010). Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks. Japan and the World Economy, 22(1), 49-58. doi: 10.1016/j.japwor.2009.04.002
  • Leybourne, S., Newbold, P., and Vougas, D. (1998). Unit roots and smooth transitions. Journal of Time Series Analysis, 19(1), 83-97. doi: 10.1111/1467-9892.00078
  • Lin, H., Lo, I., and Qiao, R. (2021). Macroeconomic news announcements and market efficiency: Evidence from the US Treasury market. Journal of Banking & Finance, 133, 106252. doi: 10.1016/j.jbankfin.2021.106252
  • Luukkonen, R., Saikkonen, P., and Teräsvirta, T. (1988). Testing linearity against smooth transition autoregressive models. Biometrika, 75(3), 491-499. doi: 10.1093/biomet/75.3.491
  • Malcioglu, G. and Aydin, M. (2016). Borsa Istanbul'da piyasa etkinliginin analizi: Harvey Dogrusallik testi/Analysis of market efficiency at Borsa Istanbul: Harvey Linearity test. Journal of Accounting, Finance and Auditing Studies, 2(1), 112. Retrieved from: https://core.ac.uk/download/pdf/153557232.pdf
  • Mehdian, S., Nas, T., and Perry, M. J. (2008). An examination of investor reaction to unexpected political and economic events in Turkey. Global Finance Journal, 18(3), 337-350. doi: 10.1016/j.gfj.2007.06.002
  • Narayan, P. K. (2005). Are the Australian and New Zealand stock prices nonlinear with a unit root?. Applied Economics, 37(18), 2161-2166. doi: 10.1080/00036840500217887
  • Omay, T., Emirmahmutoglu, F., and Hasanov, M. (2018). Structural break, nonlinearity and asymmetry: A re-examination of PPP proposition. Applied Economics, 50(12), 1289-1308. doi: 10.1080/00036846.2017.1361005
  • Omay, T. and Y. Yildirim. (2014). Nonlinearity and smooth breaks in unit root testing. Econometrics Letters 1(1), 2–9. doi: 10.13140/RG.2.1.4569.6403
  • Ozdemir, Z. A. (2008). Efficient market hypothesis: evidence from a small open-economy. Applied Economics, 40(5), 633-641. doi: 10.1080/00036840600722315
  • Ozkan, O. (2020a). Hisse senedi piyasalarının zayıf formda piyasa etkinliğinin küresel ölçekte karşılaştırılması: G-20 üyeleri üzerine ampirik bir çalışma. Celal Bayar University Journal of Social Sciences, 18(2), 327-338. doi: 10.18026/cbayarsos.695125
  • Ozkan, O. (2020b). Hangi sektörlerde getiri öngörülebilirliği için tarihsel fiyatlar kullanılabilir? Otomatik Portmanteau Testi ile Borsa İstanbul üzerine ampirik bir çalışma. Business and Economics Research Journal, 11(3), 703-712. doi: 10.20409/berj.2020.278
  • Ozkan, O. (2020c). Time-varying return predictability and adaptive markets hypothesis: Evidence on MIST countries from a novel wild bootstrap likelihood ratio approach. Bogazici Journal: Review of Social, Economic & Administrative Studies, 34(2). 101-113. doi: 10.21773/boun.34.2.1
  • Ozkan, O. (2021a). Döviz Piyasalarının Davranışlarını Açıklamada Etkin Piyasalar Hipotezi ile Adaptif Piyasalar Hipotezinin Karşılaştırılması: BRICS-T Ülkeleri Üzerine Ampirik Bir Çalışma. Muhasebe ve Finansman Dergisi, (89), 221-236. doi: 10.25095/mufad.852162
  • Ozkan, O. (2021b). Impact of COVID-19 on stock market efficiency: Evidence from developed countries. Research in International Business and Finance, 58, 101445. doi: 10.1016/j.ribaf.2021.101445
  • Phillips, P. C. and Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. doi: 10.1093/biomet/75.2.335
  • Ramiah, V. (2013). Effects of the Boxing Day tsunami on the world capital markets. Review of Quantitative Finance and Accounting, 40(2), 383-401. doi: 10.1007/s11156-012-0286-z
  • Sollis, R. (2009). A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries. Economic Modelling, 26(1), 118-125. doi: 10.1016/j.econmod.2008.06.002
  • Tas, O. and Atac, C. G. (2019). Testing random walk hypothesis for Istanbul stock exchange. PressAcademia Procedia, 9(1), 48-53. doi: 10.17261/Pressacademia.2019.1063
  • Tokic, S., Bolfek, B., and Peša, A. R. (2018). Testing efficient market hypothesis in developing Eastern European countries. Investment Management & Financial Innovations, 15(2), 281. Retrieved from: http://www.irbis-nbuv.gov.ua/cgi-bin/irbis_nbuv/cgiirbis_64.exe?C21COM=2&I21DBN=UJRN&P21DBN=UJRN&IMAGE_FILE_DOWNLOAD=1&Image_file_name=PDF/imfi_2018_15_2_27.pdf
  • Yucel, O. (2016). Finansal piyasa etkinliği: Borsa Istanbul üzerine bir uygulama. International Review of Economics and Management, 4(3), 107-123. doi: 10.18825/irem.16916
Toplam 50 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Makaleler
Yazarlar

Ceyda Aktan 0000-0001-7040-4711

Yayımlanma Tarihi 31 Aralık 2022
Gönderilme Tarihi 19 Kasım 2022
Yayımlandığı Sayı Yıl 2022 Cilt: 15 Sayı: 2

Kaynak Göster

APA Aktan, C. (2022). Impact of major global events on the Turkish stock market efficiency. Hitit Sosyal Bilimler Dergisi, 15(2), 613-627. https://doi.org/10.17218/hititsbd.1207180
                                                     Hitit Sosyal Bilimler Dergisi  Creative Commons Atıf-GayriTicari 4.0 Uluslararası Lisansı (CC BY NC) ile lisanslanmıştır.