You are here

Home » Content

FİNANSAL PİYASA ETKİNLİĞİ: S&P 500 ÜZERİNE BİR UYGULAMA

Financial Market Efficiency: An Application on S&P 500 Index

Journal Name:

  • Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi

Publication Year:

  • 2010

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
The concept of financial efficiency has been becoming important between investors day by day, by means of entering the information age. Investors foresee future price movements based on past price movements and they try to predict the future income distribution in this way. Nonetheless, authoritarian of auditing and supervision emphasizes on the efficiency level at the market; especially, in emerging stock exchanges this kinds of studies have been gaining importance. In this study, efficiency tests were performed over weekly return series belonging to S&P 500 index that were calculated in a developed country USA. The result that were obtained express that the shares in the S&P 500 index act in accordance with random walking hypothesis; in other words, besides showing the efficiency of market in the weak form they express that the prices of the shares in the S&P 500 index are completely independent from the past price movements.
Bookmark/Search this post with
Abstract (Original Language): 
Finansal etkinlik kavramı bilgi çağına girilmesiyle birlikte yatırımcılar arasında günden güne önem kazanmaktadır. Yatırımcılar geçmiş fiyat hareketlerine dayanarak gelecekteki fiyat hareketlerini öngörümlemekte, gelecekteki getiri dağılımlarını bu şekilde tahminlemeye çalışmaktadırlar. Bununla birlikte denetim ve gözetim otoriteri de piyasadaki etkinlik düzeyine önem vermekte, özellikle gelişmekte olan borsalarda bu yönlü çalışmalar ağırlık kazanmaktadır. Bu çalışmada gelişmiş bir ülke niteliğindeki ABD’de hesaplanan S&P500 endeksine ait haftalık getiri serileri üzerinden etkinlik testleri gerçekleştirilmiştir. Elde edilen sonuçlar; S&P 500 endeksinde yer alan hisselerin rassal yürüyüş hipotezine uygun olarak hareket ettiği başka bir ifadeyle piyasanın zayıf formda etkin olduğunu göstermekle birlikte sözkonusu endekse dahil hisselerin fiyatlarının tamamen geçmiş dönem fiyat hareketlerinden bağımsız olduğunu ifade etmektedir
FULL TEXT (PDF): 
PDF icon arastirmax-finansal-piyasa-etkinligi-sp-500-uzerine-bir-uygulama.pdf
  • 2
53-67
  • Turkish

REFERENCES

References: 

KAYNAKLAR
ABEYSEKARA, Sarath (2001), “Efficient Market Hypothesis And Emerging
Capital Market in Sri Lanka: Evidence From the Colombo Stock
Exchange”, Journal Of Business Finance & Accounting, Vol: 28; 249-261
ABROSIMOVA, Natalia; Dirk LINOWSKI, (2005), “Testing the Weak-Form
Efficiency of the Russian Stock Market” European Finance Association
Conference and at the Centre for Economic and Financial Research ,
Moscow; 1-27
ALEXEEV, Vitali, Francis TAPON, (2009), “Testing Weak Form Efficiency on
the Toronto Stock Exchange” 15th International Conference Computing in
Economics and Finance, Sydney; 1-28
ALTUN, Oğuz (1992), Sermaye Piyasalarında Etkinlik: İstanbul Menkul Kıymetler
Borsası Üzerine Fiyat Etkinliği Testi; Sermaye Piyasası Kurulu Araştırma
Dairesi, Ankara
ASIRI, Batool (2008), “Testing Weak-Form Efficiency In The Bahrain Stock
Market.” International Journal of Emerging Markets Vol 3: 1; 38-53
AWAD, Ibrahim, Zahran DARAGHMA (2009), “Testing the Weak-Form
Efficiency of the Palestinian Securities” International Research Journal of
Finance and Economics, Issue 32; 7-17
BAHA, KARAN, Mehmet (2001), Yatırım Analizi ve Portföy Yönetimi, Gazi
Kitabevi, Ankara,
BENZION Uri, Paul KLEIN (2003), “Efficiency Differences Between the S&P
500 and the Tel-Aviv 25 Indices: A Moving Average Comparison”
International Journal Of Business, Vol 8: 3; 267-284
BİLDİK, Recep (2000), Hisse Senedi Piyasalarında Dönemsellikler ve İMKB
Üzerine Ampirik Bir Çalışma, İMKB Yayınları, İstanbul
BLASCO, Natividad; Del Cristina RIO and Rafael SANTAMARIA (1997), “The
Random Walk Hypothesis In The Spanish Stock Market: 1980 – 1992”,
Journal of Business Finance & Accounting, Vol: 24; 667-684
DAĞLI, Hüseyin (2004), Sermaye Piyasası ve Portföy Analizi, Derya Kitabevi,
Trabzon
DHARMASENA, K.A.S.D.B. , David BESSLER (2004), “Weak-Form Efficiency
Vs Semi-Strong Form Efficiency in Price Discovery: an Application to
International Black Tea Markets ” Sri Lankan Journal of Agricultural
Economics. Vol. 6: 1; 1-24
DIMSON, Elroy, Massoud MUSSAVIAN (1998), “A Brief History of Market
Efficiency”, European Financial Management, Vol: 4: 1; 1-14
GUJARATI, Damodar N. (Çev: Ümit SENESEN - Gülay Günlük SENESEN)
(2006), “Temel Ekonometri”, Literatür Yayınları, İstanbul
C.Ü. İktisadi ve İdari Bilimler Dergisi, Cilt 11, Sayı 2, 2010 67
HAJEK, Jan (2007), “Czech Capital Market Weak-Form Efficiency ,Selected
Issues” Vol: 4; 303-318
HAYIRSEVER, BAŞTÜRK, Feride (2004), “F/K oranı ve Firma Büyüklüğü
Anomalilerinin Bir Arada Ele Alınarak Portföy Oluşturulması ve Bir
Uygulama Örneği”, TC. Anadolu Üniversitesi Yayınları, No: 1564,
Eskişehir
KILIÇ, Bilgin, Süleyman (2005), “Test of the Weak Form Efficient Market
Hypothesis for the Istanbul Stock Exchange by Markov Chains
Methodology” Çukurova Üniversitesi SBE Dergisi Cilt: 14: 1; 333-342
KUTLAR, Aziz (2000), Ekonometrik Zaman Serileri, Gazi Kitabevi, Ankara
LIM KIAN-Ping; Venus Khin LIEW SEN and Tsen WONG HOCK (2003),
“Weak-form Efficient Market Hypothesis, Behavioural Finance and
Episodic Transient Dependencies: The Case of the Kuala Lumpur Stock
Exchange” Finance 0312012, EconWPA; 2-26
MA, Shiguang, Michelle L. BARNES (2004) “Are China’s Stock Markets Really
Weakform Efficient?” CIES Discuission Paper No:119
MOBAREK Asma, Keavin KEASEY (2000), “Weak-Form Market Efficiency Of
an Emerging Market: Evidence from Dhaka Stock Market of Bangladesh”
Journal of Business Finance & Accounting, Vol: 32(7) & (8); 1613-1624
MOUSTAFA M.A (2004 ), “Testing the Weak-Form Efficiency of the United Arab
Emirates Stock Market” International Journal Of Busıness, 9(3); 309-325
ÖZCAN Burcu, Veli YILANCI (2009), “Türk Hisse Senedi Piyasasının Zayıf
Formda Etkinliğinin Testi” İktisat İşletme ve Finans Dergisi Cilt: 24: 274;
100-115
POSHAKWALE, Sunil (1996 ) “Evidence on Weak Form Efficiencyand Day of
the Week Effect in the Indian Stock Market” Finance India Vol. 10: 3;
605 – 616
TEZCANLI, Varış, Meral (1996), İçeriden Öğrenenlerin Ticareti ve
Manipülasyonlar, İMKB Yayınları, İstanbul
TOPÇUOĞLU, Kıvanç; Gülay PAMUK ve Mustafa ÖZGÜREL (2005), “Gediz
Havzası Yağışlarının Stokastik Modellemesi” Ege Üniversitesi Ziraat
Fakültesi Dergisi, Vol 42:3; 89–97
URRUTIA, Jorge L. (1995), “Tests of Random Walk and Market Efficiency for
Latin American Emerging Markets” Journal of Financial Research, Vol 18:
3; 299-309.
WORTHINGTON, Andrew, Helen HIGGS (2006), “Weak-Form Market Effciency
in Asian Emerging and Developed Equity Markets: Comparative Tests of
Random Walk Behaviour” Accounting Research Journal, Vol 19: 1; 54-63

Thank you for copying data from http://www.arastirmax.com