Testing the Adaptive Market Hypothesis in Equity Markets in Global Financial Crisis Periods: An Application on Borsa Istanbul Indices

Year 2023, Volume: 8 Issue: 21, 377 - 402, 30.06.2023

Sinan Aytekin , Sermet Doğan

https://doi.org/10.25204/iktisad.1208721

Abstract

We aim in this study to investigate the existence of the Adaptive Market Hypothesis in the Turkish stock market during the global crisis periods. In other words, it has been investigated whether there are periods in the stock market in Turkey is both efficient and inefficient. For this purpose, Borsa Istanbul's main index (XU100) and selected sector indices (XBANK, XGIDA, XTEKS, XTRZM) were tested in the crisis environments, the Asian Financial Crisis, the American "Dotcom" crisis, the Mortgage crisis, the European debt crisis and finally the Covid-19 crisis. Automatic Portmanteau and Wild Bootstrap Automatic Variance Ratio tests were used in the research. According to the results obtained, findings compatible with the Adaptive Market Hypothesis were reached in all Borsa Istanbul indices within the scope of the research. It has been observed that there may be fluctuations in market efficiency at different frequencies and durations in relation to the nature of the crisis and the source of its output. It is thought that the study is original and will contribute to the literature for the following reasons; the Adaptive Market Hypothesis for the Turkish stock market has been tested for all crisis periods in the recent history and the effects of the crises on the sectors are also examined in terms of effectiveness.

Keywords

Efficient Markets Hypothesis, Behavioural Finance, Adaptive Market Hypothesis, Automatic Portmanteau Test, Wild Bootstrap Automatic Variance Ratio Test

Küresel Finansal Kriz Dönemlerinde Adaptif Piyasa Hipotezinin Pay Piyasalarında Test Edilmesi: Borsa İstanbul Endeksleri Üzerine Bir Uygulama

Abstract

Bu çalışmada, küresel kriz dönemlerinde Türkiye borsasında Adaptif Piyasa Hipotezinin varlığının araştırılması amaçlanmıştır. Diğer bir deyişle, Türkiye'de borsanın hem etkin hem de etkin olmadığı dönemlerin olup olmadığı incelenmiştir. Bu amaçla, Borsa İstanbul'un ana endeksi (XU100) ve seçilen sektör endeksleri (XBANK, XGIDA, XTEKS, XTRZM), Asya Finansal Krizi, Amerikan “Dotcom” krizi, Mortgage krizi, Avrupa borç krizi ve son olarak da Covid-19 krizi gibi dönemler için test edilmiştir. Araştırmada Otomatik Portmanteau ve Doğal Bootstrap Otomatik Varyans Rasyo testleri kullanılmıştır. Elde edilen sonuçlara göre araştırma kapsamındaki tüm Borsa İstanbul endekslerinde Adaptif Piyasa Hipotezi ile uyumlu bulgulara ulaşılmıştır. Krizin niteliğine ve çıkış kaynağına bağlı olarak piyasa etkinliğinde farklı sıklık ve sürelerde dalgalanmalar olabileceği gözlemlenmiştir. Çalışmanın şu nedenlerle özgün olduğu ve literatüre katkı sağlayacağı düşünülmektedir; Türk pay piyasasında Adaptif Piyasa Hipotezi yakın tarihteki tüm kriz dönemleri için test edilmiştir ve krizlerin sektörler üzerindeki etkileri etkinlik açısından ayrıca incelenmiştir.

Keywords

Etkin Piyasalar Hipotezi, Davranışsal Finans, Adaptif Piyasa Hipotezi, Otomatik Portmanteau Testi, Doğal Bootstrap Otomatik Varyans Rasyo Testi

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