TÜRKİYE HİSSE SENEDİ PİYASASINDA RASYONEL KÖPÜKLER: SAKLI EŞ BÜTÜNLEŞME YAKLAŞIMI

Year 2013, Volume: 5 Issue: 9, 17 - 31, 10.01.2014

Şeref Bozoklu , Fatma Zeren

Abstract

Bu çalışmada Borsa İstanbul hisse senedi piyasasında rasyonel köpüklerin varlığı Ocak 1998-Nisan 2013 dönemi için geleneksel ve saklı eşbütünleşme testleri aracılığıyla araştırılmaktadır. Ampirik sonuçlar hisse senedi fiyat endeksi ile getiri endeksi arasında saklı eşbütünleşme ilişkisinin olduğunu ve dolayısıyla hisse senedi piyasasında rasyonel köpüğün bulunmadığını göstermektedir.

Keywords

Türk Hisse Senedi Piyasası, Etkin Piyasalar Hipotezi, Cari Değer Modeli, Rasyonel Köpükler, Saklı Eşbütünleşme

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