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DETERMINATION OF THE EFFICIENT MARKETS HYPOTHESIS IN THE TURKISH EXCHANGE MARKET IN TERMS OF BEHAVIORAL FINANCE

Year 2021, Volume: 19 Issue: 3, 77 - 93, 25.09.2021

Yasemin Başarır , Alpaslan Serel

https://doi.org/10.11611/yead.970584

Abstract

According to the efficient market hypothesis, rational individuals use all the available information to ensure that all information is reflected in prices, and as a result there is no systematic error in the market. The validity of this hypothesis includes the assumptions that individuals behave rationally and that there is arbitrage opportunity in the market. However, in the observation and application studies conducted over the years, the results contrary to these assumptions has been observed. In this study, it is tested whether the foreign exchange market in Turkey is efficient in weak form and semi-strong form by using daily spot and forward exchange rates of TL against Euro and Dollar. As a result of the study, it is determined that the foreign exchange markets are efficient in the weak form, but not efficient in the semi-strong form in the period studied for Turkey, considering the structural.

Keywords

Efficient market Hypothesis Exchange rate Exchange Futures Gregory-Hansen Cointegration Test

References

  • Ahmad, R., Rhee, S. G., & Wong, Y. M. (2012). “Foreign Exchange Market Efficiency Under Recent Crises: Asia-Pacific Focus”. Journal Of International Money and Finance, 31(6), 1574-1592.
  • Akal, M., Birgili, E., & Durmuşkaya, S. (2012). “İMKB 30, İMKB 100, Dolar ve Avro Futures Piyasalarının Etkinliğinin Testi”. Business And Economics Research Journal, 3(4), 1-20.
  • Altin, H. (2017). “Türkiye’de Döviz Piyasalarında Yaşanan Fiyat Hareketlerinin Ölçülmesi”. Aksaray Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 9(2), 95-104.
  • Aroskar, R., Sarkar, S. K., & Swanson, P. E. (2004). “European Foreign Exchange Market Efficiency: Evidence Based on Crisis and Noncrisis Periods”. International Review Of Financial Analysis, 13(3), 333-347.
  • Berke B.; Özcan, B. & Dizdarlar, H.I. (2014). "Döviz Piyasasının Etkinliği: Türkiye İçin Bir Analiz," Ege Academic Review, Vol. 14(4), 621-636.
  • Burt, J., Kaen, F. R., & Booth, G. G. (1977). “Foreign Exchange Market Efficiency Under Flexible Exchange Rates”. The Journal of Finance, 32(4), 1325-1330.
  • Cerchi, M., & Havenner, A. (1988). Cointegration And Stock Prices: The Random Walk on Wall Street Revisited. Journal of Economic Dynamics and Control, 12(2-3), 333-346.
  • Chaudhry, A. F., Hanif, M. M., Hassan, S., & Chani, M. I. (2019). Efficiency Of the Black Foreign Exchange Market. International Journal of Economics and Finance, 11(2), 165.
  • Cornell, W. B., & Dietrich, J. K. (1978). “The Efficiency of The Market for Foreign Exchange Under Floating Exchange Rates”. The Review of Economics and Statistics, 111-120.
  • Czech, K. A., & Waszkowski, A. (2012). “Foreign Exchange Market Efficiency. Empirical Results for The Usd/Eur Market”. Finansowy Kwartalnik Internetowy E-Finanse, 8(3), 1-9.
  • Çiçek, M. (2014). “A Cointegration Test for Turkish Foreign Exchange Market Efficiency”. Asian Economic and Financial Review, 4(4), 451.
  • Çağli, E. Ç., & Mandaci, P. E. (2013). “The Long-Run Relationship Between the Spot And Futures Markets Under Multiple Regime-Shifts: Evidence From Turkish Derivatives Exchange”. Expert Systems with Applications, 40(10), 4206-4212.
  • Çil Yavuz, N. (2015). Finansal Ekonometri. 2. Basım, İstanbul, Der Yayınları.
  • Engle, R.F. & Granger, C.W., (1987). Cointegration And Error Correction: Representation, Estimation and Testing. Econometrica 55, 251–276.
  • Fama, E. F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, 25(2), 383-417.
  • Friedman, D., & Vandersteel, S. (1982). “Short-Run Fluctuations in Foreign Exchange Rates: Evidence from The Data 1973–1979”. Journal Of International Economics, 13(1-2), 171-186.
  • Geweke, J., & Feige, E. (1979). “Some Joint Tests of The Efficiency of Markets for Forward Foreign Exchange”. The Review of Economics and Statistics, 61(3), 334-341.
  • Gregory, A. W. & Hansen, B. E. (1996). “Residual-Based Tests for Cointegration in Models with Regime Shifts”. Journal Of Econometrics, 70(1): 99-126.
  • Harvey, C. R., & Huang, R. D. (1991). “Volatility In the Foreign Currency Futures Market”. The Review of Financial Studies, 4(3), 543-569.
  • Jeon B. & Chiang T., (1991). “A System of Stock Prices in World Stock Exchanges: Common Stochastic Trends For 1975-1990?”. Journal Of Economics and Business, 43(4), 329-338.
  • Kallianiotis, J. N. (2018). “How Efficient Is the Foreign Exchange Market?”, Athens Journal of Business and Economics, 4(3), 293-326.
  • Kang, M. W. (2019). “Currency Market Efficiency Revisited: Evidence from Korea.” International Journal of Financial Studies, 7(3), 52.
  • Korkmaz, T., Cevik, E. I., & Özataç, N. (2009). “Testing For Long Memory in Ise Using Arfima-Figarch Model and Structural Break Test”. MPRA Paper No. 71302.
  • Kühl, M., (2010). “Bivariate Cointegration of Major Exchange Rates, Cross-Market Efficiency and The Introduction of The Euro”. Journal Of Economics and Business, 62(1), 1-19.
  • Lai, K.S. & Lai, M. (1991). “A Cointegraion Test for Market Efficiency”. The Journal of Futures Markets, 11(5), 567-575.
  • Lee, C. I., Pan, M. S., & Liu, Y. A. (2001). “On Market Efficiency of Asian Foreign Exchange Rates: Evidence from A Joint Variance Ratio Test And Technical Trading Rules”. Journal Of International Financial Markets, Institutions and Money, 11(2), 199-214.
  • Meese, R. A., & Rogoff, K. (1983). “Empirical Exchange Rate Models of The Seventies: Do They Fit Out Of Sample?” Journal Of International Economics, 14(1-2), 3-24.
  • Mert, M., & Çağlar, A. E. (2019). Eviews Ve Gauss Uygulamalı Zaman Serileri Analizi. Ankara: Detay Yayıncılık.
  • Mike, F. (2018). “Faiz Oranı Paritesi Ve Etkin Piyasa Hipotezinin Gelişen Piyasa Ekonomileri Için Test Edilmesi”. Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 13(1), 65-86.
  • Oh, G., Kim, S., & Eom, C. (2007). “Market Efficiency in Foreign Exchange Markets”. Physica A: Statistical Mechanics and Its Applications, 382(1), 209-212.
  • Özün, A. & Erbaykal, E. (2009). “Detecting Risk Transmission from Futures to Spot Markets Without Data Stationarity: Evidence From Turkey’s Markets”. Journal Of Risk Finance, 10(4), 365–376.
  • Perron, P. (1989), "The Great Crash, The Oil Price Shock, And The Unit Root Hypothesis", Econometrica, 5(6),1361-1401.
  • Phengpis, C. (2006). “Market Efficiency and Cointegration of Spot Exchange Rates During Periods of Economic Turmoil: Another Look at European And Asian Currency Crises”. Journal Of Economics and Business, 58(4), 323-342.
  • Phıllıps, P. C., & Hansen, B. E. (1990). Statistical Inference in Instrumental Variables Regression With I (1) Processes. The Review Of Economic Studies, 57(1), 99-125.
  • Rapp, T. A., & Sharma, S. C. (1999). “Exchange Rate Market Efficiency: Across and Within Countries”. Journal Of Economics and Business, 51(5), 423-439.
  • Sephton, P. S., & Larsen, H. K. (1991). “Tests Of Exchange Market Efficiency: Fragile Evidence from Cointegration Tests”. Journal Of International Money and Finance, 10(4), 561-570.
  • Theobald, M. (1991). “Testing The Relationship Between Forward and Spot Rates in Foreign Exchange Markets”. Journal Of Business Finance & Accounting, 18(1), 1-12.
  • Timmermann, A. (1992). “Changes In Danish Stock-Prices 1914-1990”. Nationalokonomisk Tidsskrift, 130(3), 473-482.
  • Wickremasinghe, G. B. (2008). “Predictability Of Exchange Rates in Sri Lanka: A Test of The Efficient Market Hypothesis”. Asian Academy of Management Journal of Accounting and Finance, 3(2), 43-59.
  • Zivot, E., & D. W. K. Andrews, 1992, “Further Evidence on The Great Crash, The Oil Price Shock and The Unit Root Hypothesis.” Journal Of Business and Economic Statistics 10, 251-270.

TÜRKİYE DÖVİZ PİYASASINDA ETKİN PİYASALAR HİPOTEZİNİN DAVRANIŞSAL FİNANS AÇISINDAN TESPİTİ

Year 2021, Volume: 19 Issue: 3, 77 - 93, 25.09.2021

Yasemin Başarır , Alpaslan Serel

https://doi.org/10.11611/yead.970584

Abstract

Etkin piyasalar hipotezine göre rasyonel bireyler ulaşılabildikleri tüm bilgileri kullanarak bilginin hepsinin fiyatlara yansımasını sağlamakta ve piyasada sistematik hata söz konusu olmamaktadır. Bu hipotezin geçerli olması bireylerin rasyonel davranması ve piyasada arbitraj imkanının bulunması varsayımlarını içermektedir. Ancak yıllar boyunca yapılan gözlem ve uygulama çalışmalarında, bu varsayımların aksine sonuçların meydana geldiği gözlemlenmiştir. Bu çalışmada TL’nin Euro ve dolara karşı günlük spot ve forward döviz kurları kullanılarak Türkiye’de döviz piyasasının zayıf formda ve yarı güçlü formda etkin olup olmadığı test edilmiştir. Çalışma sonucunda Türkiye için ele alınan dönem içerisinde yapısal kırılmaları da dikkate alan testler sonucunda Döviz piyasalarının zayıf formda etkin olmasına rağmen yarı güçlü formda etkin olmadığı tespit edilmiştir.

Keywords

Etkin Piyasalar Hipotezi Döviz Kuru Vadeli Kur Gregory-Hansen Eşbütünleşme Testi

References

  • Ahmad, R., Rhee, S. G., & Wong, Y. M. (2012). “Foreign Exchange Market Efficiency Under Recent Crises: Asia-Pacific Focus”. Journal Of International Money and Finance, 31(6), 1574-1592.
  • Akal, M., Birgili, E., & Durmuşkaya, S. (2012). “İMKB 30, İMKB 100, Dolar ve Avro Futures Piyasalarının Etkinliğinin Testi”. Business And Economics Research Journal, 3(4), 1-20.
  • Altin, H. (2017). “Türkiye’de Döviz Piyasalarında Yaşanan Fiyat Hareketlerinin Ölçülmesi”. Aksaray Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 9(2), 95-104.
  • Aroskar, R., Sarkar, S. K., & Swanson, P. E. (2004). “European Foreign Exchange Market Efficiency: Evidence Based on Crisis and Noncrisis Periods”. International Review Of Financial Analysis, 13(3), 333-347.
  • Berke B.; Özcan, B. & Dizdarlar, H.I. (2014). "Döviz Piyasasının Etkinliği: Türkiye İçin Bir Analiz," Ege Academic Review, Vol. 14(4), 621-636.
  • Burt, J., Kaen, F. R., & Booth, G. G. (1977). “Foreign Exchange Market Efficiency Under Flexible Exchange Rates”. The Journal of Finance, 32(4), 1325-1330.
  • Cerchi, M., & Havenner, A. (1988). Cointegration And Stock Prices: The Random Walk on Wall Street Revisited. Journal of Economic Dynamics and Control, 12(2-3), 333-346.
  • Chaudhry, A. F., Hanif, M. M., Hassan, S., & Chani, M. I. (2019). Efficiency Of the Black Foreign Exchange Market. International Journal of Economics and Finance, 11(2), 165.
  • Cornell, W. B., & Dietrich, J. K. (1978). “The Efficiency of The Market for Foreign Exchange Under Floating Exchange Rates”. The Review of Economics and Statistics, 111-120.
  • Czech, K. A., & Waszkowski, A. (2012). “Foreign Exchange Market Efficiency. Empirical Results for The Usd/Eur Market”. Finansowy Kwartalnik Internetowy E-Finanse, 8(3), 1-9.
  • Çiçek, M. (2014). “A Cointegration Test for Turkish Foreign Exchange Market Efficiency”. Asian Economic and Financial Review, 4(4), 451.
  • Çağli, E. Ç., & Mandaci, P. E. (2013). “The Long-Run Relationship Between the Spot And Futures Markets Under Multiple Regime-Shifts: Evidence From Turkish Derivatives Exchange”. Expert Systems with Applications, 40(10), 4206-4212.
  • Çil Yavuz, N. (2015). Finansal Ekonometri. 2. Basım, İstanbul, Der Yayınları.
  • Engle, R.F. & Granger, C.W., (1987). Cointegration And Error Correction: Representation, Estimation and Testing. Econometrica 55, 251–276.
  • Fama, E. F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, 25(2), 383-417.
  • Friedman, D., & Vandersteel, S. (1982). “Short-Run Fluctuations in Foreign Exchange Rates: Evidence from The Data 1973–1979”. Journal Of International Economics, 13(1-2), 171-186.
  • Geweke, J., & Feige, E. (1979). “Some Joint Tests of The Efficiency of Markets for Forward Foreign Exchange”. The Review of Economics and Statistics, 61(3), 334-341.
  • Gregory, A. W. & Hansen, B. E. (1996). “Residual-Based Tests for Cointegration in Models with Regime Shifts”. Journal Of Econometrics, 70(1): 99-126.
  • Harvey, C. R., & Huang, R. D. (1991). “Volatility In the Foreign Currency Futures Market”. The Review of Financial Studies, 4(3), 543-569.
  • Jeon B. & Chiang T., (1991). “A System of Stock Prices in World Stock Exchanges: Common Stochastic Trends For 1975-1990?”. Journal Of Economics and Business, 43(4), 329-338.
  • Kallianiotis, J. N. (2018). “How Efficient Is the Foreign Exchange Market?”, Athens Journal of Business and Economics, 4(3), 293-326.
  • Kang, M. W. (2019). “Currency Market Efficiency Revisited: Evidence from Korea.” International Journal of Financial Studies, 7(3), 52.
  • Korkmaz, T., Cevik, E. I., & Özataç, N. (2009). “Testing For Long Memory in Ise Using Arfima-Figarch Model and Structural Break Test”. MPRA Paper No. 71302.
  • Kühl, M., (2010). “Bivariate Cointegration of Major Exchange Rates, Cross-Market Efficiency and The Introduction of The Euro”. Journal Of Economics and Business, 62(1), 1-19.
  • Lai, K.S. & Lai, M. (1991). “A Cointegraion Test for Market Efficiency”. The Journal of Futures Markets, 11(5), 567-575.
  • Lee, C. I., Pan, M. S., & Liu, Y. A. (2001). “On Market Efficiency of Asian Foreign Exchange Rates: Evidence from A Joint Variance Ratio Test And Technical Trading Rules”. Journal Of International Financial Markets, Institutions and Money, 11(2), 199-214.
  • Meese, R. A., & Rogoff, K. (1983). “Empirical Exchange Rate Models of The Seventies: Do They Fit Out Of Sample?” Journal Of International Economics, 14(1-2), 3-24.
  • Mert, M., & Çağlar, A. E. (2019). Eviews Ve Gauss Uygulamalı Zaman Serileri Analizi. Ankara: Detay Yayıncılık.
  • Mike, F. (2018). “Faiz Oranı Paritesi Ve Etkin Piyasa Hipotezinin Gelişen Piyasa Ekonomileri Için Test Edilmesi”. Eskişehir Osmangazi Üniversitesi İktisadi Ve İdari Bilimler Dergisi, 13(1), 65-86.
  • Oh, G., Kim, S., & Eom, C. (2007). “Market Efficiency in Foreign Exchange Markets”. Physica A: Statistical Mechanics and Its Applications, 382(1), 209-212.
  • Özün, A. & Erbaykal, E. (2009). “Detecting Risk Transmission from Futures to Spot Markets Without Data Stationarity: Evidence From Turkey’s Markets”. Journal Of Risk Finance, 10(4), 365–376.
  • Perron, P. (1989), "The Great Crash, The Oil Price Shock, And The Unit Root Hypothesis", Econometrica, 5(6),1361-1401.
  • Phengpis, C. (2006). “Market Efficiency and Cointegration of Spot Exchange Rates During Periods of Economic Turmoil: Another Look at European And Asian Currency Crises”. Journal Of Economics and Business, 58(4), 323-342.
  • Phıllıps, P. C., & Hansen, B. E. (1990). Statistical Inference in Instrumental Variables Regression With I (1) Processes. The Review Of Economic Studies, 57(1), 99-125.
  • Rapp, T. A., & Sharma, S. C. (1999). “Exchange Rate Market Efficiency: Across and Within Countries”. Journal Of Economics and Business, 51(5), 423-439.
  • Sephton, P. S., & Larsen, H. K. (1991). “Tests Of Exchange Market Efficiency: Fragile Evidence from Cointegration Tests”. Journal Of International Money and Finance, 10(4), 561-570.
  • Theobald, M. (1991). “Testing The Relationship Between Forward and Spot Rates in Foreign Exchange Markets”. Journal Of Business Finance & Accounting, 18(1), 1-12.
  • Timmermann, A. (1992). “Changes In Danish Stock-Prices 1914-1990”. Nationalokonomisk Tidsskrift, 130(3), 473-482.
  • Wickremasinghe, G. B. (2008). “Predictability Of Exchange Rates in Sri Lanka: A Test of The Efficient Market Hypothesis”. Asian Academy of Management Journal of Accounting and Finance, 3(2), 43-59.
  • Zivot, E., & D. W. K. Andrews, 1992, “Further Evidence on The Great Crash, The Oil Price Shock and The Unit Root Hypothesis.” Journal Of Business and Economic Statistics 10, 251-270.
There are 40 citations in total.

Details

Primary Language Turkish
Subjects Economics
Journal Section Articles
Authors

Yasemin Başarır 0000-0003-4723-7120

Alpaslan Serel 0000-0002-8612-931X

Publication Date September 25, 2021
Published in Issue Year 2021 Volume: 19 Issue: 3

Cite

APA Başarır, Y., & Serel, A. (2021). TÜRKİYE DÖVİZ PİYASASINDA ETKİN PİYASALAR HİPOTEZİNİN DAVRANIŞSAL FİNANS AÇISINDAN TESPİTİ. Journal of Management and Economics Research, 19(3), 77-93. https://doi.org/10.11611/yead.970584
AMA Başarır Y, Serel A. TÜRKİYE DÖVİZ PİYASASINDA ETKİN PİYASALAR HİPOTEZİNİN DAVRANIŞSAL FİNANS AÇISINDAN TESPİTİ. Journal of Management and Economics Research. September 2021;19(3):77-93. doi:10.11611/yead.970584
Chicago Başarır, Yasemin, and Alpaslan Serel. “TÜRKİYE DÖVİZ PİYASASINDA ETKİN PİYASALAR HİPOTEZİNİN DAVRANIŞSAL FİNANS AÇISINDAN TESPİTİ”. Journal of Management and Economics Research 19, no. 3 (September 2021): 77-93. https://doi.org/10.11611/yead.970584.
EndNote Başarır Y, Serel A (September 1, 2021) TÜRKİYE DÖVİZ PİYASASINDA ETKİN PİYASALAR HİPOTEZİNİN DAVRANIŞSAL FİNANS AÇISINDAN TESPİTİ. Journal of Management and Economics Research 19 3 77–93.
IEEE Y. Başarır and A. Serel, “TÜRKİYE DÖVİZ PİYASASINDA ETKİN PİYASALAR HİPOTEZİNİN DAVRANIŞSAL FİNANS AÇISINDAN TESPİTİ”, Journal of Management and Economics Research, vol. 19, no. 3, pp. 77–93, 2021, doi: 10.11611/yead.970584.
ISNAD Başarır, Yasemin - Serel, Alpaslan. “TÜRKİYE DÖVİZ PİYASASINDA ETKİN PİYASALAR HİPOTEZİNİN DAVRANIŞSAL FİNANS AÇISINDAN TESPİTİ”. Journal of Management and Economics Research 19/3 (September 2021), 77-93. https://doi.org/10.11611/yead.970584.
JAMA Başarır Y, Serel A. TÜRKİYE DÖVİZ PİYASASINDA ETKİN PİYASALAR HİPOTEZİNİN DAVRANIŞSAL FİNANS AÇISINDAN TESPİTİ. Journal of Management and Economics Research. 2021;19:77–93.
MLA Başarır, Yasemin and Alpaslan Serel. “TÜRKİYE DÖVİZ PİYASASINDA ETKİN PİYASALAR HİPOTEZİNİN DAVRANIŞSAL FİNANS AÇISINDAN TESPİTİ”. Journal of Management and Economics Research, vol. 19, no. 3, 2021, pp. 77-93, doi:10.11611/yead.970584.
Vancouver Başarır Y, Serel A. TÜRKİYE DÖVİZ PİYASASINDA ETKİN PİYASALAR HİPOTEZİNİN DAVRANIŞSAL FİNANS AÇISINDAN TESPİTİ. Journal of Management and Economics Research. 2021;19(3):77-93.