The Validity of the Efficient Market Hypothesis: The Case of the G7 Countries

Yıl 2021, , 67 - 82, 23.03.2021

Filiz Erataş Sönmez

https://doi.org/10.18657/yonveek.863937

Öz

The aim of this study is to examine the validity of Fama's efficient market hypothesis for G7 countries. In this context, the effectiveness test on weak form was conducted with the help of the non-stationary panel unit root tests within the G7 countries for the period of 1990-2020. Firstly, cross section dependence is examined with CDlm test. As a result of the presence of cross section dependency, CADF and Hadri Kurozumi second generation non-stationary panel unit root tests, which take into account the cross section dependence, were used. In line with the empirical findings obtained, it has been concluded that the markets in G7 countries are weakly efficient. According to this result, all the information that a financial asset has in the past is reflected in the price of the financial asset and it is not possible to determine the future price of any financial instrument by looking at the historical price movement. The fact that financial asset prices are not stable in weakly active markets with a random walk means that future financial asset markets cannot be predicted based on past prices.
Key Words: Efficient Market Hypothesis, Panel Data Analysis, Panel Unitroot Test
JEL Classification: C23, F30, F37

Etkin Piyasa Hipotezinin Geçerliliği: G7 Ülkeleri Örneği

Öz

Bu çalışmanın amacı Fama’nın ortaya koyduğu etkin piyasa hipotezinin geçerliliğinin G7 ülkeleri için incelenmesidir. Bu doğrultuda, zayıf formada etkinlik testi 1990-2020 dönemi için G7 ülkeleri kapsamında durağan olmayan panel birim kök testleri yardımıyla yapılmıştır. Öncelikle serilerde yatay kesit bağımlılığı CD lm testi ile incelenmiştir. Yatay kesit bağımlığının varlığı sonucunda yatay kesit bağımlılığını dikkate alan CADF ve Hadri Kurozumi ikinci nesil durağan olmayan panel birim kök testlerinden yararlanılmıştır. Elde edilen ampirik bulgular doğrultusunda G7 ülkelerinde piyasaların zayıf formda etkin olduğu sonucuna ulaşılmıştır. Bu sonuca göre herhangi bir finansal varlığın geçmişteki sahip olduğu tüm bilgiler finansal varlığın fiyatına yansımaktadır ve herhangi bir finansal aracın geçmişteki fiyat hareketine bakarak gelecekteki fiyatını belirlemek mümkün değildir. Rassal yürüyüşe sahip olan zayıf formda etkin piyasalarda finansal varlık fiyatlarının durağan olmaması, gelecekteki finansal varlık piyasalarının geçmiş fiyatlara dayalı olarak tahmin edilemeyeceği anlamına gelir.
Anahtar Kelimeler: Etkin Piyasa Hipotezi, Panel Veri Analizi, Panel Birim Kök Testi.
JEL Sınıflandırması: C23, F30, F37

Anahtar Kelimeler

Etkin Piyasa Hipotezi, Panel Veri Analizi, Panel Birim Kök Testi

Kaynakça

• Açık, A., Baran, E. ve İ. S. Ayaz. (2018). Hisse Senedi Fiyatlarında Etkinlik: Konteyner Şirketleri Üzerine Bir Araştırma, SETSCI Conference Indexing System, 3:685-689.
• Altunöz, U. (2016). Borsa İstanbul’da Zayıf Formda Etkin Piyasa Hipotezinin Testi: Bankacılık Sektörü Örneği, Uluslararası Sosyal Araştırmalar Dergisi, 9(43): 1619-1625.
• Aktan, C., İren P. ve T. Omay. (2019). Market Development and Market Efficiency: Evidence Based on Nonlinear Panel Unit Root Tests, The European Journal of Finance, 25(11): 1-15.
• Andor, G., M. Ormos, ve B. Szabó. (1999). Return Predictability in the Hungarian Capital Market.” Periodica Polytechnica. Social and Management Sciences 7 (1): 29–45.
• Breusch, T. S., ve A. R. Pagan (1980), The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics. The Review of Economic Studies, 47(1): 239-253.
• Chan, K. C., B. E. Gup, ve M. S. Pan. (1997). International Stock Market Efficiency and Integration: A Study of Eighteen Nations. Journal of Business Finance and Accounting 24 (6): 803–813.
• Choi I. (1993). Improving Empirical Size of the KPSS Test of Stationary. http://hompi.sogang.ac.kr/inchoi/workingpaper/in_choi-jetem-revision_2.pdf.
• Choudhry, K., (1997). Stochastic Trends in Stock Prices: Evidence From Latin American Markets. Journal of Macroeconomics, 19: 285–304.
• Chun, R.M. (2000). Compensation Vouchers and Equity Markets: Evidence from Hungary. Journal of Banking and Finance 24 (7):1155–1178.
• Chaudhuri, K. ve Y. Wu, (2003). Random Walk Versus Breaking Trend in Stock Prices: Evidence From Emerging Markets. Journal of Banking and Finance, 27:575–592
• Fama, E. F. (1970), Efficient Capital Markets: A Review of The Theory and Empirical Work, Journal of Finance, 25: 383-423.
• Fama, E. F. (1976). Efficient Capital Markets: Reply, The Journal of Finance, 31(1):143-145.
• Gilmore, C. G., ve G. M. McManus. (2003). Random-walk and Efficiency Tests of Central European Equity Markets. Managerial Finance 29 (4): 42–61.
• Gümüş, F. B. ve F. Zeren. (2014), Analyzing Efficient Market Hypothesis with Fourier Unit Root Tests: Evidence from G-20 Countries, Ekonomski Horizont, 16(3): 225-237. Hadri K. ve E. Kurozumi E. (2012). A Simple Panel Stationarity Test in the Presence of Serial Correlation and a Common Factor. Economics Letter, 115(1): 31-34.
• Hasanov, M, ve T. Omay. 2008. Nonlinearities in Emerging Stock Markets: Evidence From Europe’s Two Largest Emerging Markets, Applied Economics, 40 (20): 2645–2658.
• Karan, M. B. (2011). Yatırım Analizi ve Portföy Yönetimi, Ankara: Gazi Kitapevi.
• Kawakatsu, H., ve M. R. Morey. (1999). Financial Liberalization and Stock Market Efficiency: An Empirical Examination of Nine Emerging Market Countries. Journal of Multinational Financial Management 9 (3): 353–371.
• Kendall, M. G. (1953). The Analysis of Economic Time Series, Part 1. Prices, Journal of Royal Statistical Society, 96:607-636.
• Kıyılar, M. ve M. Akkaya. (2016). Davranışsal Finans, İstanbul: Literatür Yayıncılık.
• Lee, C. C., Lee, J. D. ve C. C. Lee. (2010). Stock Prices and The Efficient Market Hypothesis: Evidence from a Panel Stationary Test with Structural Breaks, Japan and the World Economy, 22:49-58.
• Lee, C.C., Tsong C. C. ve C. F. Lee. (2014). Testing for the Efficient Market Hypothesıs in Stock Prices: International Evidence From Nonlinear Heterogeneous Panels, Macroeconomic Dynamics, 18:943-958.
• Lee, J., ve M. C. Strazicich, (2003). Minimum LM Unit Root Test with Two Structural Breaks. The Review of Economics and Statistics, 85:1082–1089.
• Lean, H.H., ve R. Smyth. (2007). Do Asian Stock Markets Follow a Random Walk? Evidence from LM Unit Root Tests with One and Two Structural Breaks. Review of Pacific Basin Financial Markets and Policies, 10:15–31.
• Mandelbrot, B. (1966). Forecasts of Future Prices, Unbiased Markets and Martingale Models, Journal of Business, 39(1): 242-255.
• Narayan, P.K. (2008). Do Shocks to G7 Stock Prices Have a Permanent Effect?, Mathematics and Computers in Simulation, 77: 369–373.
• Narayan, P.K., ve S. Narayan, (2007). Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests. Studies in Economics and Finance, 24(3):233–244.
• Narayan, P. K., ve R. Smyth. (2005). Are OECD Stock Prices Characterized by a Random Walk? Evidence from Sequential Trend Break and Panel Data Models. Applied Financial Economics 15 (8): 547–556.
• Narayan, P.K., ve R. Smyth. (2007). Mean Reversion Versus Random Walk in G7 Stock Prices Evidence from Multiple Trend Break Unit Root Tests. Journal of International Financial Markets, Institutions and Money, 17:152–166.
• Osberne, M. (1959). Brownian Motion in the Stock Market, Operation Research, 7: 145-173.
• Osberne, M. (1962). Periodic Stuctures in the Brownian Motion of Stock Prices, Operation Research, 10: 345-379.
• Panagiotidis, T. (2005). Market Capitalization and Efficiency. Does It Matter? Evidence from the Athens Stock Exchange. Applied Financial Economics 15 (10): 707–713.
• Pesaran, H., M. (2004), General Diagnostic Tests for Cross Section Dependence in Panels. Working Paper 0435, University of Cambridge, 1-39.
• Pesaran H. M. (2007), A Simple Panel Unit Root Test in the Presence of Cross-Section Dependence. Journal of Applied Economics, 22:265-312.
• Pesaran, H., M., Ullah, A. ve T. Yamagata, (2008). A Bias-Adjusted Lm Test of Error Crosssection Independence. The Econometrics Journal, 11(1): 105-127.
• Ross, S., A. Westerfield, W. Randolph ve J. Jaffe (1996), Corporate Finance, (4. Ed.), Irwin Press.
• Samuleson, P. (1965). Proof that Properly Anticipated Prices Fluctuate Randomly, Industurial Management Review, 6: 41-49.
• Sul D., Phillips P. C. B. ve C. Y. Choi (2005). Prewhitening bias in HAC Estimation, Oxford Bulletin of Economics and Statistics, 67(4): 517-546.
• Tufan, C. ve R. Sarıçiçek. (2013), Davranışsal Finans Modelleri, Etkin Piyasa Hipotezi ve Anamolilerine İlişkin Bir Değerlendirme, Trakya Üniversitesi Sosyal Bilimler Dergisi, 15 (2): 159-182.
• Toda H. Y. ve T. Yamamoto (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66(1-2): 225-250.
• Worthington, A. C., ve H. Higgs. (2004). Random Walks and Market Efficiency in European Equity Markets. Global Journal of Finance and Economics 1 (1): 59–78.