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Journals / Ekonomi Politika ve Finans Araştırmaları Dergisi / 2020 / Cilt: 5 Sayı: 2

An Empirical Study on Turkey Foreign Exchange Market in the Context of Weak Form Market Efficiency

Zayıf Form Piyasa Etkinliği Kapsamında Türkiye Döviz Piyasası Üzerine Ampirik Bir Çalışma

Oktay Özkan(GAZİOSMANPAŞA ÜNİVERSİTESİ, İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ)0000-0001-9419-8115
Pages
471–484
Publication Date
2020-08-31
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Investors who make their investments using historical price movements have a greater chance of making successful investments at EURO/TL and YEN/TL exchange rates than other exchange rates.

📌 3 Key Takeaways

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Objective & Hypothesis:This study aims to compare assets in the Turkey foreign exchange market in terms of return predictability with the historical price information and to evaluate weak-form market efficiency of Turkey foreign exchange market.
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Key Findings & Data:For this aim, analyses are carried out with the generalized spectral test with the help of rolling sub-sample windows using weekly return rates between 07.02.1999-09.02.2020 of TL values of currencies in the IMF SDR basket, which account for about 96% of the Turkish foreign currency reserves.
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Conclusion & Impact:Investors who make their investments using historical price movements have a greater chance of making successful investments at EURO/TL and YEN/TL exchange rates than other exchange rates.
🔬Design:Araştırma Makalesi
📍Scope:2020 Verileri
⚙️Variables:Genelleştirilmiş Spektral Testi · Hareketli Alt Örneklem Pencereleri · Döviz Piyasası

Abstract

This study aims to compare assets in the Turkey foreign exchange market in terms of return predictability with the historical price information and to evaluate weak-form market efficiency of Turkey foreign exchange market. For this aim, analyses are carried out with the generalized spectral test with the help of rolling sub-sample windows using weekly return rates between 07.02.1999-09.02.2020 of TL values of currencies in the IMF SDR basket, which account for about 96% of the Turkish foreign currency reserves. As a result of the analyses, it is found that EURO/TL and especially YEN/TL exchange rates have the number of weeks in which higher rates of return can be estimated using historical price movements compared to other exchange rates, while dollar/TL and YUAN/TL exchange rates have the minimum number of weeks. Also, it is determined that the return rates of foreign exchange rates can be estimated at certain periods using historical information and that they cannot be estimated at certain periods and therefore the weak-form efficiency of Turkey foreign exchange market shows periodic changes. Investors who make their investments using historical price movements have a greater chance of making successful investments at EURO/TL and YEN/TL exchange rates than other exchange rates.

Özet

Bu çalışmanın amacı Türkiye döviz piyasası içerisinde bulunan varlıkları tarihsel fiyat bilgileriyle getiri oranı tahmin edilebilirliği açısından karşılaştırmak ve Türkiye döviz piyasasının zayıf formdaki piyasa etkinliğini değerlendirmektir. Bu amaç kapsamında çalışmada IMF SDR sepetinde yer alan ve Türkiye döviz cinsi rezervlerinin yaklaşık %96’sını oluşturan para birimlerinin TL cinsi değerlerine ait 07.02.1999-09.02.2020 tarihleri arasındaki haftalık getiri oranları kullanılarak hareketli alt örneklem pencereleri yardımıyla genelleştirilmiş spektral testi ile analizler gerçekleştirilmiştir. Analizler sonucunda, EURO/TL ve özellikle YEN/TL döviz kurlarının diğer döviz kurlarına göre tarihsel fiyat hareketleri kullanılarak daha fazla getiri oranlarının tahmin edilebildiği hafta sayısına sahip olduğu, DOLAR/TL ve YUAN/TL döviz kurlarının ise en az hafta sayısına sahip olduğu bilgisine ulaşılmıştır. Ayrıca döviz kurlarına ait getiri oranlarının tarihsel bilgiler kullanılarak belirli dönemlerde tahmin edilebildiği, belirli dönemler de ise tahmin edilemediği ve dolayısıyla Türkiye döviz piyasasının zayıf formdaki etkinliğinin dönemsel değişimler gösterdiği belirlenmiştir. Tarihsel fiyat hareketlerinden yararlanarak yatırımlarını gerçekleştiren yatırımcıların EURO/TL ve YEN/TL döviz kurlarında başarılı yatırımlar gerçekleştirme şansları diğer döviz kurlarına göre daha fazladır.

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Cite This Article

Özkan, O., *, O. Ö. (2020). An Empirical Study on Turkey Foreign Exchange Market in the Context of Weak Form Market Efficiency. Ekonomi Politika ve Finans Araştırmaları Dergisi, Cilt: 5 Sayı: 2, 471–484. https://doi.org/10.30784/epfad.689506

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