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Journals / Doğuş Üniversitesi Dergisi / 2010 / Cilt: 11 - Sayı: 2

Etkin piyasa hipotezi ve gelişmekte olan piyasaların birlikte hareketi

Efficient market hypothesis and comovement among emerging markets

Oktay TAŞ
KAYA TOKMAKÇIOĞLU
Pages
286–301
DOI
—
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AI Summary & Key Takeaways

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

However, the firm evidence against the market efficiency could not be established because of the low explanatory power of the results generated from the vector error correction model.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The main purpose of this study is to investigate stock market cointegration from the market efficiency perspective.
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Key Findings & Data:Therefore, eleven emerging stock market indices are tested by using weekly data for the period of January 1998- December 2008 and for the sub period of January 2002-December 2008.
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Conclusion & Impact:However, the firm evidence against the market efficiency could not be established because of the low explanatory power of the results generated from the vector error correction model.
🔬Design:Modeling & Simulation
📍Scope:2008 Verileri
⚙️Variables:Domain Parameters

Abstract

The main purpose of this study is to investigate stock market cointegration from the market efficiency perspective. Therefore, eleven emerging stock market indices are tested by using weekly data for the period of January 1998- December 2008 and for the sub period of January 2002-December 2008. Comovement among the emerging market countries was analyzed through Johansen cointegration test. The existence of two cointegrating vectors has been found at 5% significance level. However, the firm evidence against the market efficiency could not be established because of the low explanatory power of the results generated from the vector error correction model.

Özet

Bu çalışmanın amacı hisse senedi piyasaları eşbütünleşimini etkin pazar pespektifinden araştırmaktır. Bu bağlamda 11 gelişmekte olan piyasanın Ocak 1998-Aralık 2008 ve Ocak 2002-Aralık 2008 dönemli haftalık verileri test edilmiştir. Gelişmekte olan ülke piyasalarının birlikte hareketi Johansen eşbütünleşim testi ile incelenmiş ve %5 anlamlılık düzeyinde iki eşbütünleşim vektörü bulunmuştur. Buna rağmen vektör hata düzeltme modelinin açıklama gücünün düşük olmasından dolayı piyasa ekinliğine karşı kesin bir bulgu ortaya konulamamıştır.

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Cite This Article

TAŞ, O., TOKMAKÇIOĞLU, K. (2010). Etkin piyasa hipotezi ve gelişmekte olan piyasaların birlikte hareketi. Doğuş Üniversitesi Dergisi, Cilt: 11 - Sayı: 2, 286–301. https://ajindex.com/articles/128510

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References (1)

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