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Journals / Uluslararası İşletme ve Ekonomi Çalışmaları Dergisi / 2026 / Cilt: 7 Sayı: 1

Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application

Adaptif Piyasa Hipotezinin Kırılgan Beşli Ülkeleri için Test Edilmesi: Zamanla Değişen KSS Birim Kök Testi Uygulaması

Serkan Eryılmaz(MALTEPE ÜNİVERSİTESİ)0000-0002-8537-5607
Feyyaz Zeren(YALOVA ÜNİVERSİTESİ)0000-0003-0163-5916
Tayfun Yılmaz(BURDUR MEHMET AKİF ERSOY ÜNİVERSİTESİ)0000-0002-7127-2017
Pages
70–80
Publication Date
2025-03-31
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AI Summary & Key Takeaways

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

As a result of the time-varying KSS unit root test developed by Kapetanios, Shin and Snell (2003), it was found that the periodic weak form of market efficiency is valid for the Fragile Five countries and the AMH was confirmed for these markets.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:In this study, the validity of the Adaptive Market Hypothesis (AMH) for the Fragile Five countries (India, Brazil, Indonesia, Turkey, and South Africa) was investigated through daily data for the period 01.09.2013-30.06.2024.
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Key Findings & Data:As a result of the time-varying KSS unit root test developed by Kapetanios, Shin and Snell (2003), it was found that the periodic weak form of market efficiency is valid for the Fragile Five countries and the AMH was confirmed for these markets.
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Conclusion & Impact:Therefore, it is understood that the random walk hypothesis is periodically valid and investors who use technical analysis methods have the potential to earn higher-than-normal returns when the random walk is not valid.
🔬Design:Araştırma Makalesi
📍Scope:2013 Verileri
⚙️Variables:Adaptif Piyasa Hipotezi · Kırılgan Beşli Ülkeleri · Zamanla Değişen KSS Birim Kök Testi

Abstract

In this study, the validity of the Adaptive Market Hypothesis (AMH) for the Fragile Five countries (India, Brazil, Indonesia, Turkey, and South Africa) was investigated through daily data for the period 01.09.2013-30.06.2024. As a result of the time-varying KSS unit root test developed by Kapetanios, Shin and Snell (2003), it was found that the periodic weak form of market efficiency is valid for the Fragile Five countries and the AMH was confirmed for these markets. Therefore, it is understood that the random walk hypothesis is periodically valid and investors who use technical analysis methods have the potential to earn higher-than-normal returns when the random walk is not valid.

Özet

Bu çalışmada, Kırılgan Beşli ülkeleri (Hindistan, Brezilya, Endonezya, Türkiye ve Güney Afrika) için Adaptif Piyasa Hipotezi'nin (APH) geçerliliği 01.09.2013-30.06.2024 dönemine ait günlük veriler kullanılarak araştırılmıştır. Kapetanios, Shin ve Snell (2003) tarafından geliştirilen zamanla değişen KSS birim kök testi sonucunda piyasa etkinliğinin dönemsel zayıf formunun Kırılgan Beşli ülkeleri için geçerli olduğu tespit edilmiş ve bu piyasalar için APH doğrulanmıştır. Dolayısıyla, rassal yürüyüş hipotezinin dönemsel olarak geçerli olduğu ve teknik analiz yöntemlerini kullanan yatırımcıların rassal yürüyüşün geçerli olmadığı durumlarda normalden daha yüksek getiri elde etme potansiyeline sahip olduğu anlaşılmaktadır.

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Cite This Article

Eryılmaz, S., Zeren, F., Yılmaz, T. (2025). Testing the Adaptive Market Hypothesis for Fragile Five Countries: Time-Varying KSS Unit Root Test Application. Uluslararası İşletme ve Ekonomi Çalışmaları Dergisi, Cilt: 7 Sayı: 1, 70–80. https://doi.org/10.54821/uiecd.1568223

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