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Journals / Finans Politik ve Ekonomik Yorumlar Dergisi / 2022 / Cilt: 0 - Sayı: 659

AN ANALYSIS OF THE RELATIONSHIP BETWEEN RETURN PREDICTABILITY AND MARKET CONDITIONS IN THE CONTEXT OF ADAPTIVE MARKET HYPOTHESIS: EVIDENCE FROM BORSA ISTANBUL 100 INDEX

ADAPTİF PİYASA HİPOTEZİ KAPSAMINDA GETİRİ ÖNGÖRÜLEBİLİRLİĞİ İLE PİYASA KOŞULLARI ARASINDAKİ İLİŞKİNİN İNCELENMESİ: BİST 100 ENDEKSİ ÖRNEĞİ

Mustafa Mesut KAYALI
Fatma KÖSE İÇİGEN
Pages
135–160
Publication Date
2022-10-18
DOI
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AI Summary & Key Takeaways

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

According to findings, the degree of return predictability varies over time and it is influenced by market conditions, As the result, Adaptive Market Hypothesis is valid in BIST 100 index.

📌 3 Key Takeaways

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Objective & Hypothesis:This study examines the validity of the Adaptive Market Hypothesis for BIST 100 index.
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Key Findings & Data:For this purpose, BIST 100 index daily returns investigated by linear and nonlinear methods over the periods from January 1988-November 2020.
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Conclusion & Impact:According to findings, the degree of return predictability varies over time and it is influenced by market conditions, As the result, Adaptive Market Hypothesis is valid in BIST 100 index.
🔬Design:Research Article
📍Scope:2020 Verileri
⚙️Variables:Domain Parameters

Abstract

This study examines the validity of the Adaptive Market Hypothesis for BIST 100 index. For this purpose, BIST 100 index daily returns investigated by linear and nonlinear methods over the periods from January 1988-November 2020. Three linear variance ratio tests (Chow Denning, Joint Rank and Joint Sign) and nonlinear BDS test were used. These tests applied to the sub-samples obtained by the fixed-length rolling window method. Subsequently, in order to determine whether the degree of return predictability is affected by market conditions, the relationship of the degree of return predictability with basic economic indicators (gold prices, dollar exchange rate and money supply) and the crises experienced in Turkey (1994, 2001 and 2008) was investigated by multiple regression analysis. According to findings, the degree of return predictability varies over time and it is influenced by market conditions, As the result, Adaptive Market Hypothesis is valid in BIST 100 index.

Özet

Bu çalışmada Adaptif Piyasa Hipotezi'nin BİST 100 endeksinde geçerli olup olmadığı araştırılmaktadır. Bu doğrultuda Ocak 1988-Kasım 2020 dönemine ait BIST 100 endeksi günlük getirileri doğrusal ve doğrusal olmayan yöntemlerle araştırılmıştır. Doğrusal yöntemlerden üç farklı varyans oranı testi (Chow Denning, Joint Rank ve Joint Sign) ve doğrusal olmayan BDS testi kullanılmıştır. Bu testler sab􀵴t uzunlukta pencere kaydırma yöntem􀵴yle elde ed􀵴len alt örneklemlere uygulanmıştır. Böylece p􀵴yasa etk􀵴nl􀵴ğ􀵴n􀵴n zamanla değ􀵴şt􀵴ğ􀵴 bel􀵴rlenm􀵴şt􀵴r. Ayrıca get􀵴r􀵴 öngörüleb􀵴l􀵴rl􀵴ğ􀵴 dereces􀵴n􀵴n p􀵴yasa koşullarından etk􀵴len􀵴p etk􀵴lenmed􀵴ğ􀵴n􀵴 bel􀵴rlemek amacıyla get􀵴r􀵴 öngörüleb􀵴l􀵴rl􀵴ğ􀵴 dereceler􀵴n􀵴n temel ekonom􀵴k göstergeler (altın, dolar kuru ve para arzı) ve Türk􀵴ye'de yaşanan kr􀵴zlerle (1994, 2001 ve 2008) 􀵴l􀵴şk􀵴s􀵴 çoklu regresyon anal􀵴z􀵴 􀵴le araştırılmıştır. Sonuçlara göre getiri öngörülebilirliği piyasa koşullarından etkilenmektedir yani Adaptif Piyasa Hipotezi BİST 100 endeksinde geçerlidir.

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Cite This Article

KAYALI, M. M., İÇİGEN, F. K. (2022). AN ANALYSIS OF THE RELATIONSHIP BETWEEN RETURN PREDICTABILITY AND MARKET CONDITIONS IN THE CONTEXT OF ADAPTIVE MARKET HYPOTHESIS: EVIDENCE FROM BORSA ISTANBUL 100 INDEX. Finans Politik ve Ekonomik Yorumlar Dergisi, Cilt: 0 - Sayı: 659, 135–160. https://ajindex.com/articles/516485

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