SavedAdd your journal

Journals / Finans Politik ve Ekonomik Yorumlar Dergisi / 2020 / Cilt: 57 - Sayı: 654

DO BANKS HAVE LONG MEMORY IN TURKEY?

TÜRKĠYE’DE BANKALAR UZUN HAFIZAYA MI SAHĠP?

Selin SARILI
Pages
47–75
Publication Date
2022-10-18
DOI
—
🏛️Bibliographic metadata and full text access for this article are provided via DergiPark.
DergiPark Record ↗
✨

AI Summary & Key Takeaways

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

Zivot-Andrews structural break test was performed and the presence of long memory was tested with the Geweke Porter-Hudak, Modified Log-Periodogram and Robinson Gaussian Semiparametric Methods.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Traditional finance theory, which is based on the assumption that investors make rational decisions while trading in financial markets, has led to the emergence of the concept of behavioral finance through the investigation of market anomalies in recent years.
📊
Key Findings & Data:In this study, the validity of the Efficient Market Hypothesis was investigated with the shares of 11 banks traded on Borsa Istanbul.
💡
Conclusion & Impact:Zivot-Andrews structural break test was performed and the presence of long memory was tested with the Geweke Porter-Hudak, Modified Log-Periodogram and Robinson Gaussian Semiparametric Methods.
🔬Design:Modeling & Simulation
📍Scope:Comprehensive Sample
⚙️Variables:Domain Parameters

Abstract

Traditional finance theory, which is based on the assumption that investors make rational decisions while trading in financial markets, has led to the emergence of the concept of behavioral finance through the investigation of market anomalies in recent years. In this context, market efficiency for Borsa Ġstanbul has been investigated and its relation with behavioral finance has been tried to reveal. In this study, the validity of the Efficient Market Hypothesis was investigated with the shares of 11 banks traded on Borsa Istanbul. For this purpose, firstly the stationarity of the series was examined and then it was analyzed whether they were stationary under structural break. The existence of the effective market hypothesis was tested with long memory model. Zivot-Andrews structural break test was performed and the presence of long memory was tested with the Geweke Porter-Hudak, Modified Log-Periodogram and Robinson Gaussian Semiparametric Methods.

Özet

Yatırımcıların finansal piyasalarda iĢlem yaparken, rasyonel kararlar aldıkları varsayımına dayanan geleneksel finans teorisi, son yıllarda piyasa anomalilerinin araĢtırılması ile davranıĢsal finans kavramının ortaya çıkmasını sağlamıĢtır. Bu kapsamda Borsa Ġstanbul için piyasa etkinliği araĢtırılmıĢ ve davranıĢsal finans ile iliĢkisi ortaya konmaya çalıĢılmıĢtır. ÇalıĢmada Borsa Ġstanbul‟da iĢlem gören, 11 banka hisse senedi ile Etkin Piyasa Hipotezi‟nin geçerliliği araĢtırılmıĢtır. Bu amaçla öncelikle serilerin durağanlıkları incelenmiĢ, daha sonra yapısal kırılma altında durağan olup olmadıkları analiz edilmiĢ.etkin piyasa hipotezinin varlığı ise uzun hafızamodeli ile test edilmiĢtir. Zivot-Andrews yapısal testi yapılmıĢ ve Geweke ve Porter-Hudak, Modifiye EdilmiĢ Log-Periodogram ve Robinson Gaussian Yarı Parametrik Yöntem ile uzun hafızanın varlığı sınanmıĢtır.

🔖

Cite This Article

SARILI, S. (2022). DO BANKS HAVE LONG MEMORY IN TURKEY?. Finans Politik ve Ekonomik Yorumlar Dergisi, Cilt: 57 - Sayı: 654, 47–75. https://ajindex.com/articles/516526

📄 Full Text PDF Viewer

📄

PDF görüntüleyici hazırlanıyor...

References (8)

  1. ALTUNÖZ, Utku; (2016). “Borsa Ġstanbul‟da Zayıf Formda Etkin Piyasa Hipotezinin Testi: Bankacılık Sektörü Örneği”, Uluslararası Sosyal AraĢtırmalar Dergisi, 9(43). BODIE, Zvi, Alex KANE, Alan J. MARCUS; (2003),
  2. Investments, New York,USA: The McGraw Hill Education, 10th Edition.
  3. CHANCHARAT, Surachai. ve Valadkhani ABBAS; (2007),“Structural breaks and testing for the random walk hypothesis in international stock prices”, University of Wollongong Research Online, Faculty of Commerce – Papers. CHOI, Kyongwook, Eric ZIVOT; (2007),“Long memory and structural changes in the forward discount: An emprical investigation”,Journal of International Money and Finance, 26, 342-363. ss. ÇEVĠK, Emrah; (2012),“Ġstanbul Menkul Kıymetler Borsası‟nda Etkin Piyasa Hipotezinin Uzun Hafıza Modelleri ile Analizi: Sektörel Bazda Bir Ġnceleme”, Journal of Yasar University, 26(7), ss.4437-4454. ÇEVĠK, Emrah Ġsmail (2018), Borsa Ġstanbul Zayıf Formda Etkin mi? Markov-Switching ADF Testi YaklaĢımı, BDDK Bankacılık ve Finansal Piyasalar, 12 (2), 9-30. ÇEVĠK, Emrah, SerhatSEZEN (2020). Bankacılık Sektörü Ġçin Etkin Piyasalar Hipotezinin Uzun Hafıza Modelleri Analizi. Yönetim ve Ekonomi AraĢtırmaları Dergisi, 18 (1), 332-351.
  4. BUĞAN, Mehmet Fatih, Emrah ĠsmailÇEVĠK ve Nüket KIRCI ÇEVĠK (2019), Katılım 30 Endeksi Ġçin Zayıf Formda Etkin Piyasa Hipotezinin ARFIMA-FIEGARCH Model ile Analizi, Iğdır Üniversitesi Sosyal Bilimler Dergisi, Aralık, 219-241. ÇEVĠK, Emrah Ġsmail ve GültekinTOPALOĞLU(2014), Volatilitede Uzun Hafıza ve Yapısal Kırılma: Borsa Ġstanbul Örneği, Balkan Sosyal Bilimler Dergisi, 3 (6), 40-55. ÇEVĠK, Emrah Ġsmail ve SedatERDOĞAN (2009), Bankacılık sektörü hisse senedi piyasasının etkinliği: Yapısal kırılma ve güçlü hafıza, DoğuĢ Üniversitesi Dergisi, 10 (1), 26- 40. DAMODARAN, Aswath; (2012),“Market Efficiency: Definitions and Tests”, NYU Stern School of Business, http://people.stern.nyu.edu/adamodar/pdfiles/eqnotes/mkteff.pdf
  5. DICKEY, David A. ve Wayne A. Fuller; (1981),“Likelihood ratio statistics for autoregressive time series with a unit root”, Econometrica, 49(4), pp 1057-1072.
  6. FAMA, Eugen; (1965),“Random Walks in Stock Market Prices. Financial Analysts Journal”, 21(5), 55-59.
  7. FAMA, Eugen; (1970),“Efficient capital markets: A review of theory and empiricalworks”, Journal of Finance, 25, 383-417.
  8. FRANKFURTERA, George M., Elton G. MCGOUN; (2001), "Anomalies in Finance What Are They and What are They Good For?" International Review of Financial Analysis, 10, p. 22. GÖZBAġI,