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Journals / Istanbul Business Research / 2019 / Cilt: 48 - Sayı: 1

Efficiency Analysis of Housing Market in Turkey

Türkiye Konut Piyasasında Etkinlik Analizi

Esra ALP
Ünal SEVEN
Pages
84–112
Publication Date
2019-05-29
DOI
—
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AI Summary & Key Takeaways

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

This evidence suggests that Turkish housing market is efficient in its weak form.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Do house price movements in Turkish housing market, which has been one of the prominent sectors of Turkish economy in recent years, indicate an efficient market?
📊
Key Findings & Data:House price index, hedonic house price index, new housing price index and existing housing price index series have been analyzed using traditional unit root test of Augmented Dickey-Fuller (ADF) and Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and unit root tests with two structural breaks of Lee- Strazicich (LS) and Clemente, Montañés and Reyes (CMR) for the period of 2010M01-2018M07.
💡
Conclusion & Impact:This evidence suggests that Turkish housing market is efficient in its weak form.
🔬Design:Research Article
📍Scope:Comprehensive Sample
⚙️Variables:Etkin piyasa hipotezi · Konut piyasası · Zayıf formda etkinlik

Abstract

Do house price movements in Turkish housing market, which has been one of the prominent sectors of Turkish economy in recent years, indicate an efficient market? In this study, we aim to answer this question by testing Efficient Market Hypothesis for Turkish housing market with both traditional unit root tests and unit root tests with structural breaks. House price index, hedonic house price index, new housing price index and existing housing price index series have been analyzed using traditional unit root test of Augmented Dickey-Fuller (ADF) and Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and unit root tests with two structural breaks of Lee- Strazicich (LS) and Clemente, Montañés and Reyes (CMR) for the period of 2010M01-2018M07. Unit root tests applied to the natural logarithm of the series indicate the presence of unit root in all series. This evidence suggests that Turkish housing market is efficient in its weak form.

Özet

Son yıllarda Türkiye ekonomisinde öne çıkan sektörlerin başında gelen konut sektöründeki fiyat oluşumları etkin bir piyasaya işaret ediyor mu? Bu soruya yanıt aradığımız çalışmamızda, Etkin Piyasa Hipotezi (EPH) Türkiye konut piyasası için geleneksel ve yapısal kırılmaları dikkate alan birim kök testleri kullanılarak test edilmektedir. Konut fiyat endeksi, hedonik konut fiyat endeksi, yeni konut fiyat endeksi ve yeni olmayan konut fiyat endeksi serilerinin 2010-2018 dönemini kapsayan aylık frekanstaki değerleri, öncelikle geleneksel birim kök testleri olan Genişletilmiş Dickey-Fuller (GDF) ve Kwiatkowski, Phillips, Schmidt ve Shin (KPSS) testleri ile ardından ise, serilerde yapısal kırılma olması durumunda birim kökün varlığını test etmek amacıyla, iki yapısal kırılmalı Lee- Strazicich (LS) ve Clemente, Montañés ve Reyes (CMR) birim kök testleri ile analiz edilmiştir. Doğal logaritması alınan serilere uygulanan testler tüm serilerde birim kökün varlığını göstermektedir. Bu bulgu, Türkiye konut piyasasının zayıf formda etkin olduğunu göstermektedir.

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Cite This Article

ALP, E., SEVEN, Ü. (2019). Efficiency Analysis of Housing Market in Turkey. Istanbul Business Research, Cilt: 48 - Sayı: 1, 84–112. https://ajindex.com/articles/65392

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