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Dergiler / Hitit Ekonomi ve Politika Dergisi / 2025 / Cilt: 5 Sayı: 2

Küresel Hisse Senedi Piyasalarında Zayıf Form Verimliliğinin Araştırılması

Investigating Weak-Form Efficiency in Global Stock Markets

Taha Bahadır Saraç(HİTİT ÜNİVERSİTESİ)0000-0001-6911-854X
Cem Koçak(HİTİT ÜNİVERSİTESİ)
Ömer İskenderoğlu(NİĞDE ÖMER HALİSDEMİR ÜNİVERSİTESİ)0000-0002-3407-1259
Savaş Mücteba Harputlu(HİTİT ÜNİVERSİTESİ)0000-0002-1228-785X
Sayfa
72–87
Yayın Tarihi
2025-12-31
DOI
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

Çalışmanın bulgularına göre, incelenen 68 borsanın gösterge endeksleri birim kök içermemektedir, yani durağandır ve dolayısıyla zayıf formda etkin değildir.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:Bu çalışma, Zayıf Formda Piyasa Etkinliği'nin varlığını Etkin Piyasa Hipotezi (EPH) çerçevesinde incelemeyi amaçlamakta ve RALS-LM birim kök testi yardımıyla 67 farklı ülkede faaliyet gösteren 71 borsa için mevcut en büyük veri setini kullanmaktadır.
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Temel Bulgular & Veri:Bu test, finansal piyasalarda birim kök özelliğini tespit etmeye yönelik geliştirilmiş bir yöntem olup, literatürde piyasa etkinliği çalışmalarında sıkça kullanılan geleneksel yöntemlerin ötesine geçmektedir.
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Sonuç & Katkı:Çalışmanın bulgularına göre, incelenen 68 borsanın gösterge endeksleri birim kök içermemektedir, yani durağandır ve dolayısıyla zayıf formda etkin değildir.
🔬Tür:Literatür & Derleme Çalışması
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Etkin Piyasa Hipotezi (EPH) · Zayıf Formda Piyasa Etkinliği · Borsalar

Özet

Bu çalışma, Zayıf Formda Piyasa Etkinliği'nin varlığını Etkin Piyasa Hipotezi (EPH) çerçevesinde incelemeyi amaçlamakta ve RALS-LM birim kök testi yardımıyla 67 farklı ülkede faaliyet gösteren 71 borsa için mevcut en büyük veri setini kullanmaktadır. Bu test, finansal piyasalarda birim kök özelliğini tespit etmeye yönelik geliştirilmiş bir yöntem olup, literatürde piyasa etkinliği çalışmalarında sıkça kullanılan geleneksel yöntemlerin ötesine geçmektedir. Çalışmanın bulgularına göre, incelenen 68 borsanın gösterge endeksleri birim kök içermemektedir, yani durağandır ve dolayısıyla zayıf formda etkin değildir. Başka bir deyişle, bu borsalarda fiyatların geçmiş bilgiyi yansıttığı ve gelecekteki fiyatların tahmin edilmesinin mümkün olduğu sonucuna ulaşılmıştır. Çalışma, yalnızca Bulgaristan Borsası (BSE Sofix) ve Hindistan Borsası (Nifty 50) için zayıf formda piyasa etkinliği koşullarının sağlandığını ortaya koymaktadır. Buna göre, ilgili borsalarda geçmiş fiyatları gelecekteki fiyatların bir göstergesi olarak kullanmak mümkün olup, bu piyasaların zayıf formda dahi etkin olmadığını göstermektedir.

Abstract

This study aims to examine the presence of weak-form market efficiency using the largest available dataset of 71 stock exchanges operating in 67 different countries, within the framework of the Efficient Market Hypothesis (EMH), with the assistance of the RALS-LM unit root test. This test is a methodology designed to detect the unit root feature in financial markets and goes beyond the traditional methods frequently used in market efficiency studies in the literature. The results show that the indicator indices of 68 examined exchanges do not contain a unit root, meaning they are stationary and, therefore, not weak-form efficient. In other words, it can be concluded that prices in these exchanges reflect past information, making it possible to forecast future prices. The study reveals that weak-form efficiency conditions are not met for all exchanges except for the Bulgarian Stock Exchange (BSE Sofix) and the Indian Stock Exchange (Nifty 50). Accordingly, it is possible to use past prices as a predictor of future prices on the relevant exchanges, indicating the absence of even weak-form efficiency in these markets.

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Bu Makaleye Atıf Yap

Saraç, T. B., Koçak, C., İskenderoğlu, Ö., Harputlu, S. M. (2025). Küresel Hisse Senedi Piyasalarında Zayıf Form Verimliliğinin Araştırılması. Hitit Ekonomi ve Politika Dergisi, Cilt: 5 Sayı: 2, 72–87. https://ajindex.com/articles/1615639

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