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Dergiler / Bogazici Journal: Review of Social, Economic and Administrative Studies / 2020 / Cilt: 34 - Sayı: 2

Time-varying return predictabilityand adaptive markets hypothesis: Evidence onMIST countriesfrom anovel wild bootstrap likelihood ratioapproach

Zamanla değişen getiri öngörülebilirliği ve adaptif piyasalar hipotezi: Yeni bir yaklaşım olan wild bootstrap olabilirlik oranı ile MIST ülkeleri üzerinden kanıtlar

Oktay ÖZKAN
Sayfa
101–113
DOI
—
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This paperreveals that the AMHis more successful in explaining real stock market behavior than efficient markets hypothesis.

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Amaç & Hipotez:Thispaperinvestigatesthe evolution of the return predictability(or market efficiency)degree for Mexico, Indonesia, South Korea, andTurkey (MIST) countries and examineswhether the findings are consistent with the implications of adaptive markets hypothesis (AMH).
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Temel Bulgular & Veri:For this purpose, the novel wild bootstrap likelihood ratioapproachof Kim and Shamsuddin (2020) is applied on the monthly data from January 1993 to July2020 with the rolling sub-sample windows method todeterminewhetherthe ability of inflationandtrading volume to predict stock market returns varies overtime.
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Sonuç & Katkı:This paperreveals that the AMHis more successful in explaining real stock market behavior than efficient markets hypothesis.
🔬Tür:Araştırma Makalesi
📍Kapsam:2020 Verileri
⚙️Değişkenler:Alan Parametreleri

Özet

Thispaperinvestigatesthe evolution of the return predictability(or market efficiency)degree for Mexico, Indonesia, South Korea, andTurkey (MIST) countries and examineswhether the findings are consistent with the implications of adaptive markets hypothesis (AMH). For this purpose, the novel wild bootstrap likelihood ratioapproachof Kim and Shamsuddin (2020) is applied on the monthly data from January 1993 to July2020 with the rolling sub-sample windows method todeterminewhetherthe ability of inflationandtrading volume to predict stock market returns varies overtime. The empirical findingsverifythat the return predictability (or market efficiency) is time-varyingconsistent with the implications of the AMH for all MIST countries. This verification is also strengthened by using other predictor variables, namely, exchange rate and realized volatility. This paperreveals that the AMHis more successful in explaining real stock market behavior than efficient markets hypothesis.

Abstract

Bu çalışma Meksika, Endonezya, Güney Kore ve Türkiye (MIST) ülkeleri için getiri öngörülebilirliği (veya piyasa etkinliği) derecesinin değişimini araştırmakta ve elde edilen bulguların adaptif piyasalar hipotezi (AMH) ile uyumlu olup olmadığını incelemektedir. Bu amaç için, enflasyon ve işlem hacminin borsa getirilerini tahmin etme yeteneğinin zaman içinde değişim gösterip göstermediğini belirlemek için Ocak 1993'ten Temmuz 2020'ye kadar olan aylık veriler üzerinde Kim ve Shamsuddin (2020)’in wild bootstrapolabilirlik oranı yaklaşımı hareketli alt örneklem pencereleri yöntemi ile uygulanmıştır.Ampirik bulgular, getiri öngörülebilirliğinin (veya piyasa etkinliğinin) tüm MIST ülkeleri için AMH ile uyumlu bir şekilde zamana göre değiştiğini doğrulamaktadır. Bu doğrulama döviz kuru ve gerçekleşen oynaklık şeklindeki tahmin değişkenleri kullanılarak da güçlendirilmiştir. Bu çalışma, AMH'nin gerçek borsa davranışını açıklamada etkin piyasalar hipotezindendaha başarılı olduğunu ortaya koymaktadır.

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Bu Makaleye Atıf Yap

ÖZKAN, O. (2020). Time-varying return predictabilityand adaptive markets hypothesis: Evidence onMIST countriesfrom anovel wild bootstrap likelihood ratioapproach. Bogazici Journal: Review of Social, Economic and Administrative Studies, Cilt: 34 - Sayı: 2, 101–113. https://ajindex.com/articles/213483

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