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Dergiler / Business and Management Studies: An International Journal / 2020 / Cilt: 8 - Sayı: 4

THE WEAK FORM MARKET EFFICIENCY IN THE MSCI ETF INDICES: CONVENTIONAL AND THE FOURIER UNIT ROOT TEST ON THE DEVELOPED AND DEVELOPING COUNTRIES

MSCI ETF ENDEKSLERİNDE ZAYIF FORMDA PİYASA ETKİNLİĞİ: GELİŞMİŞ VE GELİŞMEKTE OLAN ÜLKELER ÜZERİNE GELENEKSEL VE FOURIER BİRİM KÖK TESTİ

Sümeyra GAZEL
Sayfa
409–423
DOI
—
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

However, the Fourier unit root testresults relatively more support the assumption of efficient market hypothesis that developedcountries may be more efficient than developing countries.

📌 3 Maddede Bu Makale

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Amaç & Hipotez:In this study, weak form efficiency of the Exchange Traded Funds (ETF) in theMorgan Stanley Capital International (MSCI) Index of developed and developing countriesis tested.
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Temel Bulgular & Veri:The Fourier Unit Root test, which does not lose its predictive power in terms ofstructural break date, number and form, is used on daily data.
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Sonuç & Katkı:However, the Fourier unit root testresults relatively more support the assumption of efficient market hypothesis that developedcountries may be more efficient than developing countries.
🔬Tür:Araştırma Makalesi
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Alan Parametreleri

Özet

In this study, weak form efficiency of the Exchange Traded Funds (ETF) in theMorgan Stanley Capital International (MSCI) Index of developed and developing countriesis tested. The Fourier Unit Root test, which does not lose its predictive power in terms ofstructural break date, number and form, is used on daily data. Also, conventional unit roottests are used for comparison between two different tests. Analysis results indicate commonfindings in some countries for both unit root testing. However, the Fourier unit root testresults relatively more support the assumption of efficient market hypothesis that developedcountries may be more efficient than developing countries.

Abstract

Bu çalışmada ABD’de Morgan Stanley Stanley Capital International (MSCI) Endeksinde yer alan gelişmiş ve gelişmekte olan ülkelerin Borsa Yatırım Fonlarının (ETF) zayıf formda piyasa etkinliğinin varlığı sınanmıştır. Hem geleneksel hem de yapısal kırılma tarihi, sayısı ve formu açısından tahmin gücünü kaybetmeyen Fourier Birim Kök testi günlük verilere uygulanmıştır. Analiz sonuçlarına göre bazı ülkeler için her iki birim kök testi de ortak bulgulara işaret etmektedir. Ancak Fourier birim kök testi sonuçlarının gelişmiş olan ülkelerin gelişmekte olan ülkelere göre daha etkin olabileceği varsayımını görece daha fazla destekler nitelikte olduğu tespit edilmiştir.

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Bu Makaleye Atıf Yap

GAZEL, S. (2020). THE WEAK FORM MARKET EFFICIENCY IN THE MSCI ETF INDICES: CONVENTIONAL AND THE FOURIER UNIT ROOT TEST ON THE DEVELOPED AND DEVELOPING COUNTRIES. Business and Management Studies: An International Journal, Cilt: 8 - Sayı: 4, 409–423. https://ajindex.com/articles/352073

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Kaynakça (12)

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