Author :
Abstract
Etkin piyasalar menkul kıymet fiyatlarının elde edilebilir tüm bilgileri yansıttığı piyasalar olarak tanımlanmaktadır. Etkin Piyasalar Hipotezi (EPH) halka açık yayınlanan bilgilerin gecikmeden finansal varlık fiyatlarına yansıtıldığını ve gelecekteki her bir finansal aracın fiyatını olumlu veya olumsuz etkileyecek bilgilerin varlığın bugünkü fiyatına yansıtılacağını ileri sürmektedir. Hipoteze göre piyasa süreçleri bilgiyi rasyonel olarak değerlendirmekte, ilgili bilgi göz ardı edilmemekte ve sistematik hatalar yapılmamaktadır. Bu çalışmada 2018-2020 yıllarında BİST Ulusal 100 Endeksi değişiklikleri incelenmiştir. BİST Endeks değişiklikleri periyodik olarak üçer aylık dönemlerde gerçekleştirilmektedir. Çalışma sonuçlarına göre özellikle endeks değişikliği duyurusunu takip eden 10 günlük süreçte, endekse yeni dahil edilen hisse senetleri çerçevesinde normal üstü getiri (toplam % 210) elde edilebilmektedir. Bu sonuç etkin bir piyasada normal üstü getiri elde edilemez varsayımı ile uyuşmamaktadır. Çalışma sonuçlarına göre endeks değişiklikleri hisse senetleri ile ilgili ortaya yeni bilgi çıkarmaktadır. Yatırımcılar piyasaya ulaşan yeni bilgi çerçevesinde yatırım kararlarını almakta veya gözden geçirmektedirler.
Keywords
Abstract
Efficient markets are defined as the markets where the securities prices reflect all available information. The Efficient Markets Hypothesis (EMH) suggests that publicly disclosed information is reflected in financial asset prices without delay and that information that will affect the price of each future financial instrument, either positively or negatively, will be reflected in the current price of the asset. According to the hypothesis, market processes evaluate information rationally, related information is not ignored and systematic errors are not made. In this study, BIST National 100 Index changes were examined in 2018-2020. BIST Index changes are periodically performed quarterly. According to the results of the study, in the 10-day period following the announcement of the index change, the above-normal return (210% in total) can be obtained within the framework of the newly added stocks. This result does not comply with the assumption that an abnormal return cannot be obtained in an efficient market. According to the results of the study, changes in index reveal new information about stocks. Investors make or review investment decisions within the framework of new information that reaches the market.
Keywords
- Aga, Mehmet; Kocaman, Berna, (2011), ‘’Efficient Market Hypothesis and Emerging Capital Markets: Empirical Evidence from Istanbul Stock Exchange’’, Journal of Financial Markets Research, Issue 3, pp. 44-57. https://s3.amazonaws.com/ academia.edu.documents/45454384/Aga_2011.pdf?response-contentdisposition=inline%3B%20filename%3DEfficient_Market_Hypothesis_and_Emerging. pdf
- Altın, Hakan, (2017), ‘’A Study on the Abnormal Price of the Equities of Firms which Distribute Cash Dividends: BIST Divident 25 Index’’, Akademik Sosyal Araştırmalar Dergisi, Yıl: 5, Sayı: 56, Ekim 2017, ss. 24-34 https://pdfs.semanticscholar.org/8b79/96b2fea9d252ddada91ed322253283cacd72.pdf
- Altın, Hakan, (2018), ‘’Borsa İstanbul’da Bankacılık Endeksinde İşlem Gören Banka Pay Senetlerinin Performanslarının Değerlendirilmesi’’, Akademik Sosyal Araştırmalar Dergisi, Yıl: 6, Sayı: 66, Mart, s. 58-69. https://www.researchgate.net/profile/ Hakan_Altin/publication/323690362_BORSA_ISTANBUL'DA_BANKACILIK_END EKSINDE_ISLEM_GOREN_BANKA_PAY_SENETLERININ_PERFORMANSLAR ININ_DEGERLENDIRILMESI/links/5b1521efa6fdcc4611e2a581/.pdf
- Altın, Hakan; Yazan, Ömer, (2016), ‘’The Effects of Trading at Sustainability Index on Stocks’ Abnormal Returns: Evidence from BIST Sustainability Index in Turkey’’, Journal of Business & Economic Policy, Vol. 3, No. 4; December 2016, pp.72-78. https://s3.amazonaws.com/academia.edu.documents/53044483/jbep.pdf?responsecontent- disposition=inline%3B%20filename%3DThe_Effects_of_Trading_at_Sustainability.pdf
- Ball, Ray, (2009), ‘’The Global Financial Crisis and the Efficient Market Hypothesis: What Have We Learned?’’, Forthcoming in Journal of Applied Corporate Finance, pp.1-27. https://www.makro.wiwi.uni-due.de/fileadmin/fileupload/VWLMAKRO/Lehre/1112/Makro_IV/The_Global_Financial_Crisis_and_the_Efficient_Mar ket__Hypothesis_What_Have_We_Learned.pdf
- Basu, S., (1977), ‘’Investment Performance of Common Stocks in Relation to Their Price‐Earnings Ratios: A test of the Efficient Market Hypothesis’’, The journal of Finance, Vol 32, No 3, pp.663-682 http://e-m-h.org/Basu1977.pdf
- Beechey, Meredith; David Gruen and James Vickery, (2000), ‘’The Efficient Market Hypothesis: A Survey’’, Research Discussion Paper, Economic Research Department Reserve Bank of Australia, January, pp.1-33. https://www.rba.gov.au/ publications/rdp/2000/pdf/rdp2000-01.pdf
- Borges, Maria Rosa, (2008), ‘’Efficient Market Hypothesis in European Stock Markets’’, WORKING PAPERS, April, pp.1-20. https://www.repository.utl.pt/ bitstream/10400.5/2345/1/wp202008.pdf
- Chena, Shu-Heng; Yeha, Chia-Hsuan, (2002), ‘’On the Emergent Properties of Artificial Stock Markets: the Efficient Market Hypothesis and the Rational Expectations Hypothesis’’, Journal of Economic Behavior & Organization, Vol. 49, pp.217–239. http://www.e-mh.org/ChYe02.pdf
- Copeland, T.; Weston J. F., (1988), “Financial Theory and Corporate Policy”, 3ed (ed), N.Y. Addison–Wesley Publishing Company
- Degutis, Augustas; Novickytė, Lina, (2014), ‘’The Efficient Market Hypothesis: A Critical Review of Literature and Methodology’’, Ekonomika, Vol. 93(2), pp.117https://etalpykla.lituanistikadb.lt/object/LT-LDB0001:J.04~2015~1447771572718/J.04~2015~1447771572718.pdf
- Dockery, E; Kavussanos, M.G., (1996), ‘’Testing the Efficient Market Hypothesis Using Panel Data with Application to the Athens Stock Markets’’, Applied Economics Letters, , pp.121-123. https://s3.amazonaws.com/academia.edu.documents/32603347/Applied_Economics_Le tters_1996_Market_Efficiency_ASE.pdf?response-contentdisposition=inline%3B%20filename%3DApplied_Economics_Letters_1996_Market_E f.pdf
- Eom, Cheoljun; Choi, Sunghoon; Oh, Gabjin; Jung, Woo-Sung, (2007), ‘’Hurst Exponent and Prediction Based on Weak-Form Efficient Market Hypothesis of Stock Markets’’, pp.111. https://arxiv.org/pdf/0712.1624.pdf
- Fama, Eugene F., (1970), ‘’Efficient Capital Markets: A Review of Theory and Empirical Work’’, The Journal of Finance, Vol. 25, No. 2, May, pp. 383-417. http://gesd.free.fr/fama1970.pdf
- Fama, Eugene F., (1991), ‘’Efficient Capital Markets: II’’, The Journal of Finance, Vol. XLVI, No. 5, December, pp.1575-1617. https://onlinelibrary.wiley.com/ doi/pdf/10.1111/j.1540-6261.1991.tb04636.x
- Hamid, Kashif; Suleman, Muhammad Tahir; Shah, Syed Zulfiqar Ali ve Akash, Rana Shahid Imdad, (2010), ‘’Testing the Weak form of Efficient Market Hypothesis: Empirical Evidence from Asia-Pacific Markets’’, International Research Journal of Finance and Economics, Issue 58, pp.121-133. https://pdfs.semanticscholar.org/ 6139/67ad50dacf87413c428fc73cd7b238acbb48.pdf
- Jensen, Michael C., (1978), ‘’Some Anomalous Evidence Regarding Market Efficiency’’, Journal of Financial Economics, Vol. 6, No. 2/3, pp.1-10. https://pdfs.semanticscholar.org/ad6c/b53538d2ede8686c13f61bfe6e2fb5b2bf02.pdf
- Laffont, Jean-Jacques; .Maskin, Eric S., (1990), ‘’The Efficient Market Hypothesis and Insider Trading on the Stock Market’’, The Journal of Political Economy, Vol. 98, No. 1, Feb., pp.70-93. http://publications.ut-capitole.fr/16071/1/Laffont_16071.pdf
- Malkiel, Burton G, (2003), ‘’The Efficient Market Hypothesis and its Critics’’, Journal of Economic Perspectives, Volume 17, Number 1, Winter, pp.59-82 https://pubs.aeaweb.org/doi/pdfplus/10.1257/089533003321164958
- Malkiel, Burton G., (2011), The Efficient-Market Hypothesis and the Financial Crisis, October 28, pp.1-59. https://pdfs.semanticscholar.org/9448/ a1c80c9fa81dcb9043ac4f66e87cdbc541eb.pdf
- Mlambo, Chipo; Biekpe, Nicholas, (2007), ‘’The Efficient Market Hypothesis: Evidence from Ten African Stock Markets’’, Investment Analysts Journal, No. 66, pp.1-15. https://mpra.ub.uni-muenchen.de/25968/1/MPRA_paper_25968.pdf
- Nisar, Saqib; FCMA, Muhammad Hanif, (2012), ‘’Testing Weak Form of Efficient Market Hypothesis: Empirical Evidence from South-Asia’’, World Applied Sciences Journal 17 (4), pp.414-427 https://s3.amazonaws.com/ academia.edu.documents/35117878/1.pdf?response-contentdisposition=inline%3B%20filename%3DTesting_Weak_Form_of_Efficient_Market_H y.pdf
- Ozdemir, Zeynel Abidin, (2008), ‘’Efficient Market Hypothesis: Evidence from a Small Open- Economy’’, Applied Economics, 40, pp.633–641. https://www.researchgate.net/profile/ Zeynel_Ozdemir/publication/24076289_Efficient_market_hypothesis_Evidence_from_ a_small_open-economy/links/5c1e35cf92851c22a33e8c75/Efficient-market-hypothesisEvidence-from-a-small-open-economy.pdf
- Sewell, Martin, (2011), ‘’History of the Efficient Market Hypothesis’’, Research Note, 20 January, pp.1-14. http://www.cs.ucl.ac.uk/fileadmin/UCL-CS/ images/Research_Student_Information/RN_11_04.pdf
- Sewell, Martin, (2012), ‘’The Efficient Market Hypothesis: Empirical Evidence’’, International Journal of Statistics and Probability, Vol. 1, No. 2, pp.164-178. https://s3.amazonaws.com/academia.edu.documents/30766433/13931.pdf?responsedisposition=inline%3B%20filename%3DThe_Efficient_Market_Hypothesis_Empirica.
- Shleifer, Andrei, (2000), ‘’Inefficient Markets: An Introduction to Behavioural Finance’’, OXFORD University Press. https://books.google.com.tr/books?hl=tr&lr=&id=vIP4yluYoIC&oi=fnd&pg=PA1808&dq=shleifer+2000+inefficient+markets+an+introduction +to+behavioral+finance
- Shostak, Frank, (1997), ‘’In Defense of Fundamental Analysis: A Critique of the Efficient Market Hypothesis’’, Review of Austrian Economics 10, No. 2, pp.27-45. http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.408.2557&rep=rep1&type=p df#page=33
- Timmermann, A.; C.W.J. Granger, (2004), ‘’Efficient Market Hypothesis and Forecasting’’, International Journal of Forecasting 20, pp.15–27 https://www.medellin.unal.edu.co/~ndgirald/Archivos%20Lectura/Archivos%20curso% 20Portafolios/TimmermannGranger.pdf
- Titan, Alexandra Gabriela, (2015), ‘’The Efficient Market Hypothesis: Review of Specialized Literature and Empirical Research’’, Procedia Economics and Finance 32, PP.442449, https://core.ac.uk/download/pdf/81192334.pdf
