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TÜRKİYE DÖVİZ PİYASASI ETKİNLİĞİNİN TEST EDİLMESİ

Yıl 2022, Cilt: 23 Sayı: 1, 1 - 14, 30.06.2022
https://doi.org/10.24889/ifede.961238

Öz

Etkin Piyasa Hipotezi, piyasadaki tüm bilgilerin varlık fiyatı içerisine dâhil olduğunu öne sürdüğü için bu bilgileri kullanarak ortalama piyasa getirisi üzerinde bir kazanç elde edilemeyeceğini belirtmektedir. Ancak piyasada uzun hafıza varlığının tespit edilmesi durumunda, bu durum ortadan kalkmaktadır. Çalışma, Türk lirasının 5 yabancı para birimi ile olan ikili uzun hafıza ilişkisini araştırmak için yapılmıştır. Getiride, Ruble / TL döviz kuru hariç tüm döviz kurlarında uzun hafıza olduğu tespit edilmiştir. Volatilitede, tüm döviz kurları için uzun hafıza varlığı bulunmuştur. Hem getiride hem de volatilitede, USD/ TL ve Yuan / TL döviz kurlarının uzun hafıza özelliği sergilediği belirlenmiştir.

Kaynakça

  • Abdalla, S. Z. S.. (2012). Modelling exchange rate volatility using GARCH models: empirical evidence from Arab countries. International Journal of Economics and Finance, 4 (3), 216-229.
  • Alptekin, N. (2007). Long memory analysis of USD/TRL exchange rate. World Academy of Science, Engineering and Technology. 3, 298-300.
  • Aslam, F., Aziz, S., Nguyen, D. K., Mughal, K. S.ve Khan, M. (2020). On the efficiency of foreign exchange markets in times of the COVID-19 pandemic. Technological Forecasting & Social Change. 161, 1-12.
  • Barkoulas, J. T., Barilla, A. G. ve Wells, W. (2016). Long-memory exchange rate dynamics in the Euro era. Chaos, Solitons and Fractals. 86, 92–100.
  • Bhar, R. (1994). Testing for long-term memory in Yen/Dollar exchange rate. Financial Engineering and the Japanese Markets. 1, 101 109.
  • Cheng, T. C. K. (2001). Long memory features in the exchange rates of Asia-Pacific countries, Working Paper. Department of Economics, National University of Singapore.
  • Chkili, W., Aloui, C. ve Nguyen, D. K. (2012). Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates. Int. Fin. Markets, Inst. and Money. 22, 738–757.
  • Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical works. The Journal of Finance. 25 (2), 383–417.
  • Han, Y. W. (2007). Poisson jumps and long memory volatility process in high frequency European exchange rates. Seoul Journal of Economics. 20 (2), 201-222.
  • Kang, S. H., Mclver, R., Park, S-Y. ve Yoon, S-M. (2014). Long memory features evolve in the time-varying process in Asia-Pacific foreign exchange markets. Procedia Economics and Finance. 14, 286 – 294.
  • Klein, T., Thu, H. P. ve Walther, T. (2016). Evidence of long memory and asymmetry in THE Eur/Pln exchange rate volatility. Research Papers Of Wrocław University Of Economics. 428, 128-140.
  • Kumar, A. S. (2014). Testing for long memory in volatility in the Indian forex market. Economic Annals. 59 (203), 75-90.
  • Laurini, M.P. ve Portugal, M.S. (2004). Long memory in the R$ / US$ exchange rate: a robust analysis. Brazilian Review of Econometrics. 24 (1), 109-147.
  • Mensi, W., Hammoudeh, S. ve Yoon, S-M. (2014). Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: the importance of scheduled and unscheduled news announcements. International Review of Economics and Finance. 30, 101–119.
  • Mishkin, F. S.. (2004). The economics of money, banking and financial markets. United States of America: Pearson Addison Wesley.
  • Nath, G. C. ve Reddy, Y. V. (2003). Long memory in Rupee-Dollar exchange rate – an empirical study. The ICFAI Journal of Applied Finance. 9, 59-73.
  • Özkan, O. (2021). Döviz piyasalarının davranışlarını açıklamada etkin piyasalar hipotezi ile adaptif piyasalar hipotezinin karşılaştırılması: BRICS-T ülkeleri üzerine ampirik bir çalışma. Muhasebe ve Finansman Dergisi. 89, 221-236.
  • Sankarkumar, A. V., Selvam, M., Maniam, B. ve Sigo, M. O. (2017). Long memory features and relationship stability of Asia-Pacific currencies against USD. Business and Economic Horizons. 13 (1), 97-109.
  • Shrivastava, U. Ve Kapoor, A. (2013). Long memory in Rupee-Dollar exchange rate returns: a robust analysis. Asian J. Management. 4(3), 159-164.
  • Sivarajasingham, S. ve Mustafa, A. M. M. 2019. Does LKR/AUD exchange rate exhibit long memory? a fractional integration approach. Journal of Business Economics. 1 (1), 21-30.
  • Soofi, A. S., Wang, S. ve Zhang, Y. (2006). Testing for long memory ın the Asian foreign exchange rates. Jrl Syst Sci & Complexity. 19, 182-190.
  • Tse, Y.K. (1998). The conditional heteroscedasticity of the Yen-Dollar exchange rate. Journal Of Applied Econometrics. 13 (1), 49-55.
  • Türkyılmaz, S. ve Balıbey, M. (2014). Türkiye hisse senedi piyasası getiri ve oynaklığındaki uzun dönem bağımlılık için ampirik bir analiz. Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi. 16 (2), 281-302.
  • Vats, A. (2011). long memory in returns and volatility: evidence from foreign exchange market of Asian countries. The International Journal of Applied Economics and Finance. 5 (4), 245-256.
  • Walther, T., Klein, T., Thu, H. P. ve Piontekc, K.. (2017). True or spurious long memory in European Non-Emu currencies. Research in International Business and Finance. 40, 217–230.
  • Warshaw, E. (2020). Asymmetric volatility spillover between European equity and foreign exchange markets: evidence from the frequency domain. International Review of Economics and Finance. 68, 1–14.

TESTING THE TURKISH FOREIGN EXCHANGE MARKET EFFICIENCY

Yıl 2022, Cilt: 23 Sayı: 1, 1 - 14, 30.06.2022
https://doi.org/10.24889/ifede.961238

Öz

The Efficient Market Hypothesis states that since all the information in the market is included in the asset price, it is not possible to make a profit above the average market return by using this information. However, if the existence of long memory is detected in the market, this situation disappears. The study was conducted to investigate the bilateral long-memory relationship between the Turkish lira and 5 foreign currencies. In return, it has been determined that there is a long memory in all exchange rates except the Ruble / TL exchange rate. In volatility, long memory existence was found for all exchange rates. It has been determined that USD/TL and Yuan/TL exchange rates exhibit long memory characteristics both in return and volatility.

Kaynakça

  • Abdalla, S. Z. S.. (2012). Modelling exchange rate volatility using GARCH models: empirical evidence from Arab countries. International Journal of Economics and Finance, 4 (3), 216-229.
  • Alptekin, N. (2007). Long memory analysis of USD/TRL exchange rate. World Academy of Science, Engineering and Technology. 3, 298-300.
  • Aslam, F., Aziz, S., Nguyen, D. K., Mughal, K. S.ve Khan, M. (2020). On the efficiency of foreign exchange markets in times of the COVID-19 pandemic. Technological Forecasting & Social Change. 161, 1-12.
  • Barkoulas, J. T., Barilla, A. G. ve Wells, W. (2016). Long-memory exchange rate dynamics in the Euro era. Chaos, Solitons and Fractals. 86, 92–100.
  • Bhar, R. (1994). Testing for long-term memory in Yen/Dollar exchange rate. Financial Engineering and the Japanese Markets. 1, 101 109.
  • Cheng, T. C. K. (2001). Long memory features in the exchange rates of Asia-Pacific countries, Working Paper. Department of Economics, National University of Singapore.
  • Chkili, W., Aloui, C. ve Nguyen, D. K. (2012). Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates. Int. Fin. Markets, Inst. and Money. 22, 738–757.
  • Fama, E. F. (1970). Efficient capital markets: a review of theory and empirical works. The Journal of Finance. 25 (2), 383–417.
  • Han, Y. W. (2007). Poisson jumps and long memory volatility process in high frequency European exchange rates. Seoul Journal of Economics. 20 (2), 201-222.
  • Kang, S. H., Mclver, R., Park, S-Y. ve Yoon, S-M. (2014). Long memory features evolve in the time-varying process in Asia-Pacific foreign exchange markets. Procedia Economics and Finance. 14, 286 – 294.
  • Klein, T., Thu, H. P. ve Walther, T. (2016). Evidence of long memory and asymmetry in THE Eur/Pln exchange rate volatility. Research Papers Of Wrocław University Of Economics. 428, 128-140.
  • Kumar, A. S. (2014). Testing for long memory in volatility in the Indian forex market. Economic Annals. 59 (203), 75-90.
  • Laurini, M.P. ve Portugal, M.S. (2004). Long memory in the R$ / US$ exchange rate: a robust analysis. Brazilian Review of Econometrics. 24 (1), 109-147.
  • Mensi, W., Hammoudeh, S. ve Yoon, S-M. (2014). Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: the importance of scheduled and unscheduled news announcements. International Review of Economics and Finance. 30, 101–119.
  • Mishkin, F. S.. (2004). The economics of money, banking and financial markets. United States of America: Pearson Addison Wesley.
  • Nath, G. C. ve Reddy, Y. V. (2003). Long memory in Rupee-Dollar exchange rate – an empirical study. The ICFAI Journal of Applied Finance. 9, 59-73.
  • Özkan, O. (2021). Döviz piyasalarının davranışlarını açıklamada etkin piyasalar hipotezi ile adaptif piyasalar hipotezinin karşılaştırılması: BRICS-T ülkeleri üzerine ampirik bir çalışma. Muhasebe ve Finansman Dergisi. 89, 221-236.
  • Sankarkumar, A. V., Selvam, M., Maniam, B. ve Sigo, M. O. (2017). Long memory features and relationship stability of Asia-Pacific currencies against USD. Business and Economic Horizons. 13 (1), 97-109.
  • Shrivastava, U. Ve Kapoor, A. (2013). Long memory in Rupee-Dollar exchange rate returns: a robust analysis. Asian J. Management. 4(3), 159-164.
  • Sivarajasingham, S. ve Mustafa, A. M. M. 2019. Does LKR/AUD exchange rate exhibit long memory? a fractional integration approach. Journal of Business Economics. 1 (1), 21-30.
  • Soofi, A. S., Wang, S. ve Zhang, Y. (2006). Testing for long memory ın the Asian foreign exchange rates. Jrl Syst Sci & Complexity. 19, 182-190.
  • Tse, Y.K. (1998). The conditional heteroscedasticity of the Yen-Dollar exchange rate. Journal Of Applied Econometrics. 13 (1), 49-55.
  • Türkyılmaz, S. ve Balıbey, M. (2014). Türkiye hisse senedi piyasası getiri ve oynaklığındaki uzun dönem bağımlılık için ampirik bir analiz. Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi. 16 (2), 281-302.
  • Vats, A. (2011). long memory in returns and volatility: evidence from foreign exchange market of Asian countries. The International Journal of Applied Economics and Finance. 5 (4), 245-256.
  • Walther, T., Klein, T., Thu, H. P. ve Piontekc, K.. (2017). True or spurious long memory in European Non-Emu currencies. Research in International Business and Finance. 40, 217–230.
  • Warshaw, E. (2020). Asymmetric volatility spillover between European equity and foreign exchange markets: evidence from the frequency domain. International Review of Economics and Finance. 68, 1–14.
Toplam 26 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Konular Finans
Bölüm Makaleler
Yazarlar

Hidayet Güneş 0000-0002-9826-9862

Yayımlanma Tarihi 30 Haziran 2022
Yayımlandığı Sayı Yıl 2022 Cilt: 23 Sayı: 1

Kaynak Göster

APA Güneş, H. (2022). TÜRKİYE DÖVİZ PİYASASI ETKİNLİĞİNİN TEST EDİLMESİ. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, 23(1), 1-14. https://doi.org/10.24889/ifede.961238
AMA Güneş H. TÜRKİYE DÖVİZ PİYASASI ETKİNLİĞİNİN TEST EDİLMESİ. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi. Haziran 2022;23(1):1-14. doi:10.24889/ifede.961238
Chicago Güneş, Hidayet. “TÜRKİYE DÖVİZ PİYASASI ETKİNLİĞİNİN TEST EDİLMESİ”. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi 23, sy. 1 (Haziran 2022): 1-14. https://doi.org/10.24889/ifede.961238.
EndNote Güneş H (01 Haziran 2022) TÜRKİYE DÖVİZ PİYASASI ETKİNLİĞİNİN TEST EDİLMESİ. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi 23 1 1–14.
IEEE H. Güneş, “TÜRKİYE DÖVİZ PİYASASI ETKİNLİĞİNİN TEST EDİLMESİ”, Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, c. 23, sy. 1, ss. 1–14, 2022, doi: 10.24889/ifede.961238.
ISNAD Güneş, Hidayet. “TÜRKİYE DÖVİZ PİYASASI ETKİNLİĞİNİN TEST EDİLMESİ”. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi 23/1 (Haziran 2022), 1-14. https://doi.org/10.24889/ifede.961238.
JAMA Güneş H. TÜRKİYE DÖVİZ PİYASASI ETKİNLİĞİNİN TEST EDİLMESİ. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi. 2022;23:1–14.
MLA Güneş, Hidayet. “TÜRKİYE DÖVİZ PİYASASI ETKİNLİĞİNİN TEST EDİLMESİ”. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi, c. 23, sy. 1, 2022, ss. 1-14, doi:10.24889/ifede.961238.
Vancouver Güneş H. TÜRKİYE DÖVİZ PİYASASI ETKİNLİĞİNİN TEST EDİLMESİ. Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi. 2022;23(1):1-14.
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